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Liquidity and volatility in the American crude oil futures market

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Date
2004
Notes
Le texte de cette conférence se trouve à l'adresse suivante http://basepub.dauphine.fr/xmlui/handle/123456789/1244
Dewey
Economie financière
Sujet
crude oil; roll over; speculation; futures markets; Volatility
JEL code
D83; D84; O13
Conference name
Northern Finance Association
Conference date
09-2004
Conference city
Saint John's
Conference country
Canada
URI
https://basepub.dauphine.fr/handle/123456789/1248
Collections
  • DRM : Publications
Metadata
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Author
Riva, Fabrice
Lautier, Delphine
Type
Communication / Conférence
Abstract (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.

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