Intra-day seasonality and abnormal returns in the Brent crude oil futures market

Christian Oliver Ewald, Erik Haugom, Ruolan Ouyang, Erik Smith-Meyer and Ståle Størdal

Quantitative Finance, 2025, vol. 25, issue 11, 1731-1744

Abstract: We investigate intra-day seasonal patterns in Brent crude oil futures traded at the Intercontinental Exchange in London. Our data cover tick data for futures of various maturities from January 2010 to October 2021, a database covering 130 Gigabytes of oil transactions. We convert these data into one-minute data and observe statistically significant intra-day seasonal patterns with peaks and bottoms at particular times of the day, depending on maturities and whether or not spreads are considered. In the second part of our analysis, we explore whether these systematic patterns can be exploited to create arbitrage-like long-short strategies, going long and short at particular times during the day. The answer is yes; even when accounting for realistic transaction costs and margin requirements, some of the proposed strategies can create consistent positive and significant CAPM alphas.

Date: 2025
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DOI: 10.1080/14697688.2025.2535479

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