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Execution edge of pit traders and intraday price ranges of soft commodities

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  • Igor Kliakhandler

Abstract

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.

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  • Igor Kliakhandler, 2007. "Execution edge of pit traders and intraday price ranges of soft commodities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 343-350.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:343-350
    DOI: 10.1080/09603100600690093
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    Cited by:

    1. Scott Brown & Timothy Koch & Eric Powers, 2009. "Slippage And The Choice Of Market Or Limit Orders In Futures Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 309-335, September.
    2. Neda Todorova, 2012. "Volatility estimators based on daily price ranges versus the realized range," Applied Financial Economics, Taylor & Francis Journals, vol. 22(3), pages 215-229, February.

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