No matter how pronounced intraday patterns may appear, it is difficult to account for cross-correlations among related assets when those assets trade continuously and simultaneously. Futures contracts are auctioned periodically and sequentially on the Tokyo Grain Exchange (TGE). Even though...

This paper examines voluntary market-making behavior, namely scalping, in futures markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The data used for the analysis are time-stamped electronic...