Trading and information in futures markets
研究了玉米期货中不同类型交易者（按客户类型指标分类）的交易行为，发现非会员消耗大部分日内流动性，而本地交易者作为做市商提供流动性，两者共同构成日内交易主体；隔夜交易主要由自营账户和其他本地交易者进行，反映套期保值和投机需求；公众和清算会员的隔夜头寸变化对每日价格发现贡献最大，而另一组交易者的头寸可能反映对未来价格变动的信息优势。
Abstract This paper studies the trading behavior of different types of traders (customer type indicators [CTI's]) in corn futures. Nonmembers (CTI4) consume most of the intraday liquidity while local traders (CTI1) as market makers are its main provider. Both groups combine most of the intraday trading volume. Interday trading comes mainly from proprietary accounts (CTI2) and other local traders' trades (CTI3), reflecting their longer‐term needs for hedging and speculation. Changes in the overnight positions of the general public (CTI4) and clearing members (CTI2) contribute mostly to daily price discovery, while the positions of CTI3 group reflect possible information advantage about future price movements.