Determinants and Dynamic Interactions of Trader Positions in the Gold Futures Market

We investigate the determinants of different traders’ trading positions in the gold futures market. With a threshold value determined endogenously by our model, we find that when the gold futures price falls below the threshold, money managers adopt positive feedback trading strategies while swap dealers adopt negative feedback trading strategies. When the futures price rises above the threshold, money managers turn to negative feedback trading and swap dealers reduce the intensity of their negative feedback. In addition, money managers and swap dealers play the transmitter role in trading spillovers to other traders, and their trading transmitter role weakens during periods with high gold prices