Unravelling the JPMorgan spoofing case using particle physics visualization methods

Philippe Debie; Cornelis Gardebroek; Stephan Hageboeck; Paul van Leeuwen; Lorenzo Moneta; Axel Naumann; Joost M.E. Pennings; Andres A. Trujillo-Barrera; Marjolein E. Verhulst

doi:10.1111/eufm.12353

Unravelling the JPMorgan spoofing case using particle physics visualization methods

Philippe Debie, Cornelis Gardebroek, Stephan Hageboeck, Paul van Leeuwen, Lorenzo Moneta, Axel Naumann, Joost M.E. Pennings, Andres A. Trujillo-Barrera, Marjolein 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
Journal	European financial management
Volume	29
Issue number	1
Early online date	24 Jan 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

Access to Document

10.1111/eufm.12353Licence: CC BY-NC-ND

https://edepot.wur.nl/566598Licence: CC BY-NC-ND

Cite this

@article{d9c22b3c2abc407b9f4bc7756fc0f3d6,

title = "Unravelling the JPMorgan spoofing case using particle physics visualization methods",

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.",

keywords = "high-frequency trading, limit order book, particle physics, spoofing, visualization",

author = "Philippe Debie and Cornelis Gardebroek and Stephan Hageboeck and {van Leeuwen}, Paul and Lorenzo Moneta and Axel Naumann and Pennings, {Joost M.E.} and Trujillo-Barrera, {Andres A.} and Verhulst, {Marjolein E.}",

note = "Publisher Copyright: {\textcopyright} 2022 The Authors. European Financial Management published by John Wiley & Sons Ltd.",

year = "2023",

month = jan,

doi = "10.1111/eufm.12353",

language = "English",

volume = "29",

pages = "288--326",

journal = "European financial management",

issn = "1354-7798",

publisher = "Wiley",

number = "1",

}

TY - JOUR

T1 - Unravelling the JPMorgan spoofing case using particle physics visualization methods

AU - Debie, Philippe

AU - Gardebroek, Cornelis

AU - Hageboeck, Stephan

AU - van Leeuwen, Paul

AU - Moneta, Lorenzo

AU - Naumann, Axel

AU - Pennings, Joost M.E.

AU - Trujillo-Barrera, Andres A.

AU - Verhulst, Marjolein E.

PY - 2023/1

Y1 - 2023/1

N2 - 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.

AB - 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.

KW - high-frequency trading

KW - limit order book

KW - particle physics

KW - spoofing

KW - visualization

U2 - 10.1111/eufm.12353

DO - 10.1111/eufm.12353

M3 - Article

AN - SCOPUS:85124552206

SN - 1354-7798

VL - 29

SP - 288

EP - 326

JO - European financial management

JF - European financial management

IS - 1

ER -

Unravelling the JPMorgan spoofing case using particle physics visualization methods

Abstract

Keywords

Access to Document

Fingerprint

Cite this