Identifying Informed Traders in Futures Markets. Fishe, R. P. & Smith, A. Journal of Financial Markets, 15(3):329–359, North-Holland, 2012.
![Identifying Informed Traders in Futures Markets [pdf]](https://bibbase.org/img/filetypes/pdf.svg "pdf")
Paper abstract bibtex 2 downloads
Paper abstract bibtex 2 downloads We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.
@article{fishe2012identifying,
title={Identifying Informed Traders in Futures Markets},
author={Fishe, Raymond P.H. and Smith, Aaron},
journal={Journal of Financial Markets},
volume={15},
number={3},
pages={329--359},
year={2012},
url={https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf},
keywords={finance},
abstract={We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.},
publisher={North-Holland}
}Downloads: 2
{"_id":"572ZFkpFCfgT76eKd","bibbaseid":"fishe-smith-identifyinginformedtradersinfuturesmarkets-2012","authorIDs":["22niHWSxCWTmnaQbB","2NZzYE3d3gSHD27Gn","2PNZTYaGqxFapEPZZ","2er9ners3kix5Chjh","2fZSPnQyo9ahtXPYM","3PqRga7NH6pwgwahB","3Tdo9kzKh8u7c7Ajo","3dzedsKnAWimvtufn","3hvR7p8tkYyLjDs4j","3nHQWTXeJtx5aZuYs","3ofsHTJd5adCSJP5n","4CpwWEzCTDLczBiqm","4cntbYJPqpJDug4fS","54HPLDS88BEJvxZ9J","55G3CGNyj2PsKgSKu","5AjodFN3WpZT7c4zP","5CLHeqAPmxxkqj488","5K5LMi7AytY43FSxN","5YdNXr26x7pfZ6Cqq","5amQQM5eASSFYG3dT","5qmLKGZrYxDekAmei","5ryaA58jWEfwLkjRc","6LWYe4zx6XpcZw7oH","6ZTbN2G5GecX2dDZT","6dtG8ycrehdr6KK65","6jyETZNgorWaoZJSj","6w4Z3xCwynQdjGz7P","76srSk5EgNSrsiTx2","77mCbGKiF9wheqcou","7K6qmXmTXeghwHjSH","7Ppw5FN9Z4QfL3yj2","7WguRZ2aMWyaL2xoX","7oJmZurxTrhZdCMS2","8A7BN33X4qxkG4EcG","8C8kTFyizopgPHpLT","8KNxukMgtpz6N839k","9LJKJosTn7vJBSYye","9Qnr9PFLJRr6JGx9C","9Xz4ztQjerkZNjEJ7","9jQsQ8bYpnfkssHMz","9zYre9cAzhtrtTaLd","AyySi26mvfqdSiQAq","BH8nddrLMyyyogHuT","BKJTjDugfzK4xEFiL","BWwJwoMWvPLShAtiy","BXkYdj8EA5MHKQ5NZ","Bx3fuG7fmsE7CteNA","C4i7TivfeoufzanRR","CJrpARQaAFku4sms7","CLoKHTgocsrNww9SX","CQykWkkkcHrWq2XYC","CZZAQ52ABEcAsvdoJ","CZqsMr6DnNR8RnE8M","CaSWrr4dgTCF73ut5","CotJXijtDaZkhmCe8","CwqGR6xQaZ6qJHqFd","D2j5tBCn8KxYRySkC","DT8ZCLDNkZYqPq2p4","DaMZF2gdWrDvWLskp","Dg3MERvQt9xonaNAd","Ert6YRvy62j7CoQjK","ExybCgJCkLL4uWfrb","FXyS3bYEv5TJ6rP3X","FbTKmvz5iKXfCuq92","Fsvams7RFXXS87ve4","G45nHCnpbygmEJbNp","GARohmnxsDJE8AKer","GGQtnAn3Ed9ho4Kge","GLZ9ZRN53NqHowh6j","GPS8e6bin43y5Yhr8","GeN3Pa7aSuHiAKtiB","GgxftFqiNsQYXPYMJ","Gjyww4MMxer7SuLDQ","GtSZR5hrHkx8MthSo","Hkoat94EckrjyeXY3","J2o7RK4Yi9Qdrgqbo","J6ja5msgeQukpzx9q","JC37fCgtgNW2tpbRR","JLJZqQvvWHPJK8Kyg","JMCdCLdzhjeZaPwEt","JWgZbfnfdjgTweGMt","Jj2NN6mvepgKRdbdD","JzEJf3ZHytWAN6tZC","K6rZFC7d35euFJmG5","KJoD4ME6fuZWEWWJ6","KQwDpJk23AKcD8BTM","KXZviLWSJsc5RxSMg","Kmqfe55JEcBMHHndi","KqwBPzECoSTsiouMm","KuTnXBnFvzHvYo9fj","KxhmC3ozfW3qhncqZ","L4NsXs8o69NH7Zvga","L7qsoDp59fFKTQmy7","LGQ9YuE9sBuytpXfB","LX7dSHSNwYkNDqyKM","LZDqniYQXoMzf9xAK","Lb5KCewHXZuksSnpr","LdLjMjLaWRTBAkF8u","LkZ6mxitP2GtyXRC7","MKwdDooQAmaonagNB","MRadTGzjvu9b63CAk","MhjBBSDTe9xE53wDq","NEfPjPMcZxKfeXesE","NF9BaRkSRobZPGjXJ","NHWFgWzjaqmZuBkPa","NpEhzDyojP6MW9cax","NpoRewKZvCg2v5cuX","NpusHoq7N3Y4msyjk","NuBDdR9tvZAkirRxL","P5J2WTfSzgWp7nCcM","Q3wPonKWvfEGhYtvm","Q8qwMFQj5GitMqPiP","QAmiSKq47qKEuyPyr","QFYrXmnPvJCnBqGjS","QNfikgdwt6brACECx","Qdnvp6M6AWJv9q495","QwwqL3kppRrCoHkH8","RDTy55mjf85yCqDKa","RMjmG3jhTfCRM8kfq","RcWAu65s6G44BZkM3","RtzcgWpaSxnNbE9PY","RyL7mbf5MzduWhvY6","Rzfm6gKmhkhwimec5","S4ECWmtHop3mRDJzZ","SYbnZb7AfDpzxDLT8","SedcjaCF8Ws4isCHd","StAmowpxaWWKGgxZ7","TDMQWxGnoRXLHjJYw","TKP2duo4aJjq5gXaB","TtcWmQ3fKSyokyDjN","W2vJ7sEk33w6MZZLx","WDQoJMcDYAihe3EA2","WLTXeA5HiFuxb3jNY","WeDfcF97PBhavzQFA","Whx3x222rpqKjndzv","WsmpGiTyEy7TvoWTq","X7LkxmzbFPhSKiAaT","XBFYTPFYbEbcAaKzB","XhHMDzgoZkgZCfToh","YBwy27SuzcEExbEoD","YNfWEyw9pzXLaPzoH","YakaY2yohhzufyWJE","YkmhdKL6YDj4jNk7F","ZH8AhKzhQWJkBoKKs","ZaPaxw8qsL9iJaZsY","ZetwkbhiAB7kYwCyy","ZfcNyTdd7tgBx6f2z","ZjJJ7zW4Sbz8tHexL","aD7c7C95h4rxKyYyH","aJDe5ziRrSWpSLuk6","aYu2FhHAaGNS4bMQx","aZBnSfTCNJrDiTefq","ahZQqZBc6tKi3bfwc","aqMuTDBEEc7wtzRSu","aqZu7RCTN5jXugqR6","b3d6Td6roRhwQoQ9h","bA37rwamrcSP5wZMK","bBTZaBgZHQsfakYzf","bJJrzJZp2F784jAQ7","bdLvjpZm8inraRKd5","beRmzfkQABPwPZWWX","c2ERGwQTt3NofhnMt","cDaF4XR6vLmHuzHDt","cXBHRysQrdhzy9f8H","cdSryM66E5gm7fKYW","cgfBHRXYT6uzt2nLd","chm5MgcwAp4szYfz8","ciFxTmQqT5oWaBmd8","cidL8wGkbmxWrazrj","cqAoFP27jBJ4mvKN7","d2RNKGmPoBBhAvkTv","dGa2PukjGa3gi7Eis","dRfcq2v7DyRupoJMH","dtM6mHJP3vZkSJiuH","e5xR8DXiGLNy2tbCe","ebjnseHcuRg5KPAmS","f4bfXckdz8PGDa4Hr","fjKRcp7ZcDHAtELuX","ftWdFZNKwZmRxh86x","fvm3xrxgxTwPzFyYF","g2zawvSGuxrMJ6BqF","gHHMd7w72KL75GWty","gJT5Bjn8Bnf8bCTSC","h48HmZNkHY4W58xCW","h4daMGzK6LQ6d2KrZ","hFxP3vjLB7QvoCfzm","hMMMbpCy6bEDn8d5K","hQESd5JQ5Tvq2mnsy","hTHgSmeY3SfCNwjvH","hdgGPWj5icJyJAEwR","hgijCFLtJi3Qs8kyA","hpW2GcwGhbiexcAxw","iHNyJeFtfbiQkHxYJ","iKpyehZWTBhkdNieW","ibdoGJbQFMGYNBtqT","ihyok22AuXZEPTGpf","izS42p968Ttk7fkmp","j7sLF36Ya3LyWtCzG","jEzyYZyzu47GBKynG","jcXh5kNDqwuRwWubg","jcY3ozbk2EPnhWY3i","jfKWBkZRLLKAsrtef","jiM2x5ZuwtLNJwHaT","ju22S9NhuPwKyoE7j","k45jpmzbx7YygqLKS","k7aKASfwfRXfFuLYx","kMYiTes3v8N7uJ2xZ","kpHyuadYQsQq7DctB","kqhdkv9BzAGpMfmr4","kt8LBZhMcbWtTefof","ky9X8PbNhtQPHE8La","kyKfqKxMPDgYYvNL3","m2gmTuJ7r8u588BZQ","mGGBzF3P4MuDbuBEf","mP43CPHS9MtG89yDc","mmSb6L4sb43bw99YW","mmT8GPer7Xcn2fD6j","mziuLWjAfjFe6GT7c","n4D4YrGe28dJ2Gsf5","nBErPk6i8ahzpjbAr","nfWCRJixA25s7PBp7","nm5ZArkxPMQX4hJ9k","o2WpdMBkNfFuqnR6T","oGWNYCtu5HAjQhrQR","oaC7Gpiz9Z6d2dY6y","ocrGzw5sS92WiZSdg","ohKLwaYRR6zFshA3h","ooTqidpjmWW2boL5K","oqBS3F5sKKJicFn9w","pEakfumAHuDTy78R3","pPSNhKkAsNo4pWGL4","pbM7Z8pjbt4qYSooa","piAP6uogG5RRCvuB4","ptrjqAKpcLo7dSjCZ","pzeYCnLhWjjXpYbib","q23a3FbiDqyP55Z43","qTNTtTRyATWTFFEiL","qcaXbWr35ABDwyJHK","qtc5TNg5rxrdWkRM8","que857XZDCqcA5nsu","rXufyATwaN99uGNBA","rmEfuRWuDqbmjbvqB","rmxt5WYHE3m5AoHcH","s6r8qW2v9brmD9GLZ","s7NjXjXpFB89Zw9sH","s9dKEg8DjoEL4LzX3","sWoyhLmboYMbhTjjK","sp4YiocmESGqKSn7S","szgRmM7gjrnRukwQb","t2uXTZSYyvp2jN9ZR","t5YB9mdcZMC2ab2Sg","t5i9tnsDSxh7h4cey","tN6nsHGvEm68pqjDr","tNhcct6kJP9EHQMvc","tNsDjxF92PjcHALvM","tR3CnPBECjQPDiZNJ","tWXvm5i2nS4C2TzqR","tmWNDzm7TShZHb89w","txGicXABcMKBqLEZo","u7EvDNsjM7jTBF6iM","uEGeeujdmyNzJuWz8","uGDrtXKCvHBgXMmbf","uZ6babwDz5EaMfMYe","ubbsL29PwmtRxJDHq","uktGJRfoSYDLi3ocj","uod4myGY7mGwME3nE","urCTm73EvCmDt5hYf","usEJsq7tWRnyswyQM","vcPuBeTuryStApyxh","vhhM7rmv7Cd5YgmTB","vpSWPsMC8vL7cR3tg","vuL9CTNQfZMyag3pB","vuSuAbdtDHqvFfqHm","w2s6qWMM9aDBnBWGT","w6hacABvQKgDcsaQM","w9FheKFfiNRJc6FfN","wCBLFXk7hEBXWozA3","wD2DSYRrgKQpWxw8R","wGpTbFApHpshDuMPd","wQdjkmGSAYH4ArNTe","wbC8B5kb7CEMjJNKC","x8Rvk5R2ngqmpHFCr","xBy2bneRPLMXeGnew","xNEKzXB6KXeJzFNwm","xR6Wt28qmKTot2ACQ","xSnjqy7jr6ZLtpRJ3","xWfqWBycQiSdTmWj3","xuqm98Yy5FkjuKvuh","xvCT4bTAArrWiZeYX","xzNERCA3RuF45nmAx","yJGmpRaWYzKAFxteY","yYm9xXb5fPSHpHeFv","yaCn6YaPQHtZEXeHK","ybBKBgFsPx3FvEBgS","ygsFGRWAYx6szbfsE","ymmEkiZ33fTDWbFZ8","yu8F4BAGYEaAMS8q7","ywHBuzKDxCmQbw6n9","zB7qpjErSJqoqHZuS","zEKAoMuQFu2MaX59N","zn57oXWr8v2LkAm8Y","znQ5PouiiuZXX3hTJ","zzBhvk5qAMCeskHpR"],"author_short":["Fishe, R. P.","Smith, A."],"bibdata":{"bibtype":"article","type":"article","title":"Identifying Informed Traders in Futures Markets","author":[{"propositions":[],"lastnames":["Fishe"],"firstnames":["Raymond","P.H."],"suffixes":[]},{"propositions":[],"lastnames":["Smith"],"firstnames":["Aaron"],"suffixes":[]}],"journal":"Journal of Financial Markets","volume":"15","number":"3","pages":"329–359","year":"2012","url":"https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf","keywords":"finance","abstract":"We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.","publisher":"North-Holland","bibtex":"@article{fishe2012identifying,\r\n title={Identifying Informed Traders in Futures Markets},\r\n author={Fishe, Raymond P.H. and Smith, Aaron},\r\n journal={Journal of Financial Markets},\r\n volume={15},\r\n number={3},\r\n pages={329--359},\r\n year={2012},\r\n\turl={https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf},\r\n\tkeywords={finance},\r\n\tabstract={We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.},\r\n publisher={North-Holland}\r\n}\r\n\r\n\r\n","author_short":["Fishe, R. P.","Smith, A."],"key":"fishe2012identifying","id":"fishe2012identifying","bibbaseid":"fishe-smith-identifyinginformedtradersinfuturesmarkets-2012","role":"author","urls":{"Paper":"https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf"},"keyword":["finance"],"metadata":{"authorlinks":{"smith, a":"https://asmith.ucdavis.edu/publications"}},"downloads":2},"bibtype":"article","biburl":"https://www.dropbox.com/s/1yaa9wha4jhlrgu/pubs.bib?dl=1","creationDate":"2020-03-23T21:37:30.531Z","downloads":2,"keywords":["finance"],"search_terms":["identifying","informed","traders","futures","markets","fishe","smith"],"title":"Identifying Informed Traders in Futures Markets","year":2012,"dataSources":["m3trFABzuGWj6pcfa","4PiJhMSXhsNKJ9rxM"]}