Strategic trading and manipulation in trade at settlement contracts
研究了期货交易所广泛使用的结算价交易合约如何被大型中介机构用于策略性甚至操纵性交易，导致价格过度波动，并探讨了检测此类交易的方法。
Abstract Trade at settlement (“TAS”) contracts are widely employed by futures exchanges. They are an example of a “derived pricing” mechanism that reduces the transactions costs of uninformed traders. However, TAS contracts are susceptible to strategic, and indeed manipulative, trading by large intermediaries. Those with large TAS positions can profit from trading strategically/manipulatively, and this trading tends to cause excessive price movements. Moreover, some of the price impacts of such strategic trading are permanent. The severity of strategic/manipulative trading and its effects depends on the concentration of TAS positions, and information on concentration and price movements can be used to detect such trading.