Detecting the risk of cross-product manipulation in the EUREX fixed income futures market
本文开发了一个简单模型，帮助研究人员和监管者扫描两个市场对跨产品操纵的敏感性，并用EUREX高频数据实证检验，发现不同期限、发行人和到期日的债券期货间存在操纵风险。
Cross-product manipulation involves manipulating one financial product to profit from the subsequent reaction in a different but related product. In this paper, we develop a simple model that researchers and regulators can use to scan for the susceptibility of two markets to such misconduct. We also test the model empirically on a set of government bond futures contracts using a complete EUREX ultra-high-frequency dataset. Our findings show that cross-product manipulation is feasible across bond futures with different underlying maturities, issuers and contract expiry dates. The results suggest that cross-product manipulation might be widespread despite an increasing crackdown by regulators and prosecutors.