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Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Working Paper No. 02-4
Verlag: 
University of California, Department of Economics, Davis, CA
Zusammenfassung: 
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).
Schlagwörter: 
market making
autoregressive conditional intensity
high-frequency data
JEL: 
G13
G14
C32
Dokumentart: 
Working Paper

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