Research Discussion Paper – RDP 2004-07 The Profitability of Speculators in Currency Futures Markets

Contents

• Introduction
• Description of the Data
• Profitability
• Explaining Speculator Profitability
• Conclusions
• Appendix A: Stationarity Tests
• References

The authors are grateful to Barry Goss, Marianna Grimaldi, Luci Ellis and Anthony Richards for helpful comments. Responsibility for any errors rests with the authors. The views expressed in this paper are those of the authors and should not be attributed to the Reserve Bank.