Smart Money? The Forecasting Ability of CFTC Large Traders

Dwight R. Sanders, Scott Irwin and Robert P. Merrin

No 37556, 2007 Conference, April 16-17, 2007, Chicago, Illinois from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: 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.

Keywords: Agricultural Finance; Financial Economics (search for similar items in EconPapers)
Pages: 21
Date: 2007-04
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccsci:37556

DOI: 10.22004/ag.econ.37556

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