文档介绍：Journal of Financial Economics 69 (2003) 375–397
An examination of own account trading by dual
traders in futures markets$
Sugato Chakravartya,*, Kai Lib
a Purdue University, West Lafayette, IN 47907, USA
b University of British Columbia, Vancouver, Canada V6T 1Z2
Received 19 January 2001; received in revised form 9 April 2002; accepted 21 March 2003
Abstract
Using proprietary audit trail transaction piled by modity Futures Trading
Commission, we investigate at the individual trader level (1) the timing and (2) the determinants
of dual traders’ personal trades. Our analysis reveals an absence of any trade timing by dual
traders in relation to the execution of their customers’ orders. Further examination employing
correlation statistics and time series regressions provides strong support for the proposition that
dual traders supply liquidity and actively manage inventory. Even after simultaneously
controlling for factors representing information, liquidity supply, and inventory control, within
a multivariate regression framework, liquidity supply and inventory control remain as the
determinants of dual traders’ personal trades. Overall, the emergent profile of a dual trader is
that of an uninformed trader plimentary tasks.
r 2003 Elsevier . All rights reserved.
Keywords: Dual trading; Front-running; Informed trader; Inventory; Liquidity; G20; G28
$We thank two anonymous referees for their detailed and ments, Steve Mann for
providing the data, and Peter Locke for clarifying institutional details. We also thank Doron Avramov,
Murray Carlson, David Denis, Gerry Garvey, RobHeinkel, Alexander Kempf, Alan Kraus, John
McConnell, . Prabhala, Asani Sarkar, Avanidhar Subrahmanyam (Subra), Raman Uppal, and
seminar participants at Purdue University, York University, and the Chicago Board of Trade 13th Annual
European Futures Research Symposium in Scotland for ments and suggestions on the present,
and earlier, versions of the paper. Marta Su