An examination of own account trading by dual traders in futures markets

• 成果类型: Article
• 署名作者: Chakravarty, S; Li, K
• 署名单位: Purdue University System; Purdue University; University of British Columbia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00117-X
• 发表日期: 2003
• 页码: 375-397
• 关键词: dual trading; Front-running; Informed trader; inventory; liquidity; G20; G28

摘要

Using proprietary audit trail transaction data compiled by the Commodity Futures Trading Commission, we investigate at the individual trader level (1) the timing and (2) the determinants of dual traders' personal trades. Our analysis reveals an absence of any trade timing by dual traders in relation to the execution of their customers' orders. Further examination employing correlation statistics and time series regressions provides strong support for the proposition that dual traders supply liquidity and actively manage inventory. Even after simultaneously controlling for factors representing information, liquidity supply, and inventory control, within a multivariate regression framework, liquidity supply and inventory control remain as the determinants of dual traders' personal trades. Overall, the emergent profile of a dual trader is that of an uninformed trader performing complimentary tasks. (C) 2003 Elsevier B.V. All rights reserved.