The price of European Union Allowances (EUAs) has been declining at far lower levels than expected during Phase I (2005-2007). Previous literature identifies among its main explanations over-allocation concerns, early abatement efforts in 2005, and possibly decreasing abatement costs in 2006. We...

This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...

Using high-frequency intraday data sampled on half-a-second frequencies for the Chinese crude oil futures contract (SC), we examine and compare trading dynamics of SC with both WTI and Brent oil futures contracts. We use a modified volume method to create a continuous SC time series,...