Template-Type: ReDIF-Paper 1.0
Author-Name: Oscar Jorda
Author-Name-First: Oscar
Author-Name-Last: Jorda
Author-Name: Holly Liu
Author-Name-First: Holly
Author-Name-Last: Liu
Author-Name: Jeffrey Williams
Author-Name-First: Jeffrey
Author-Name-Last: Williams
Author-Workplace-Name: Department of Economics, University of California Davis
Title: Non-Institutional Market Making Behavior:  The Dalian Futures Exchange
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).
Length: 38
File-URL: https://repec.dss.ucdavis.edu/files/g84JZgpaLABcHkYrzTS9YoAw/02-4.pdf
File-Format: application/pdf
Number: 41
Classification-JEL: G13, G14, C32
KeyWords: market making, autoregressive conditional intensity, high-frequency data
Creation-Date: 20030115
Handle: RePEc:cda:wpaper:41