Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets

Bjursell, Johan; Gentle, James E.; Wang, George H. K.

doi:10.1016/j.eneco.2014.11.006

Cited by 25 publications

(26 citation statements)

References 38 publications

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“…Note that (i) natural gas futures have a greater number of jumps than crude oil futures; and (i) there are more negative than positive jumps in both commodities. These empirical results are consistent with empirical results of Bjursell et al () using sample data from 1990 to January 2008.…”

Section: Resultssupporting

confidence: 91%

“…Fifth, in general, the values of VPIN in natural gas futures are higher than observed in the crude oil futures market during the sample period. These results are consistent with previous findings by Bjursell et al (), who observed that the volatility in natural gas futures markets is higher than in crude oil futures markets.…”

Section: Discussionsupporting

confidence: 93%

“…VPIN does not peak prior to the scheduled inventory announcements with jumps and jumps without scheduled events, but rather after these events. The updated version of VPIN with exponential smoothing proposed in this study significantly improves the early warning signals property of the VPIN, and returns faster to normal levels after the events. The updated version of VPIN outperforms VPIN in temporal linkages between toxicity and short‐term volatility in terms of alternative correlation measures and conditional probabilities. In general, the values of VPIN in natural gas futures are higher than the VPIN estimates in crude oil futures during our sample period. These results are consistent with a previous finding by Bjursell et al () that volatility in natural gas futures is higher than volatility in crude oil futures.…”

Section: Introductionsupporting

confidence: 93%

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VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

Bjursell¹,

Wang

Zheng

2017

Journal of Futures Markets

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The Volume‐Synchronized Probability of Informed Trading (VPIN) metric is proposed by Easley et al. (2011, 2012) (Journal of Portfolio Management, 37:118–128; Review of Financial Studies, 25:1457–1493) as a real‐time measure of order flow toxicity in an electronic trading market. This study examines the performance of VPIN around inventory announcements and price jumps in crude oil and natural gas futures markets with a sample period from January 2009 to May 2015. We obtain several interesting results: (i) VPIN increases significantly around inventory announcements with price jumps as well as at jumps not associated with any scheduled announcements. (ii) VPIN does not peak prior to the events but shortly after. (iii) A minor variation of VPIN based on exponential smoothing significantly improves the early warning signal property of VPIN, and this estimate of toxicity returns faster to the pre‐event level. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:542–577, 2017

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Section: Resultssupporting

confidence: 91%

Section: Discussionsupporting

confidence: 93%

Section: Introductionsupporting

confidence: 93%

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VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

Bjursell¹,

Wang

Zheng

2017

Journal of Futures Markets

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“…The coefficient for ANNxPOL t further indicates that the real‐time trading of USDA reports increases jump size, which is essentially due to the jump clustering in the real‐time era. Overall, the notion that jump behavior is influenced by surprises is consistent with the studies that have explored the impact of various forms of news on intraday price jumps in financial markets (Jiang, Lo, and Verdelhan ; Boudt and Petitjean ; Bjursell, Gentle, and Wang ; Chan and Gray ).…”

Section: Empirical Design and Resultssupporting

confidence: 81%

Are Corn Futures Prices Getting “Jumpy”?

Couleau¹,

Serra²,

Garcia³

2020

American J Agri Economics

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The article sheds light on price jump risk in corn futures prices in the era of electronic trading and after the shift to real‐time announcement of USDA reports. Using intraday prices from 2008 to 2015, we employ a nonparametric test to detect jumps and variance analysis to assess the relative importance of jump risk. Real‐time trading of major USDA reports has substantially increased the frequency and clustering of price jumps, and results in higher market liquidity costs. In contrast, although the presence of jumps on non‐announcement days has doubled recently, their magnitude has declined as have transactions costs during their occurrence. The largest jump risk or execution risk is experienced by high frequency traders due to heightened microstructure noise during price jumps. However, traders holding long‐term market positions are only minimally affected by increased jump risk.

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“…They use intraday data, but focus on the specific time of announcements, thereby ignoring the periods around the time of the release. Bjursell et al (2015) also make use of intraday data to investigate the association between inventory announcements and price jumps, and provide evidence that these, mainly large jumps, often appear at the time of the stock announcement. Elder et al (2013) also use intraday data to detect intraday jumps in oil prices.…”

Section: Figurementioning

confidence: 99%

Informed Trading in Oil-Futures Market

Rousse

Sévi

2016

SSRN Journal

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The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists' forecasts:there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.JEL Classification: G13, G14, Q4.

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Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets

Cited by 25 publications

References 38 publications

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

Are Corn Futures Prices Getting “Jumpy”?

Informed Trading in Oil-Futures Market

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