Dynamic trading value at risk: Futures floor trading

Jongdoo Lee and Peter Locke

Journal of Futures Markets, 2006, vol. 26, issue 12, 1217-1234

Abstract: Speculative traders' dynamic trading strategies are not easy to model, because they depend on latent information flows and preferences. As a result, the risks involved in such strategies may only be revealed by examining empirical distributions of ex post returns to traders engaged in speculative activities. The authors' comprehensive data from futures floor trader's proprietary trading allows for an empirical examination of one prominent type of speculative trader risk. It is shown that floor trader “value at risk” can be predicted somewhat, using simple market variables such as volume and volatility. Although some predictability for the crosssectional distribution of floor trader income, and hence risk was found, not much was determined in terms of trader‐specific characteristics. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1217–1234, 2006

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:26:y:2006:i:12:p:1217-1234

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().