Financial Time Series Analysis and the Impact of Announcement

This paper studies a high frequency time series of oil futures trading contracts and the affect that publicly announced macroeconomic information in the form of an Oil Inventory announcement given by the Energy Information Association in the US has upon it. Using the time series sampled at a five-minute frequency, it is the intention to detect any impacts to the price of the contracts after the announcement has been made and obtain an overall view of the affect on price around the time of the announcement. It is from modelling this behaviour that a forecast is generated in an attempt to predict future values derived from the empirically built model of price distribution.