Cross-product manipulation involves manipulating one financial product to profit from the subsequent reaction in a different but related product. In this paper, we develop a simple model that researchers and regulators can use to scan for the susceptibility of two markets to such misconduct. We also test the model empirically on a set of government bond futures contracts using a complete EUREX ultra-high-frequency dataset. Our findings show that cross-product manipulation is feasible across bond futures with different underlying maturities, issuers and contract expiry dates. The results suggest that cross-product manipulation might be widespread despite an increasing crackdown by regulators and prosecutors.

中文翻译：

---

检测欧洲期货交易所固定收益期货市场的跨产品操纵风险

跨产品操纵涉及操纵一种金融产品，从另一种不同但相关产品的后续反应中获利。在本文中，我们开发了一个简单的模型，研究人员和监管机构可以使用该模型来扫描两个市场对此类不当行为的敏感性。我们还使用完整的 EUREX 超高频数据集在一组政府债券期货合约上对模型进行了实证测试。我们的研究结果表明，跨产品操纵在不同标的期限、发行人和合约到期日的债券期货中是可行的。结果表明，尽管监管机构和检察官加大了打击力度，但跨产品操纵可能仍很普遍。