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Pré-Publication, Document De Travail Année : 2016

Informed Trading in Oil-Futures Market

Résumé

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.
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Dates et versions

hal-01410093 , version 2 (06-12-2016)
hal-01410093 , version 1 (07-02-2017)

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Olivier Rousse, Benoît Sévi. Informed Trading in Oil-Futures Market. 2016. ⟨hal-01410093v2⟩
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