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dc.contributor.authorRiva, Fabrice
dc.contributor.authorLautier, Delphine
dc.date.accessioned2009-07-21T10:17:19Z
dc.date.available2009-07-21T10:17:19Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1248
dc.descriptionLe texte de cette conférence se trouve à l'adresse suivante http://basepub.dauphine.fr/xmlui/handle/123456789/1244en
dc.language.isoenen
dc.subjectcrude oilen
dc.subjectroll overen
dc.subjectspeculationen
dc.subjectfutures marketsen
dc.subjectVolatilityen
dc.subject.ddc332en
dc.subject.classificationjelD83en
dc.subject.classificationjelD84en
dc.subject.classificationjelO13en
dc.titleLiquidity and volatility in the American crude oil futures marketen
dc.typeCommunication / Conférence
dc.description.abstractenThis 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.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleNorthern Finance Associationen
dc.relation.confdate2004-09
dc.relation.confcitySaint John'sen
dc.relation.confcountryCanadaen


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