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Investigating price clustering in the oil futures market

Dates

Year
2011

Citation

Narayan, Paresh Kumar, Narayan, Seema, and Popp, Stephan, 2011, Investigating price clustering in the oil futures market: Applied Energy, v. 88, iss. 1, p. 397-402.

Summary

Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we consider five different forms of oil futures contracts and test for evidence of price clustering. Our results reveal strong presence of price clustering in the oil futures market. This finding implies that price clustering can potentially be a source of oil market inefficiency, which can influence trading strategies.

Contacts

Communities

  • Western Energy Citation Clearinghouse

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Additional Information

Identifiers

Type Scheme Key
DOI WECC []
ISSN WECC 0306-2619

Citation Extension

journalApplied Energy
parts
typePages
value397-402
typeVolume
value88
typeIssue
value1
citationTypeJournal Article

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