Back

G-2013-16

To squeeze or not to squeeze? That is no longer the question

and

BibTeX reference

This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to September 2014. A short squeeze occurs when market manipulations cause the cheapest-to-deliver bond to be in short supply, resulting in significant price distortions. The incentive for market manipulation, or squeeze potential, is evaluated over the last 30 years and is related to documented episodes of the CBOT futures market. The squeeze potential is associated to the imperfections of the conversion system. It is observed that conditions are presently very favorable to the occurrence of short squeezes.

, 18 pages

This cahier was revised in November 2014

Research Axis

Research application

Publication

and
Journal of Futures Markets, 36(7), 647–670, 2016 BibTeX reference