Unravelling the JPMorgan spoofing case using particle physics visualization methods

On 29 September 2020, JPMorgan was ordered to pay a settlement of $920.2 million for spoofing the metals and Treasury futures markets from 2008 to 2016. We examine these cases using a visualization method developed in particle physics (CERN) and the messages that the exchange receives about market a...

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Bibliographic Details
Published in:European financial management : the journal of the European Financial Management Association 2023-01, Vol.29 (1), p.288-326
Main Authors: Debie, Philippe, Gardebroek, Cornelis, Hageboeck, Stephan, Leeuwen, Paul, Moneta, Lorenzo, Naumann, Axel, Pennings, Joost M. E., Trujillo‐Barrera, Andres A., Verhulst, Marjolein E.
Format: Article
Language:English
Subjects:
Futures market
high‐frequency trading
limit order book
Manipulation
Metals
Motivation
Particle physics
Physics
Research methodology
spoofing
Time use
Visualization
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Summary:On 29 September 2020, JPMorgan was ordered to pay a settlement of $920.2 million for spoofing the metals and Treasury futures markets from 2008 to 2016. We examine these cases using a visualization method developed in particle physics (CERN) and the messages that the exchange receives about market activity rather than time‐based snapshots. This approach allows to examine multiple indicators related to market manipulation and complement existing research methods, thereby enhancing the identification and understanding of, as well as the motivation for, market manipulation. In the JPMorgan cases, we offer an alternative motivation for spoofing than moving the price.
ISSN:1354-7798
1468-036X
DOI:10.1111/eufm.12353