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The impact of fundamental and financial traders on the term structure of oil

Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - Frankfurt School of Finance and Management - 2014

We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market … integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve … sub-periods of a sharp WTI-price rise as well as a diverging Brent-WTI-spread. Our contribution is threefold: First, we …

Persistent link: https://www.econbiz.de/10010985136

The microstructure of the North American oil market

Kaminski, Vincent - In: Energy Economics 46 (2014) S1, pp. 1-1

Recent developments in production of oil and natural gas from the tight sand and shale rock formations (primarily hydraulic fracturing and horizontal drilling) have a profound impact on the North American energy markets. The paper reviews recent crude oil production trends and their impact on...

Persistent link: https://www.econbiz.de/10011115908

Information Flows in the term structure of commodity prices

Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2014

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...

Persistent link: https://www.econbiz.de/10011096669

Do Birds of a Feather Flock Together? Speculator Herding in Derivatives Markets

Weiner, Robert J. - 2005

Much of the responsibility for upheaval in international financial markets has been placed on speculators, particularly hedge funds. Speculative capital has been characterized as quot;hot money,quot; with capital flows driven by quot;herding,quot; quot;flocking,quot; and quot;contagionquot;...

Persistent link: https://www.econbiz.de/10012736708

On Transition Probabilities of Regime-Switching in Electricity Prices

Ohashi, Kazuhiko - 2004

We analyze transition probabilities of regime-switching in electricity prices based on supply and demand by using the structural model of Kanamura and Ohashi (2004). We show that the transition probabilities depend on the demand level and thus are not constant. This result is in sharp contrast...

Persistent link: https://www.econbiz.de/10012737774

Recovering an Asset's Implied Pdf from Option Prices : An Application to Crude Oil During the Gulf Crisis

Melick, William R. - 2008

We develop a general method for estimating the implied, martingale equivalent, probability density function (PDF) for futures prices from American options prices. The early exercise feature of American options precludes expressing the price of the option in terms of the PDF. There exist tight...

Persistent link: https://www.econbiz.de/10012775147

Hot or Cold? : A Comparison of Different Approaches to the Pricing of Weather Derivatives

Oetomo, Teddy - 2004

The article reviews six different temperature forecasting models propsoed by the prior literature for pricing weather derivatives. Simulation of these models is used to estimate daily temperature and, as a consequence, the metrics used for pricing temperature derivatives. The models that rely on...

Persistent link: https://www.econbiz.de/10012785584

A Semiparametric Factor Model for Electricity Forward Curve Dynamics

Borak, Szymon - 2010

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

Persistent link: https://www.econbiz.de/10012758573

Temperature Models for Pricing Weather Derivatives

Schiller, Frank - 2012

We present four models for predicting temperatures that can be used for pricing weather derivatives. Three of the models have been suggested in prior literature, and we suggest another model which uses splines to remove trend and seasonality effects from temperature time series in a flexible...

Persistent link: https://www.econbiz.de/10012712597

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Paschke, Raphael - 2012

In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous time. We contribute to the existing literature by simultaneously considering various commodity markets in a single consistent model and show in an application the economic...

Persistent link: https://www.econbiz.de/10012712921

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