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Non-Institutional Market Making Behavior: The Dalian Futures Exchange

Author

Listed:
  • Oscar Jorda
  • Holly Liu
  • Jeffrey Williams

    (Department of Economics, University of California Davis)

Abstract

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 Jordà 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).

Suggested Citation

  • Oscar Jorda & Holly Liu & Jeffrey Williams, 2003. "Non-Institutional Market Making Behavior: The Dalian Futures Exchange," Working Papers 41, University of California, Davis, Department of Economics.
    • Handle: RePEc:cda:wpaper:41
    as

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    File URL: https://repec.dss.ucdavis.edu/files/g84JZgpaLABcHkYrzTS9YoAw/02-4.pdf
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    References listed on IDEAS

    as
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    5. Silber, William L, 1984. "Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets," Journal of Finance, American Finance Association, vol. 39(4), pages 937-953, September.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    market making; autoregressive conditional intensity; high-frequency data;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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