Graduate Student Papers Page

Laura Elena Serban

Job Market Paper

Active Traders, Capital and Liquidity (coming soon!)

Understanding the determinants of liquidity is important for asset pricing as well as market design. I investigate how variation in the capital of active speculators trading across multiple securities affects their liquidity provision and the extent to which it explains time-variation in aggregate market liquidity. I analyze the entire trading and order records of all participants on the National Commodity and Derivatives Exchange, a leading platform for agricultural commodity futures between 2004Q1-2008Q1. To control for the endogeneity of the trading process, price expectations and capital availability, I identify exogenous shocks to speculators’ capital in the form of losses in one commodity unrelated to the fundamentals of another commodity. My findings are as follows. First, a small fraction of traders account for an overwhelming share of activity and participate in the market for a large number of commodities. Second, while we find some evidence that participation levels and the aggregate liquidity in a security are affected by active traders' revenue shocks from fundamentally unrelated securities, such spillovers are economically small. This could be due to the competitive environment of our market setting.

Working Papers

Informed Trading when Information is Publicly Available: Evidence from Agricultural Commodity Futures (with Stefan Hunt)

This paper demonstrates superior local returns in agricultural commodity futures. We analyze a dataset of the full trading records of the National Commodity Derivatives Exchange in India for over three years from its inception in India in 2003, a period in which it became a major agricultural futures market. We find that investors bias their portfolios towards crops grown in their local area, even amongst traders who turnover positions frequently. Annual returns in local commodities are 3.2% higher, fully collateralized, than in non-local commodities. These returns are concentrated in commodities where India has a high percentage of world production and are weather sensitive. Our results are consistent with the hypothesis that traders possess superior information on domestic supply due to lower information acquisition costs caused by proximity to crop production centers.

Work in Progress

Weather Shocks, Firms and Return Predictability (with Shawn Cole)
What order strategies do informed traders use?
Do brokers benefit from access to customer order flow?

Other

Self-Organization in Peer-to-Peer Systems
(with Jonathan Ledlie, Jacob Taylor and Margo Seltzer)
In Proceedings of European SIGOPS, September 2002.

Scaling Filename Queries in a Large-Scale Distributed File System (with Jonathan Ledlie and Dafina Toncheva)
Harvard University Technical Report TR-03-02, January 2002.