Research Papers

The Office of the Chief Economist produces original research papers on a broad range of topics relevant to the CFTC’s mandate to foster open, transparent, competitive, and financially sound markets in U.S. futures, option on futures, and U.S. swaps markets. In this role, the papers are written, in part, to inform the public on derivatives market issues and can be freely accessed below. They are commonly presented at academic conferences, universities, government agencies, and other research settings.  The papers help inform the agency’s policy and regulatory work, and many are published in peer-review journals and other scholarly outlets.

The analyses and conclusions expressed in the papers are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff or the Commission itself.

Date Author Names Title
Matthew Baron, Jonathan Brogaard, Andrei A. Kirilenko

Risk and Return in High Frequency Trading

Journal of Financial and Quantitative Analysis 54(3): 993-1024.
https://doi.org/10.1017/S0022109018001096

Andrei A. Kirilenko, Albert S. Kyle, Mehrdad Samadi, Tugkan Tuzun

The Flash Crash: The Impact of High Frequency Trading on an Electronic Market

Journal of Finance, vol. 72, no. 3, pp. 967–998.
https://doi.org/10.1111/jofi.12498

Hendrick Bessembinder, Allen Carrion, Laura Tuttle, Kumar Venkataraman

Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls

UPDATED TITLE: Liquidity, Resiliency and Market Quality Around Predictable Trades: Theory and Evidence 
Journal of Financial Economics, 121(1):142-166.
https://doi.org/10.1016/j.jfineco.2016.02.011

Ing-Haw Cheng, Andrei A. Kirilenko, Wei Xiong

Convective Risk Flows in Commodity Futures Markets

Review of Finance, vol. 19(5), pages 1733-1781.
https://doi.org/10.1093/rof/rfu043

Mark Endel Paddrik

Assessing Financial Markets through System Complexity Management

Vikas Raman, Michel A. Robe, Pradeep K. Yadav

Electronic Market Makers, Trader Anonymity and Market Fragility