The Impact of Speculators' Activity on Crude Oil Futures Prices

2007 ◽  
Author(s):  
Ikhlaas Gurrib
Keyword(s):  
Crude Oil ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
The Impact

scholarly journals Forecasting crude oil futures prices using global macroeconomic news sentiment

2019 ◽  
Vol 31 (2) ◽  
pp. 191-215 ◽  
Author(s):  
Zryan A Sadik ◽  
Paresh M Date ◽  
Gautam Mitra
Keyword(s):  
Crude Oil ◽  
Price Volatility ◽  
Futures Contracts ◽  
Model Structure ◽  
Futures Prices ◽  
Macroeconomic News ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
News Sentiment ◽  
The Impact

Abstract We propose a method of incorporating macroeconomic news into a predictive model for forecasting prices of crude oil futures contracts. Since these futures contracts are more liquid than the underlying commodity itself, accurate forecasting of their prices is of great value to multiple categories of market participants. We utilize the Kalman filtering framework for forecasting arbitrage-free (futures) prices and assume that the volatility of oil (futures) price is influenced by macroeconomic news. The impact of quantified news sentiment on the price volatility is modelled through a parametrized, non-linear functional map. This approach is motivated by the successful use of a similar model structure in our earlier work, for predicting individual stock volatility using stock-specific news. We claim the proposed model structure for incorporating macroeconomic news together with historical (market) data is novel and improves the accuracy of price prediction quite significantly. We report results of extensive numerical experiments which justify our claim.

scholarly journals Risk premia in crude oil futures prices

2014 ◽  
Vol 42 ◽  
pp. 9-37 ◽  
Author(s):  
James D. Hamilton ◽  
Jing Cynthia Wu
Keyword(s):  
Crude Oil ◽  
Risk Premia ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures

scholarly journals Risk Premia in Crude Oil Futures Prices

2013 ◽  
Author(s):  
James Hamilton ◽  
Jing Cynthia Wu
Keyword(s):  
Crude Oil ◽  
Risk Premia ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures

scholarly journals Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns

2020 ◽  
Author(s):  
Monday Osagie Adenomon ◽  
Ngozi G. Emenogu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Global Financial Crisis ◽  
The Body ◽  
Garch Models ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
The Global Financial Crisis ◽  
The Impact ◽  
T Distribution

This study investigates the impact of global financial crisis and the present COVID-19 pandemic on daily and weekly Crude oil futures using four variants of ARMA-GARCH models: ARMA-sGARCH, ARMA-eGARCH, ARMA-TGARCH and ARMA- aPARCH with dummy variables We also investigated the persistence, half-life and backtesting of the models. This study therefore seeks to contribute to the body of literature on the impact of global financial crisis and the present COVID-19 pandemic on crude oil futures market. This investigation of the impact of global financial crisis and the COVID-19 on crude oil futures has not been much studied at present. We obtained and analyzed the daily and weekly crude oil futures from secondary sources. Daily crude oil futures used in this study covers the period from the 4th January 2000 to 27th April 2020 while the weekly crude oil futures covered from 2ndJanuary 2000 to 26th April 2020 . The global financial crisis period covered from 2nd July 2007 to 31st March 2009 and the current COVID-19 pandemic covered from 1st January 2020 to 27th April, 2020. The study used both student t and skewed student t innovations with AIC, goodness-of-test fit and backtesting to select the best model. Most of the estimated ARMA-GARCH models are supported by skewed student t distribution while most of the ARMA-GARCH models exhibited high persistence values in the presence of global financial crisis and the COVID-19 pandemic. In the overall, the estimated ARMA(1,0)-eGARCH(2,1) and ARMA(1,0)-eGARCH(2,2) model for daily crude oil futures and weekly crude oil futures respectively have been significantly impacted by the global financial crisis and the Present COVID-19 pandemic while the preferred estimated models also passed the goodness-of-test fit and backtesting.This study recommends shareholders and investors should think outside the box as crude oil futures tend to be affected by global financial crisis and COVID-19 pandemic while countries also that depend mostly on crude oil are encouraged to diversify their economy in other to survive and be sustained during financial and health crisis.

scholarly journals Research on the Correlation Between WTI Crude Oil Futures Price and European Carbon Futures Price

2021 ◽  
Vol 9 ◽  
Author(s):  
Zhengwei Ma ◽  
Yuxin Yan ◽  
Ruotong Wu ◽  
Feixiao Li
Keyword(s):  
Crude Oil ◽  
Carbon Emission ◽  
Mutual Effect ◽  
Futures Prices ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Sea Levels ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Emission Rights

In recent years, the rapid increase in CO2 concentration has accelerated global warming. As a result, sea levels rise, glaciers melt, extreme weather occurs, and species become extinct. As the world’s largest CO2 emission rights trading market, EU Emissions Trading System (EU-ETS) has reached 1.855 billion tons of quotas by 2019, influencing the development of the global carbon emission market. Crude oil, as one of the major fossil energy sources in the world, its price fluctuation is bound to affect the price of carbon emission rights. Therefore, this paper aims to reveal the correlation between crude oil futures prices and carbon emission rights futures prices by studying the price fluctuation. In this paper, the linkage between West Texas Intermediate (WTI) crude oil futures prices and European carbon futures prices was investigated. In addition, this paper selects continuous data of WTI crude oil futures prices and spot prices with European carbon futures prices from January 8, 2018 to November 27, 2020, and builds a smooth transformation regression (STR) model. The relationship between crude oil futures and carbon futures prices is studied in both forward and reversal linkage through empirical analysis. The results show that crude oil futures prices and carbon futures prices have a mutual effect on each other, and both linear and nonlinear correlations between the two prices exist. Based on the results of this research, some suggestions are provided.

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