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盈利来源，发现他们为市价单提供流动性，促进商业套期保值，且盈利与买卖价差正相关、与持仓时间负相关。
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.