MARKET-MAKING BEHAVIOR IN FUTURES MARKETS

This 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.


Subject(s):
Issue Date:
2001
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/18961
Total Pages:
24
Series Statement:
2001 Conference, St. Louis, MO, April 23-24, 2001




 Record created 2017-04-01, last modified 2017-08-24

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)