Competition and Manipulation in Derivative Contract Markets
Competition and Manipulation in Derivative Contract Markets
复制标题
衍生品合约市场的竞争与操纵
DOI：
10.2139/ssrn.3413265
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发表时间：
2020
期刊：
影响因子：
--
通讯作者：
Anthony Lee Zhang
中科院分区：
文献类型：
--
作者：
Anthony Lee Zhang
本文研究了现金结算衍生品合约市场中的操纵行为。当交易者使用基于现货价格结算的现金结算衍生品对冲要素风险时，交易者可以通过交易现货来操纵结算价格。在均衡中，操纵可以使所有的代理人变得更糟。我定义了两个措施，操纵引起的福利损失，这可以使用通常观察到的市场数据进行估计。使用这些措施，我估计有多大的操纵引起的扭曲，如果COMEX黄金期货是现金结算使用伦敦金银市场协会黄金价格基准。
This paper studies manipulation in cash-settled derivative contract markets. When traders hedge factor risk using cash-settled derivatives, which are settled based on the price of a spot good, traders can manipulate settlement prices by trading the spot good. In equilibrium, manipulation can make all agents worse off. I define two measures of manipulation-induced welfare losses, which can be estimated using commonly observed market data. Using these measures, I estimate how large manipulation-induced distortions would be if COMEX gold futures were cash-settled using the London Bullion Market Association gold price benchmark.
影响因子：
6.1
作者：
KLEMPERER, PD;MEYER, MA
通讯作者：
MEYER, MA