Nonlinearities between oil spot and futures markets： Evidence from intraday data

This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market, both in their means and in their conditional volatilities, to investigate whether the association is linear or not. The novelty of this work is based on intraday data from both markets. The empirical findings indicate the presence of nonlinearities both in means and conditional volatilities. Moreover, non-linear causality estimations both in means and in volatilities reveal the presence of bi-directional causality, a fact that provides additional support to the hypothesis that both markets are driven by the same information sets.

Analysis on the spatial pattern and evolution of China's petroleum trade under the dual effect of international oil price and “Belt and Road” Framework

“Belt and Road” is the important origin of oil import in China. Based on social network analysis and stochastic frontier gravity model, this paper studied the characteristic evolution and influence factor of oil import network between China and “Belt and Road” countries. Then by constructing a stochastic frontier gravity model including the crude oil future price and oil importing price, it found that the international crude oil future price, the oil importing price, the political situation, the trade agreements have the effects on the China's oil import from “Belt and Road” region. It provided suggestions for improving the spatial pattern of China's petroleum trade.

Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market

This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices.Through event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some degree.Moreover,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)models.The results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk matter.This study's results coincide with the following lawsuit evidence of market manipulation.

Exploring Long-Memory Process in the Prediction of Interval-Valued Financial Time Series and Its Application

Long-memory process has been widely studied in classical financial time series analysis,which has merely been reported in the field of interval-valued financial time series.The aim of this paper is to explore long-memory process in the prediction of interval-valued time series(IvTS).To model the long-memory process,two novel interval-valued time series prediction models named as interval-valued vector autoregressive fractionally integrated moving average(IV-VARFIMA)and ARFIMAX-FIGARCH were established.In the developed long-memory pattern,both of the short term and long-term influences contained in IvTS can be included.As an application of the proposed models,interval-valued form of WTI crude oil futures price series is predicted.Compared to current IvTS prediction models,IV-VARFIMA and ARFIMAX-FIGARCH can provide better in-sample and out-of-sample forecasts.