Identifying and characterizing opening auction manipulation

Huu Nhan Duong; Sean Foley; Petko S. Kalev; Kin Soon Lim

doi:10.1016/j.finmar.2025.101031

Identifying and characterizing opening auction manipulation

Huu Nhan Duong, Sean Foley^*, Petko S. Kalev, Kin Soon Lim

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

We identify the motivations, characteristics, and effects of opening price manipulation in Australia using a over 1000 manipulated opening auctions. Detailed order-level data document significant increases in order amendments and cancellations immediately prior to manipulated auctions. Based on these manipulations, we develop an index of the probability of opening price manipulation. Applying our index to opening auctions from 2016 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 prosecution data.

Original language	English
Article number	101031
Journal	Journal of Financial Markets
DOIs	https://doi.org/10.1016/j.finmar.2025.101031
Publication status	E-pub ahead of print - 14 Nov 2025

Keywords

Futures expiry
Index
Market manipulation
Market quality
Opening price
Preopening phase

Access to Document

10.1016/j.finmar.2025.101031

Cite this

@article{bdca83a708334129add3f233d6240719,

title = "Identifying and characterizing opening auction manipulation",

abstract = "We identify the motivations, characteristics, and effects of opening price manipulation in Australia using a over 1000 manipulated opening auctions. Detailed order-level data document significant increases in order amendments and cancellations immediately prior to manipulated auctions. Based on these manipulations, we develop an index of the probability of opening price manipulation. Applying our index to opening auctions from 2016 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 prosecution data.",

keywords = "Futures expiry, Index, Market manipulation, Market quality, Opening price, Preopening phase",

author = "Duong, \{Huu Nhan\} and Sean Foley and Kalev, \{Petko S.\} and Lim, \{Kin Soon\}",

year = "2025",

month = nov,

day = "14",

doi = "10.1016/j.finmar.2025.101031",

language = "English",

journal = "Journal of Financial Markets",

issn = "1386-4181",

publisher = "Elsevier",

}

TY - JOUR

T1 - Identifying and characterizing opening auction manipulation

AU - Duong, Huu Nhan

AU - Foley, Sean

AU - Kalev, Petko S.

AU - Lim, Kin Soon

PY - 2025/11/14

Y1 - 2025/11/14

N2 - We identify the motivations, characteristics, and effects of opening price manipulation in Australia using a over 1000 manipulated opening auctions. Detailed order-level data document significant increases in order amendments and cancellations immediately prior to manipulated auctions. Based on these manipulations, we develop an index of the probability of opening price manipulation. Applying our index to opening auctions from 2016 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 prosecution data.

AB - We identify the motivations, characteristics, and effects of opening price manipulation in Australia using a over 1000 manipulated opening auctions. Detailed order-level data document significant increases in order amendments and cancellations immediately prior to manipulated auctions. Based on these manipulations, we develop an index of the probability of opening price manipulation. Applying our index to opening auctions from 2016 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 prosecution data.

KW - Futures expiry

KW - Index

KW - Market manipulation

KW - Market quality

KW - Opening price

KW - Preopening phase

UR - https://www.scopus.com/pages/publications/105025008975

U2 - 10.1016/j.finmar.2025.101031

DO - 10.1016/j.finmar.2025.101031

M3 - Article

AN - SCOPUS:105025008975

SN - 1386-4181

JO - Journal of Financial Markets

JF - Journal of Financial Markets

M1 - 101031

ER -

Identifying and characterizing opening auction manipulation

Abstract

Keywords

Access to Document

Other files and links

Cite this