@techreport{386cd4937d3f4d60841764286b5a8a98,
title = "A Model to Quantify the Risk of CrossProduct Manipulation: Evidence from the European Government Bond Futures Market",
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.",
author = "Alexis Stenfors and Kaveesha Dilshani and Andy Guo and Pater Mere",
year = "2023",
month = aug,
day = "27",
language = "English",
series = "Portsmouth Business School, Working Papers in Economics & Finance",
publisher = "University of Portsmouth",
address = "United Kingdom",
type = "WorkingPaper",
institution = "University of Portsmouth",
}