Using regulatory data on transactions and positions, we provide a comprehensive overview of the activity in the foreign exchange (FX) derivatives markets, including futures, swaps, and options, covering both exchange-traded and over-the-counter (OTC) products. We analyze the behavior of dealers,...

We use rich regulatory data on intraday transactions and end-of-day positions of traders in nine futures markets over the past ten years to examine how participation of high-frequency traders (HFTs) affects market quality. Absence of market fragmentation and off-exchange trading in the contracts...

Using CFTC's regulatory data that includes identities of all market participants, we study the dynamics of single-name and index credit default swaps (CDS) leading up to, during, and in the aftermath of the COVID-related financial markets turmoil of 2020. The paper reports volume and...

Most corporate bond research on liquidity and dealer inventories is based on the USD-denominated bonds transactions in the US reported to TRACE. Some of these bonds, however, are also traded in Europe, and those trades are not subject to the TRACE reporting requirements. Leveraging our access to...

We test whether the unconventional monetary policy (UMP) announcements by the Federal Reserve and the European Central Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular. Using modified event studies and Markov switching models,...