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首页> 外文会议>31st IAEE annual international conference >Energy futures market liquidity: An analysis of the roles of commercial and noncommercial traders in the NYMEX futures energy complex
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Energy futures market liquidity: An analysis of the roles of commercial and noncommercial traders in the NYMEX futures energy complex

机译：能源期货市场的流动性：商业和非商业交易者在纽约商品交易所期货能源综合体中的作用分析

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The futures markets are important sources of price discovery and risk mitigation for energy sector participants. These markets are able to provide these critical services at relatively low costs because of the high degree of liquidity that has come to epitomize them. The high level of liquidity observed is enhanced by the participation in these futures markets by non-commercial traders of energy futures contracts. Nevertheless, this class of futures market trader is also typically blamed for perceived volatility, and they are sometimes accused of destabilizing the very markets in which their participation improves efficiency and lowers costs to those commercial traders looking for price discovery and risk mitigation services. rnThis paper will analyze the relative roles of commercial and non-commercial traders in the New York Mercantile Exchange (NYMEX) energy futures complex, which includes contracts for crude oil, gasoline, heating oil, and natural gas. The source of data for this analysis is the Commitment of Traders database on large traders maintained by the Commodity Futures Trading Commission (CFTC) in the United States. The CFTC is the regulatory body with oversight responsibility for all futures and options trading on all exchanges operating in the US. This database reports the open interest volumes of all market traders aggregated into to groupings based on the underlying purpose of trading activity. The database reports long and short positions for these groups, plus spread positions for non-commercials, the data are based on weekly reports, and our data covers the period from October 1992 through the end of 2007. The two primary groups are commercial and non-commercial traders for reporting traders, with a residual group known as non-reporting. The non-reporting group is those traders who do not maintain open interest positions that exceed a set hurdle level, which differs by contract; by definition they are not large traders. rnThe distinction between commercial and non-commercial is basically that commercial traders are those who use the underlying commodity in their business, such as refiners who use crude oil or electricity generators who use natural gas, while noncommercials do not use the underlying commodity as part of their ongoing business. The two groups are sometimes differentiated as hedgers versus speculators, however there is no direct mapping possible between commercials and hedgers nor between non-commercials and speculators.
机译：对于能源行业的参与者而言，期货市场是价格发现和降低风险的重要来源。这些市场能够以相对较低的成本提供这些关键服务，这是因为它们体现了高度的流动性。非商业交易者对能源期货合约的参与，增强了所观察到的高流动性。然而，这类期货市场交易者通常也被认为是市场波动的罪魁祸首，有时他们被指控破坏了市场的稳定，他们的参与提高了市场效率，并降低了寻求价格发现和风险缓解服务的商业交易者的成本。 rn本文将分析商业和非商业交易者在纽约商品交易所（NYMEX）能源期货交易所中的相对角色，其中包括原油，汽油，取暖油和天然气的合同。此分析的数据源是美国商品期货交易委员会（CFTC）维护的大型交易者的交易者承诺数据库。 CFTC是监管机构，对美国境内所有交易所的所有期货和期权交易负有监督责任。该数据库报告基于交易活动的基本目的，汇总到分组中的所有市场交易者的未平仓交易量。该数据库报告这些组的多头和空头头寸，再加上非商业类的点差头寸，数据基于每周报告，我们的数据涵盖了从1992年10月到2007年底的时期。两个主要组是商业类和非商业类。 -商业交易员，用于报告交易员，带有称为“非报告”的剩余组。非报告组是指那些未保持未平仓合约头寸超过设定门槛水平（根据合同而有所不同）的交易员；从定义上说，他们不是大商人。 rn商业与非商业之间的区别基本上在于，商业商人是指在其业务中使用基础商品的人，例如使用原油的炼油厂或使用天然气的发电机，而非商业则不将基础商品用作交易的一部分。他们正在进行的业务。这两组人有时被区分为套期保值者与投机者，但是在商业和套期保值者之间以及在非商业者和投机者之间没有直接映射的可能。

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