Identifying and Characterising Opening Auction Manipulation

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 amendments and cancellations immediately prior to manipulated auctions. Using prosecuted manipulations, we develop an index of the probability of opening price manipulation. Applying our index to opening auctions to 2021, 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.