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Price relationships in crude oil futures: new evidence from CFTC disaggregated data

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of … statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize … strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that …

Persistent link: https://www.econbiz.de/10010707481

Basis variations and regime shifts in the oil futures market

Fong, Wai Mun; See, Kim Hock - In: The European Journal of Finance 9 (2003) 5, pp. 499-513

The conditional volatility of crude oil futures returns is modelled as a regime switching process. The model features transition probabilities that are functions of the basis. Consistent with the theory of storage, in volatile periods, an increase in backwardation is associated with an increase...

Persistent link: https://www.econbiz.de/10005471951

Price discovery in crude oil futures

Elder, John; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 46 (2014) S1, pp. 18-18

This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price...

Persistent link: https://www.econbiz.de/10011115887

Assessing the profitability of intraday opening range breakout strategies

Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - Institutionen för Nationalekonomi, Umeå Universitet - 2012

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades...

Persistent link: https://www.econbiz.de/10010818902

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European Journal of Operational Research 235 (2014) 3, pp. 643-659

We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–66days using a variety of models relying on the decomposition of realized variance in its positive or negative (semivariances) part and its continuous or discontinuous part (jumps). We show the...

Persistent link: https://www.econbiz.de/10010871208

On the volatility–volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - In: Energy Economics 34 (2012) 6, pp. 1896-1909

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Persistent link: https://www.econbiz.de/10010868743

Assessing the profitability of intraday opening range breakout strategies

Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - In: Finance Research Letters 10 (2013) 1, pp. 27-33

Persistent link: https://www.econbiz.de/10011065855

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012

Persistent link: https://www.econbiz.de/10011072230

Macro factors in oil futures returns

Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011

We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the large factor...

Persistent link: https://www.econbiz.de/10011073526

Testing the weak-form efficiency of the WTI crude oil futures market

Jiang, Zhi-Qiang; Xie, Wen-Jie; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 235-244

The weak-form efficiency of energy futures markets has long been studied and empirical evidence suggests controversial conclusions. In this work, nonparametric methods are adopted to estimate the Hurst indexes of the WTI crude oil futures prices (1983–2012) and a strict statistical test in the...

Persistent link: https://www.econbiz.de/10010931546