Authors: F H Barnaud,

In Search of Liquidity, Hedging & Speculation in Oil Futures Markets

Contents

1.                        Introduction

2.                        The Analysis of Volume and Open Interest: a New Approach
2.1                          Definitions
2.2                          Open Interest, Interday Volume and the Position Trading Matrix
2.3                          Estimating the Range of Interday Volume
2.4                          Inter- and Intraday Volumes

3.                        Price Volatility
3.1                          Introduction
3.2                          Historical Volatility: the Traditional Construction Technique
3.3                          Other Techniques

4.                        An Inter- Intraday Analysis of Oil Futures Markets
4.1                          Introduction
4.2                          Some Results Using the NYMEX WTI Data
4.3                          The WTI Futures Contract and the Intra/InterVolume Ratio
4.4                          The Average Liquidity and Day Trading Horizons
4.5                          The NYMEX No. 2 Heating Oil Futures Contract
4.6                          The Liquidity of Energy Futures: a Conclusion

5.                        The Characterization of Other Futures Markets
5.1                          Introduction
5.2                          Standard & Poor’s 500 Financial Index Futures
5.3                          Japanese Yen and Deutsche Mark Futures
5.4                          Gold Futures
5.5                          Eurodollar Futures
5.6                          Treasury Bills 90-day Futures

6.               Conclusion

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