Private information about position sizes can exert a decisive impact on derivatives prices when traders can accumulate positions sufficiently large to permit them to exercise market power, i.e., to manipulate the market. When a large long's position size is private information, equilibrium...

Pricing contingent claims on power presents numerous challenges due to (1) the nonlinearity of power price processes, and (2) time-dependent variations in prices. We propose and implement an equilibrium model in which the spot price of power is a function of two state variables: demand (load or...

Although there has been extensive research on the economic functions of financial exchanges and the properties of prices determined on exchanges, there has been little research on their organization and governance. The heterogeneity of the suppliers of financial services who are members of...

This article derive securities market macrostructure from microstructural foundations under a variety of assumptions regarding property rights. Because liquidity effectively makes securities trading a network industry, intermediaries can exercise market power by restricting access to the trading...

Theory predicts that liquidity considerations make financial markets quot;tippyquot;. In 1998, trading on Bund futures tipped from LIFFE (an open outcry exchange) to Eurex (an electronic market). Measures of spreads on LIFFE and Eurex did not change markedly in the eighteen month period over...

Deterrence of market manipulation is central to the entire regulatory and legal framework governing the operation of American commodity futures markets. However, despite all of the regulatory, scholarly, and legal scrutiny of market manipulation, the subject is widely misunderstood. Federal...