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In futures exchanges, a scalper is considered as a noninstitutional trader who makes a great number of purchases and sales each day. Th e scalper maintains the resulting positions for only brief intervals of time, and holds either zero or small net overnight positions. He/she purchases and sells quickly, making either little profi t or loss. In general, the scalper is ready to purchase at a lower price than the last transacted price and to sell at a fraction higher, therefore generating market liquidity. Silber (1984) found that the average scalper holds positions open for approximately 2 min and trades an average of 2.9 contracts per trade. Working (1977) found that a typical scalper holds positions open from 1 to 9 min and trades only one to four contracts at a time.