Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets
利用代表性抢帽子者的交易数据，分析其作为做市商的角色，发现他们通过提供流动性服务赚取收益，收益与买卖价差正相关、与持仓时间负相关。
ABSTRACT This paper focuses on the role of scalpers as marketmakers in the competitive auction of futures exchanges. We use transactions data of a representative scalper to identify the source of scalper earnings. We find that scalpers provide liquidity services to incoming market orders, thereby facilitating commercial hedging. Scalper earnings are positively related to the bid‐asked spread and negatively related to the length of time a position is held.