Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

Alexis Stenfors, Kaveesha Dilshani, Andy Guo and Peter Mere

Journal of International Financial Markets, Institutions and Money, 2024, vol. 92, issue C

Abstract: 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.

Keywords: Bond futures; Fixed income; Cross-product manipulation; Cross-market manipulation; Limit order book; Market microstructure; Ramping; Related securities; Spoofing; Trading; Trade surveillance (search for similar items in EconPapers)
JEL-codes: D4 F31 G1 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000507

DOI: 10.1016/j.intfin.2024.101984

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