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Non-institutional Market Making Behavior: The Dalian Futures Exchange

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Author Info
Jorda, Oscar (U of California, Davis)
Liu, Holly (KPMG)
Williams, Jeffrey (U of California, Davis)

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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 Jorda 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).

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Publisher Info
Paper provided by University of California at Davis, Department of Economics in its series Working Papers with number 02-4.

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Date of creation: Apr 2002
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Handle: RePEc:ecl:ucdeco:02-4

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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  1. 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 937-53, September. [Downloadable!] (restricted)
  2. Grossman, S.J. & Miller, M.H., 1988. "Liquidity And Market Structure," Papers 88, Princeton, Department of Economics - Financial Research Center.
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