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...

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and intermarket linkages, both within the commodity complex and between...

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts’s daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We...

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross-and inter-market linkages, both within the commodity complex and between...

This article presents an empirical study of 13 derivative markets for commodities and financial assets. The study goes beyond statistical analysis by including the maturity as a variable for the daily returns of futures contracts from 1998 to 2010, and for delivery dates up to 120 months. We...