Do events in the natural gas market cause repurcussions in the crude oil marke? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a...

The Volume Weighted Average Price (VWAP) mixes volumes and prices at intra-daily intervals and is a benchmark measure frequently used to evaluate a trader's performance. Under suitable assumptions, splitting a daily order according to ex-ante volume predictions is a good strategy to replicate...