Market Manipulation, Bubbles, Corners, and Short Squeezes

Robert Jarrow ()

Chapter 6 in Financial Derivatives Pricing:Selected Works of Robert Jarrow, 2008, pp 105-130 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper investigates market manipulation trading strategies by large traders in a securities market. A large trader is defined as any investor whose trades change prices. A market manipulation trading strategy is one that generates positive real wealth with no risk. Market manipulation trading strategies are shown to exist under reasonable hypotheses on the equilibrium price process. Sufficient conditions for their nonexistence are also provided.

Keywords: Derivatives; Options; Hedging; HJM; Black–Scholes; Forwards; Futures; Martingale Measure; Calls; Puts; Market Manipulation; Margin Requirements (search for similar items in EconPapers)
Date: 2008
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Journal Article: Market Manipulation, Bubbles, Corners, and Short Squeezes (1992)
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