Semi-transparent markers in Matlab Figures

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I want to plot a scatter plot with filled markers and make them semi-transparent so when two or more markers overlap, the overlapping area will be more opaque.

I naively thought

sg = scatter(rand(1000,1),rand(1000,1), 'filled');
alpha(0.5)

would work, but it doesn't. Also

set(get(sg, 'Children'), 'FaceAlpha', 0.2)

doesn't work. Any ideas?

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