Liquidity and volatility in the American crude oil futures market

dc.contributor.author	Riva, Fabrice
dc.contributor.author	Lautier, Delphine
dc.date.accessioned	2009-07-21T08:29:43Z
dc.date.available	2009-07-21T08:29:43Z
dc.date.issued	2004
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/1244
dc.language.iso	en	en
dc.subject	Speculation	en
dc.subject	Volatility	en
dc.subject	Futures prices	en
dc.subject	Crude oil	en
dc.subject.ddc	332	en
dc.subject.classificationjel	O13	en
dc.subject.classificationjel	D83	en
dc.subject.classificationjel	D84	en
dc.title	Liquidity and volatility in the American crude oil futures market	en
dc.type	Communication / Conférence
dc.description.abstracten	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.	en
dc.identifier.citationpages	41	en
dc.description.sponsorshipprivate	oui	en
dc.subject.ddclabel	Economie financière	en
dc.relation.conftitle	Conférence internationale de l'Association Française de FInance (AFFI)	en
dc.relation.confdate	2004-06
dc.relation.confcity	Cergy	en
dc.relation.confcountry	France	en

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