Pursuing MIDAS and Open Interest More Deeply

So far in this chapter I've briefly explored a role for open interest in MIDAS studies parallel to the one discussed in Chapter 11. However, my main goal in this chapter is to examine open interest data more thoroughly alongside MIDAS to arrive at a new and genuinely helpful set of market timing tools.

To do this, we must have a reasonable understanding of how open interest is broken down in the weekly Commitments of Traders (COT) report published by the Commodity Futures Trading Commission (CFTC). Thus, the next section will again be expository in nature as we gain sufficient information on the COT report to be able to investigate in the remainder of the chapter two primary questions:

  1. Which category ...

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