MARKET-MAKING BEHAVIOR IN FUTURES MARKETS

Holly Liu, Jeffrey C. Williams and Oscar Jorda ()

No 18961, 2001 Conference, April 23-24, 2001, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: 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.

Keywords: Liquidity; Market-Making; Futures Markets; Scalpers; Autoregressive Conditional Intensity (ACI); Volatility; Marketing (search for similar items in EconPapers)
Date: 2001
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