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 language | English |
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Pages (from-to) | 1-24 |
Number of pages | 24 |
Journal | The Journal of Futures Markets |
Volume | 30 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2010 |
Externally published | Yes |