Missing trader fraud on the emissions market

Dominique Guegan (1, 2) , Marius-Cristian Frunza (1, 3) , Fabrice Thiebaut (3)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics
3 Sagacarbon

The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the consequences on its econometric features.

Mots clés: COE; Econometrie; fraud.; fraud

Domaines: Economies et finances; Droit; Gestion et management; Méthodes et statistiques; Statistiques [math.ST]; Théorie [stat.TH]

Dominique Guegan, Marius-Cristian Frunza, Fabrice Thiebaut. Missing trader fraud on the emissions market. Journal of Financial Crime, 2011, 18 (2), pp.25-33. ⟨halshs-00646205⟩