Price Change Attribution During the Settlement Window

14 Pages Posted: 19 May 2020

See all articles by Ken Danger

Ken Danger

Commodity Futures Trading Commission

Matthew Flagge

Commodity Futures Trading Commission

James Outen

Commodity Futures Trading Commission

Date Written: April 22, 2020

Abstract

This paper proposes a novel and simple measure for evaluating trader impact on prices during the settlement period of price-taking derivative contracts, which we call the Price Change Attribution (PCA). We discuss how to calculate this measure, and demonstrate how it could be used to inform an analysis of whether a trader potentially engaged in manipulative conduct. We also discuss potential shortfalls and extensions from this measure, and demonstrate how it evolves over time for a sample of traders and products.

Keywords: Market Manipulation, Derivatives, Marking the Close, Settlement Price

JEL Classification: G12, G13, G18

Suggested Citation

Danger, Ken and Flagge, Matthew and Outen, James, Price Change Attribution During the Settlement Window (April 22, 2020). Available at SSRN: https://ssrn.com/abstract=3582532 or http://dx.doi.org/10.2139/ssrn.3582532

Ken Danger (Contact Author)

Commodity Futures Trading Commission ( email )

1155 21st Street NW
Washington, DC 20581
United States
202 418 5576 (Phone)

Matthew Flagge

Commodity Futures Trading Commission ( email )

United States

HOME PAGE: http://www.cftc.gov

James Outen

Commodity Futures Trading Commission ( email )

United States

HOME PAGE: http://www.cftc.gov

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