Non-Institutional Market Making Behavior: The Dalian Futures Exchange
This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and customer identities, variables not usually obtainable; (2) it presents new econometric methods for the analysis of dynamic multivariate count data based on the autoregressive conditional intensity model of JordÃ and Marcellino (2000); and (3) together, the new data and econometric methods allow us to investigate, in a manner not available before, the determinants and effects of non-institutional market making (or scalping).
|Date of creation:||16 Jan 2003|
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"Liquidity and Market Structure,"
NBER Working Papers
2641, National Bureau of Economic Research, Inc.
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- Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, Oxford University Press, vol. 82(1), pages 33-53.
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