Information content of the limit order book for crude oil futures price volatility
Huu Nhan Duong and
Petko S. Kalev
Energy Economics, 2019, vol. 81, issue C, 584-597
This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly announcements on physical crude oil inventory, we observe that the limit order book slope decreases significantly. We also show that the time-weighted limit order book slope is informative about price volatility one day ahead. Overall, our findings illustrate the importance of the limit order book as a conduit for volatility information.
Keywords: Crude oil futures; Energy market information releases; Futures price volatility; Time-weighted limit order book slope (search for similar items in EconPapers)
JEL-codes: C35 G15 G29 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant
More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().