Using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market, the authors find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset of large elite traders possesses significant forecasting ability, indicating that they not only are able to consistently anticipate the direction of price changes but are also on the right side of the market when large price changes occur. Hence, certain futures market traders accumulate trading experience and knowledge, permitting them to accrue considerable wealth. Copyright 1994 by University of Chicago Press.
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