A Model to Quantify the Risk of CrossProduct Manipulation: Evidence from the European Government Bond Futures Market

Alexis Stenfors, Kaveesha Dilshani, Andy Guo, Pater Mere

Research output: Working paper


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.
Original languageEnglish
PublisherUniversity of Portsmouth
Number of pages36
Publication statusPublished - 27 Aug 2023

Publication series

NamePortsmouth Business School, Working Papers in Economics & Finance

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