Detecting price artificiality and manipulation in futures markets: An application to Amaranth

Abstract

In this article we propose a general method to test whether economic data support the claim of futures market manipulation. We examine the question of whether or not Amaranth manipulated the market for natural gas futures using three alternative methods. The first is our contribution to the existing body of literature on the analysis of manipulation claims. The subsequent two have previously been discussed in the literature. All three methods yield the same result: economic data on futures prices and Amaranth's trades do not support the claim that Amaranth manipulated the natural gas futures market in 2006. © 2012 Macmillan Publishers Ltd.