Research Papers

The Office of the Chief Economist and CFTC economists produce original research on a broad range of topics relevant to the CFTC’s mandate to regulate commodity future markets, commodity option markets and the expanded mandate to regulate the swaps markets pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act. These papers are often presented at conferences and many of these papers are later published by peer-review 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(s)	Title
April 2016	Scott Mixon	U.S. Experience with Futures Transactions Taxes: Effects in a Highly Intermediated Market
May 2015	Raymond P. H. Fishe, Richard Haynes, and Esen Onur	Anticipatory Traders and Trading Speed
December 2014	Scott Mixon and Esen Onur	Dividend Swaps and Dividend Futures: State of Play
November 2014	Scott Mixon and Esen Onur	Volatility Derivatives in Practice: Activity and Impact
October 2014	Raymond P. H. Fishe, Michel A. Robe and Aaron D. Smith	Foreign Central Bank Activities in U.S. Futures Markets
August 2014	Celso Brunetti and David Reiffen	Commodity Index Trading and Hedging Costs
July 2014	Grant Cavanaugh, Michael Penick	The Lifecycle of Exchange-traded Derivatives
July 2014	Steve Y. Yang, Qifeng Qiao, Peter A. Beling, William T. Scherer, and Andrei A. Kirilenko	Gaussian Process-Based Algorithmic Trading Strategy Identification
April 2014	Matthew Baron, Jonathan Brogaard, and Andrei Kirilenko	Risk and Return in High Frequency Trading
March 2014	Hendrick Bessembinder, Allen Carrion, Laura Tuttle, and Kumar Venkataraman	Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
March 2014	Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi, and Tugkan Tuzun	The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
March 2014	Ing-Haw Cheng, Andrei Kirilenko, and Wei Xiong	Convective Risk Flows in Commodity Futures Markets
December 2013	Mark Endel Paddrik	Assessing Financial Markets through System Complexity Management
December 2012	Vikas Raman, Michel Robe, and Pradeep K. Yadav	Electronic Market Makers, Trader Anonymity and Market Fragility