• Provides the first detailed empirical evidence on the financialization of intraday trading activity in WTI futures.

• Shows that electronification of U.S. crude oil futures trading in 2006 brought about a massive growth in intraday activity by “non-commercial” institutional financial traders.

• Shows that this development had a first-order positive impact on market liquidity (spreads, depth) and pricing efficiency.

• The paper tests whether initial margin held at a clearinghouse against credit swap positions can be estimated using a traditional VaR measure.

• This analysis finds that VaR is often not a good proxy for actual initial margin levels, with collected margin often far higher than would be implied by the VaR calculation. Other proxies which more highly weight extreme events are found to better align with empirical margin.

UPDATED TITLE : Swap trading after Dodd-Frank: Evidence from index CDS

Journal of Financial Economics Volume 137, Issue 3, September 2020, Pages 857-886

https://doi.org/10.1016/j.jfineco.2020.03.008

Journal of Economic Asymmetries, Volume 27, June 2023. https://doi.org/10.1016/j.jeca.2022.e00288

• The distribution of minutely position changes by traders explains how prices move from one minute to another.

• The paper shows that these position changes bring new information into the market especially when they are acquired with passive orders.

Journal of Financial and Quantitative Analysis Volume 54, Issue 2 April 2019, pp. 729-758 https://doi.org/10.1017/S0022109018000832

• The paper introduces a new technique to identify short-term price trends.

• The paper identifies market participants who can correctly anticipate price peaks and troughs and trade in response to these predictions.

• The paper investigates the prevalence of automation across futures markets and tracks changes over the period of 2012 through 2016.

• Automation during that period is often highest in financially based instruments like FX futures, the S&P Emini and U.S. Treasuries. Automation is commonly lower for physical commodities, including grains, softs and livestock.

• The paper examines how different participant classes, including asset managers, banks, and corporates, make use of futures markets, and how this may have changed through time.

• Participation levels by class can vary widely across futures contracts, with end-users/corporates having a much larger presence in physical commodities and others, like asset managers, much more concentrated in financial products.

• The paper measures the liquidity of a few highly liquid futures products (U.S. Treasuries, the S&P E-mini) across a number of different metrics.

• Generally, liquidity across the selected contracts has remained steady or has improved in recent years, at least relative to a few metrics like order book depth, bid-ask spreads and realized execution costs.

• More generally, the paper highlights a set of measures that can be utilized on an ongoing basis for futures liquidity monitoring.

• The paper analyzes how long it takes for traders to place new orders in the limit order book.

• The paper also studies what kinds of signals traders observe from the changes in the limit order book might affect the time to new order placement.

• E-mini futures, ten-year treasury futures, and thirty-year treasury futures are explored.

• he paper finds that manual traders pay more attention to changes in the limit order book than algorithmic traders.

UPDATED TITLE: Integrating swaps and futures: A new direction for commodity research
Journal of Commodity Markets Volume 10, June 2018, Pages 3-21
https://doi.org/10.1016/j.jcomm.2017.06.001

• This paper combines futures and swaps data for main commodities derivatives by positions held by dealers and end-users.

• The paper offers a detailed analysis of the WTI crude oil swaps and futures derivatives.