Crude oil futures markets: Another look into traders’ positions

Risk premia in crude oil futures prices

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices,...

Another Look at the Forward-futures Price Differential in Libor Markets

Trading Institutions and Price Discovery: The Cash and Futures Markets for Crude Oil

The futures market in West Texas Intermediate crude oil was introduced in 1983 with a posted-price cash market in which the posted price changed a few times a year. By 2002, the cash price changed almost daily. Evidence from producers’ invoices shows that this initially low frequency of price changes reflects transactions prices. Using experiments, we show that the introduction of a futures mar...

Psychological barriers in oil futures markets

a r t i c l e i n f o Available online xxxx JEL classification: G15 O13 Q43 Keywords: Psychological barriers Clustering WTI Brent Multiple hypothesis testing WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels, applying a multiple hypothesis testing approach for statistical robustness. Psychological barriers are found to be present in Brent prices...

Another look into decomposition results

In this note we identify a simple setup from which one may easily infer various decomposition results for queues with interruptions as well as càdlàg processes with certain secondary jump inputs. Special cases are processes with stationary or stationary and independent increments. In the Lévy process case, the decomposition holds not only in the limit but also at independent exponential times, ...