Identifying and Characterising Opening Auction Manipulation

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Sean Foley

Topic: Identifying and Characterising Opening Auction Manipulation

Speaker: Sean Foley, Macquarie University

Venue: On campus | Face to face seminar in room CB08.08.002, Building 8, University of Technology Sydney, Australia (Map of campus) 

Abstract: We identify the motivations, characteristics and effects of opening price manipulation using a unique sample of 906 manipulated opening auctions. Detailed order-level data document significant increases in order amendment and cancellation immediately prior to manipulated opening auctions. Based on these prosecuted manipulations, we develop an index of the probability and intensity of opening price manipulation. Applying our index to opening auctions in 2019, we show that potential manipulation remains a persistent issue, particularly around futures expiry dates. Our index can be used by regulators and exchanges seeking to identify potential opening price manipulation, as well as by researchers who lack access to prosecution data.

Seminar protocols:

  • The seminar will run for 45 minutes, followed by a 15 minute Q&A session
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any issues
  • Participants can raise their hand to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or they can ask the question directly to the presenter

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Co-ordinator: Ester Felez Vinas

Enquiries: Jin Jo

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UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.