Smart Money? The Forecasting Ability of CFTC Large Traders

The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders data set is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) market returns. However, there is substantial evidence that traders respond to price changes. In particular, non-commercial traders display a tendency for trend-following. The other trader classifications display mixed styles, perhaps indicating that those trader categories capture a variety of traders. The results generally do not support the use of the Commitment’s of Traders data in predicting market movements.


Issue Date:
2007-04
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/37556
Total Pages:
21




 Record created 2017-04-01, last modified 2017-08-21

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