Market-Making Behavior In Futures Markets
AbstractThis paper examines voluntary market-making behavior, namely scalping, in futures markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The data used for the analysis are time-stamped electronic transaction data marked with traders' identities from the Dalian Futures Exchanges in China. The contributions of this paper are: (1) to give detailed analysis of scalping behavior and its impact on market liquidity; (2) to develop new econometric tools for analyzing time-series count data; (3) to propose a new measure of liquidity.
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Bibliographic InfoPaper provided by NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2001 Conference, April 23-24, 2001, St. Louis, Missouri with number 18961.
Date of creation: 2001
Date of revision:
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Web page: http://www.agebb.missouri.edu/ncrext/ncr134/
Liquidity; Market-Making; Futures Markets; Scalpers; Autoregressive Conditional Intensity (ACI); Volatility; Marketing;
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