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| Titel: |
Execution edge of pit traders and intraday price ranges of soft commodities |
| Auteur: |
Kliakhandler, Igor L. |
| Verschenen in: |
Applied financial economics |
| Paginering: | Jaargang 17 (2007) nr. 5 pagina's 343-350 |
| Jaar: |
2007-03 |
| Inhoud: |
Intraday activity of open outcry pit traders and mechanics of price formation are important for short-term traders, money managers and regulatory bodies. In particular, congestions of stop-loss and limit orders, as well as subsequent highs/lows of the daily prices are among the most important features traders are interested in. We present a comparison of range-based and close-to-open volatility estimators for US-traded soft physical commodities. The comparison indicates that pit traders are able to identify the congestions of pre-placed stop orders, reach them and liquidate on them, or let the prices run. The comparison also suggests a substantial execution edge of soft commodities pit traders compared to currencies traders. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 4 van 8 gevonden artikelen
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