Price Change Attribution During the Settlement Window
14 Pages Posted: 19 May 2020
Date Written: April 22, 2020
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: Suggested Citation