Liquidity and volatility in the American crude oil futures market

Riva, Fabrice; Lautier, Delphine

Riva, Fabrice; Lautier, Delphine (2004), Liquidity and volatility in the American crude oil futures market, Conférence internationale de l'Association Française de FInance (AFFI), 2004-06, Cergy, France

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Type

Communication / Conférence

Date

2004

Titre du colloque

Conférence internationale de l'Association Française de FInance (AFFI)

Date du colloque

2004-06

Ville du colloque

Cergy

Pays du colloque

France

Métadonnées

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Auteur(s)

Riva, Fabrice
Lautier, Delphine

Résumé (EN)

This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth and liquidity of the market, and shows that there is a huge increase in activity from 1989 to 2003. Then the study focuses on prices volatility. The latter is separated into two components: an information component, that reflects a rational assessment of the information arrival, and an error component, that represents the noise introduced by the trading process. We show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors.