Short-Term Rate Benchmarks: The Post-LIBOR Regime
B Tuckman - Annual Review of Financial Economics, 2023 - annualreviews.org
The London Interbank Offered Rate (LIBOR), the predominant family of global short-term
rate benchmarks for the past 40 years, ceased to exist in June 2023. Given the low volumes …
rate benchmarks for the past 40 years, ceased to exist in June 2023. Given the low volumes …
[HTML][HTML] Sharks in the dark: Quantifying HFT dark pool latency arbitrage
We investigate stale reference pricing and liquidity provision in dark pools using proprietary,
participant-level regulatory data. We show a substantial amount of stale trading occurs …
participant-level regulatory data. We show a substantial amount of stale trading occurs …
[HTML][HTML] To fix or not to fix: The representativeness of the WM/R methodology that underpins the FX benchmark rates. A pre-registered report
This paper examines the effectiveness of the WM/Reuters (WM/R) methodology for FX
benchmark rates since its revision in 2015. After a series of market manipulation scandals …
benchmark rates since its revision in 2015. After a series of market manipulation scandals …
Competition and manipulation in derivative contract markets
AL Zhang - Journal of Financial Economics, 2022 - Elsevier
This paper studies manipulation in derivative contract markets. When traders hedge factor
risk using derivative contracts, traders can manipulate settlement prices by trading the …
risk using derivative contracts, traders can manipulate settlement prices by trading the …
[HTML][HTML] Should underwriters be trusted? Reducing agency costs through primary market supervision
We examine the mandated introduction of a supervised auction framework within China's
primary bond market. This regulatory intervention resulted in a substantial reduction in debt …
primary bond market. This regulatory intervention resulted in a substantial reduction in debt …
Quote-Based manipulation of illiquid securities
We document the effects of a manipulation akin to marking the close, conducted without any
manipulative trades. Using prosecuted cases, we examine how manipulators can utilize …
manipulative trades. Using prosecuted cases, we examine how manipulators can utilize …
The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures
We examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark
published by Platts. Trading activity in the futures market intensifies during the benchmark …
published by Platts. Trading activity in the futures market intensifies during the benchmark …
Call auction, continuous trading and closing price formation
J Li, S Luo, G Zhou - Quantitative Finance, 2021 - Taylor & Francis
The Shanghai Stock Exchange changed its trading mechanism of the preceding three
minutes to closing from continuous trading to call auction on August 20, 2018, while …
minutes to closing from continuous trading to call auction on August 20, 2018, while …
[PDF][PDF] HFT dark pool latency arbitrage
We investigate stale reference pricing and liquidity provision in dark pools using proprietary,
participant-level regulatory data. We show a substantial amount of stale trading occurs …
participant-level regulatory data. We show a substantial amount of stale trading occurs …
Optimal closing benchmarks
C Frei, J Mitra - Finance Research Letters, 2021 - Elsevier
In financial markets, the closing price serves as an important benchmark. We introduce a
market model to analyze the stability of the closing price with presence of three types of …
market model to analyze the stability of the closing price with presence of three types of …