E-mini Futures Spoofing Class Action

Problem 

  • Market manipulation of financial products can occur through a variety of ways. In the e-mini futures class action, Fideres investigated allegations of market spoofing

  • Spoofing transactions occur in a very short period of time, which require high-frequency trading data in order to identify anomalous manipulative transactions

  • Fideres was tasked with identifying the frequency and price impact of spoofs including whether this had a lasting impact on the market

 

Solution

  • Fideres built screening tools to identify price anomalies in the order book of e-mini futures. The model was calibrated using known spoofs published in regulatory fines

  • Fideres negotiated with the defendant on data coverage of early discovery and identified potential spoofs using discovery data

  • Fideres quantified the impact of order book spoofs on transaction prices and estimated class-wide impact on relevant products

 

Result

  • We demonstrated the lasting impact of defendant’s spoofing transactions and provided class-wide damages arising from the manipulative conduct

  • The class action complaint filed with our analysis and the defendant ultimately led to a settlement on the case

  • The judge preliminarily approved counsel’s plan of allocation