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hal.structure.identifier
dc.contributor.authorLautier, Delphine*
hal.structure.identifier
dc.contributor.authorRaynaud, Franck*
hal.structure.identifier
dc.contributor.authorRobe, Michel*
dc.date.accessioned2018-04-30T14:40:53Z
dc.date.available2018-04-30T14:40:53Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17726
dc.language.isoenen
dc.subjectMutual information
dc.subjectMarket integration
dc.subjectShocks propagation
dc.subjectInformation flows
dc.subjectDirected graphs
dc.subjectTerm structure
dc.subjectFutures
dc.subjectCrude oil
dc.subjectWTI
dc.subjectQ02
dc.subjectG10
dc.subjectG13
dc.subjectG14
dc.subjectQ40
dc.subject.ddc332en
dc.subject.classificationjelQ.Q0.Q02en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelQ.Q4.Q40en
dc.titleInformation Flows across the Futures Term Structure: Evidence from Crude Oil Prices
dc.typeCommunication / Conférence
dc.description.abstractenWe apply the concepts of mutual information and information flows and we built directedgraphs to investigate empirically the propagation of price fluctuations across a futures termstructure. We focus on price relationships for North American crude oil futures because this keymarket experienced several structural shocks between 2000 and 2014: financialization (startingin 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014). Wefind large variations over time in the amount of information shared by contracts with differentmaturities. The mutual information increased substantially starting in 2004 but fell back sharplyin 2012-2014. In the crude oil space, our findings point to a possible re-segmentation of the futuresmarket by maturity in 2012-2014. This raises questions about the causes of market segmentation.In addition, although on average short-dated contracts (up to 6 months) emit more informationthan backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of informationflow backward as flow forward along the futures maturity curve. Moreover, the directions of thetransfers between pairs of maturities become drastically different. This has implications for theSamuelson effect.
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI 34th International Conference
dc.relation.confcityValence
dc.relation.confcountryFRANCE
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2018-05-30T14:48:12Z
hal.identifierhal-01781761*
hal.version1*
hal.update.actionupdateFiles*
hal.update.actionupdateMetadata*
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