Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

Alexis Stenfors, Kaveesha Dilshani, Andy Gue, Peter Mere

Research output: Contribution to journalArticlepeer-review

10 Downloads (Pure)


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
Article number101984
Pages (from-to)1-22
Number of pages22
JournalJournal of International Financial Markets, Institutions and Money
Early online date28 Mar 2024
Publication statusPublished - 1 Apr 2024


  • bond futures
  • fixed income
  • cross-product manipulation
  • cross-market manipulation
  • limit order book
  • market microstructure
  • ramping
  • related securities
  • spoofing
  • trading
  • trade surveillance

Cite this