Inventory Announcements, Jump Dynamics and Volatility in U.S. Energy Futures Markets

2010 ◽  
Author(s):  
C. Johan Bjursell ◽  
James E. Gentle ◽  
George H. K. Wang
Keyword(s):  
Futures Markets ◽  
Energy Futures ◽  
Jump Dynamics ◽  
Energy Futures Markets

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

2017 ◽  
Vol 37 (6) ◽  
pp. 542-577 ◽  
Author(s):  
Johan Bjursell ◽  
George H. K. Wang ◽  
Hui Zheng
Keyword(s):  
Futures Markets ◽  
Energy Futures ◽  
Jump Dynamics ◽  
Energy Futures Markets

Hedge Funds, Volatility, and Liquidity Provision in Energy Futures Markets

2007 ◽  
Vol 9 (4) ◽  
pp. 10-38 ◽  
Author(s):  
Michael S. Haigh ◽  
Jana Hranaiova ◽  
James A. Overdahl
Keyword(s):  
Hedge Funds ◽  
Futures Markets ◽  
Energy Futures ◽  
Liquidity Provision ◽  
Energy Futures Markets

Persistence in some energy futures markets

2009 ◽  
pp. n/a-n/a ◽  
Author(s):  
Juncal Cunado ◽  
Luis A. Gil-Alana ◽  
Fernando Perez De Gracia
Keyword(s):  
Futures Markets ◽  
Energy Futures ◽  
Energy Futures Markets

Trading on mean-reversion in energy futures markets

2015 ◽  
Vol 51 ◽  
pp. 312-319 ◽  
Author(s):  
Thorben Lubnau ◽  
Neda Todorova
Keyword(s):  
Futures Markets ◽  
Mean Reversion ◽  
Energy Futures ◽  
Energy Futures Markets
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