We test the prevalence, sources and effects of herding among large speculative traders in thirty U.S. futures markets over 2004-2009. Using unique U.S. Commodity Futures Trading Commission (CFTC) data identifying daily trader positions we compare herding among hedge funds and floor market...

We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures market, and implied from the options market. Information...

This article examines the personal trading strategies of member proprietary traders in the natural gas futures options market. Trading activity is found to mirror previous findings in futures markets, specifically high frequency trading, with low risk exposure. The portfolio of risk holdings by...

We utilize detailed, trader level data to examine the role of speculators during the failure of Amaranth Advisors, Inc. We find that speculators serve as a stabilizing force during this period, maintaining or increasing long positions even while prices are falling. We develop two testable...

We analyze the adaptation of traders and the determinants of trader survival during a period of changing market structures. Our unique sample of transactions level data covers the introduction of electronic trading in the NYMEX energy futures market. The results show that most floor traders...

This paper reviews the more recent literature addressing different facets of speculation in commodity markets, including the role of speculators and the impact that financialization in recent years. While speculation and financialization can theoretically destabilize commodity markets, the...

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January 1990 to July 2016, our model simultaneously matches...

This article examines the relationship between naked short selling and accounting irregularities that cause a firm to issue a restatement. Using the level of fails to deliver as a proxy for naked short selling, we find evidence of increased naked short selling in anticipation, as well as in...