Unravelling the JPMorgan spoofing case using particle physics visualization methods

P. Debie; C. Gardebroek; S. Hageboeck; P. van Leeuwen; L. Moneta; A. Naumann; J.M.E. Pennings; A.A. Trujillo-Barrera; M.E. Verhulst

doi:10.1111/eufm.12353

Unravelling the JPMorgan spoofing case using particle physics visualization methods

P. Debie, C. Gardebroek, S. Hageboeck, P. van Leeuwen, L. Moneta, A. Naumann, J.M.E. Pennings, A.A. Trujillo-Barrera, M.E. Verhulst^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

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.

Original language	English
Pages (from-to)	288-326
Number of pages	39
Journal	European Financial Management
Volume	29
Issue number	1
Early online date	8 Feb 2022
DOIs	https://doi.org/10.1111/eufm.12353
Publication status	Published - Jan 2023

Keywords

high-frequency trading
limit order book
particle physics
spoofing
visualization
ORDER BOOK
MANIPULATION

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abstract = "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.",

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AU - Moneta, L.

AU - Naumann, A.

AU - Pennings, J.M.E.

AU - Trujillo-Barrera, A.A.

AU - Verhulst, M.E.

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KW - limit order book

KW - particle physics

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KW - ORDER BOOK

KW - MANIPULATION

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Unravelling the JPMorgan spoofing case using particle physics visualization methods

Abstract

Keywords

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