Academic Collaboration

Collaboration with Researchers

The Office of the Chief Economist values collaboration with academic researchers on a wide variety of research topics. This collaboration usually focused on producing research papers on topics that are important to the goals and mission of the Commission, as well as of interest to the academic community and public. Many of these papers make use of the detailed data sets collected by the agency to aid it in its market policy and monitoring efforts. Examples of papers resulting from this collaboration can be found on our Research Paper page and descriptions of some of the regulatory data sets provided to the agency can be found below. If you are interested in collaborating with CFTC economists, please send an email with a detailed description of your proposal to collaborate@CFTC.GOV.

Data Sets

The Commodity Futures Trading Commission receives various regulatory data sets in order to monitor the markets in its purview. These data sets cover various asset classes among futures, options on futures, and swaps. A detailed description of the data is as follows:

Futures/Options on Futures:

Futures data housed in the CFTC are provided both by futures exchanges and by futures market participants. The CFTC collects both transaction level data on all futures and futures options trades (including counterparty information) as well as position-level data for the same products.

Papers which make use of futures data include “Anticipatory Traders and Trading Speed” and “Trader Positions and Marketwide Liquidity Demand”

Swaps:

Swaps data housed in the CFTC are sourced from the designated Swaps Data Repositories (SDRs). The data cover transactions as well as open swaps by market participants.

Papers which make use of swaps data include “Mechanism Selection and Trade Formation on Swap Execution Facilities” and “The Liquidity of Credit Default Index Swap Networks”

CCPs:

Swaps data housed in the CFTC are provided by CCPs. They involve house and customer accounts of clearing members with different CCPs as well as their margin information.

Papers which make use of CCP data include “The Collateral Rule: An Empirical Analysis of the CDS Market”

Current and Past Academics

Listed below are academics who are working, or have worked, with CFTC economists on various research projects. The Office of the Chief Economist has a long history of outreach across a number of academic institutions and individuals; through these partnerships, the Office of the Chief Economist is able to collaborate with some of the leading experts in financial derivatives markets and policy analysis.

Yacine Ait-Sahalia, Princeton University
Agostino Capponi, Columbia University
Raymond (Pat) Fishe, University of Richmond
Eleni Gousgounis, Stevens Institute of Technology
Pankaj (P.K.) Jain, University of Memphis
Vikas Raman, University of Warwick
Michel Robe, University of Illinois at Urbana-Champaign
Pradeep Yadav, University of Oklahoma
Haoxiang Zhu, MIT