The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures markets.,The Grinblatt et al.'s (1995) measure of momentum strategy is used to estimate the degree momentum and contrarian strategies. Then, regression analysis is used to determine the effects of trading strategies on volatility.,Up until 2005, the trades by non-clearing member firms in the futures market were separated from institutional traders providing us the opportunity to study trading strategies adopted by large distinct trading groups and its effects on volatility in the futures markets. It is found that individual traders use momentum strategy, whereas market makers and institutional traders use contrarian strategy. Momentum strategy adopted by individual traders increases volatility whereas contrarian strategy dampens volatility. Moreover, it is found that institutional traders engage more actively in contrarian trading when individual traders cause excessive volatility. The two distinct trading groups were separately tracked prior to 2005 giving us a unique window to determine the effect of the traders that conduct momentum trading as opposed to the ones that are contrarian traders. After the reclassification, the institutional trading group exhibited weaker contrarian strategy which can be attributed to the inclusion of non-clearing firm traders.,This study documents the first empirical evidence that shows off-exchange futures trader group is not composed of only pure noise makers, but there are short-term forecasters in its group. The authors also show a unique finding that noises caused by off-exchange group is from momentum strategy that they use, whereas contrarian strategy is used by institutional trader lower volatility.

中文翻译：

---

大型交易者团体破坏动量交易并平衡逆势策略

本文的目的是评估每个大型交易者团体采用的交易策略，并研究它们对利率期货市场波动性的影响。Grinblatt等人（1995年）的动量策略测度被用来估计交易量。学位动量和逆势策略。然后，使用回归分析来确定交易策略对波动性的影响。直到2005年，期货市场上非清算会员公司的交易与机构交易者分离开来，这为我们提供了研究大型不同公司采用的交易策略的机会。贸易集团及其对期货市场波动的影响。发现个人交易者使用动量策略，而做市商和机构交易者使用逆势策略。个体交易者采用的动量策略增加了波动性，而逆势策略则抑制了波动性。而且，发现当个体交易者引起过度波动时，机构交易者更积极地参与逆向交易。在2005年之前分别对两个不同的交易组进行了跟踪，从而为我们提供了一个独特的窗口来确定进行动量交易的交易者与反向交易者的效果。重新分类后，机构交易组显示出较弱的逆向策略，这可归因于非清算公司交易员的参与。本研究记录了第一笔经验证据，表明场外期货交易员组不仅由纯粹的噪声制造者组成，但该小组中有短期预报员。