Price Change Attribution During the Settlement Window

Abstract

This paper proposes a novel and simple measure for evaluating trader impact on prices during the settlement period of price-taking derivative contracts, which we call the Price Change Attribution (PCA). We discuss how to calculate this measure, and demonstrate how it could be used to inform an analysis of whether a trader potentially engaged in manipulative conduct. We also discuss potential shortfalls and extensions from this measure, and demonstrate how it evolves over time for a sample of traders and products.