Local trader profitability in futures markets

liquidity and position taking profits

Alex Frino, Elvis Jarnecic, Roger Feletto

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

This study examines the profitability of local traders on floor-traded futures markets. Using unique data from the period of floor trading on the Sydney Futures Exchange, local income is decomposed into liquidity and position-taking profit components. Locals on the trading floor are found to make significant position-taking profits. Moreover, the ability of locals on the floor to derive position-taking profits is positively related to order-flow related information, and negatively related to the presence of exogenous information, local liquidity profits and the length of a locals inventory cycle. Accordingly, this paper characterizes locals as active informed traders.
Original languageEnglish
Pages (from-to)1-24
Number of pages24
JournalThe Journal of Futures Markets
Volume30
Issue number1
DOIs
Publication statusPublished - 2010
Externally publishedYes

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