Informed Trading in the WTI Oil Futures Market

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2019

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Inventory release Intraday data Insider trading WTI crude oil futures

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Coal-oil Oil Crude oil

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Olivier Rousse et al., « Informed Trading in the WTI Oil Futures Market », Hyper Article en Ligne - Sciences de l'Homme et de la Société, ID : 10670/1.k4ry4j


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Abstract En

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than market forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level, with a drop in the average price of –0.25% ahead of the news release. This finding is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to oil-inventory news, and highlight an over-reaction that is partly compensated in the hours following the announcement.

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