On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal
Year of publication: |
2013
|
---|---|
Authors: | Chen, Haojun ; Maher, Daniela |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 27.2013, C, p. 177-201
|
Publisher: |
Elsevier |
Subject: | Institutional traders | S&P500 futures | Open interest | COT report | Market efficiency |
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