Impact of News on Crude Oil Futures

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dc.contributor.advisorEnsor, Katherine
dc.contributor.advisorOstdiek, Barbara
dc.contributor.advisorTurnbull, Stuart
dc.creatorHan, Yu
dc.date.accessioned2017-08-01T16:08:34Z
dc.date.available2017-11-01T05:01:06Z
dc.date.created2017-05
dc.date.issued2017-04-21
dc.date.submittedMay 2017
dc.date.updated2017-08-01T16:08:34Z
dc.description.abstractCrude oil futures are worlds the most actively traded commodity futures, with more than 3 billion barrels per year in open interest. In this thesis we use related news to model the price dynamics of oil futures. We examine the empirical patterns of oil market news data processed by Thompson Reuters News Analytics, plus the intraday trading data of the WTI futures price traded on NYMEX. Then we build a three factor stochastic model for futures prices on the whole curve, using interest rate, convenience yield and spot price. The Kalman filter was used to obtain quasi-maximum likelihood estimators. We found that news can significantly explain the price movements and volatility clustering, as well as its skewness and kurtosis. We also found that negative news has an higher explanatory power of price dynamics than positive news, indicating an asymmetrical behavior of information with different tones.
dc.embargo.terms2017-11-01
dc.format.mimetypeapplication/pdf
dc.identifier.citationHan, Yu. "Impact of News on Crude Oil Futures." (2017) Diss., Rice University. <a href="https://hdl.handle.net/1911/95997">https://hdl.handle.net/1911/95997</a>.
dc.identifier.urihttps://hdl.handle.net/1911/95997
dc.language.isoeng
dc.rightsCopyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.
dc.subjectAsset Pricing
dc.subjectCrude Oil
dc.subjectFutures Market
dc.subjectStochastic Model
dc.titleImpact of News on Crude Oil Futures
dc.typeThesis
dc.type.materialText
thesis.degree.departmentStatistics
thesis.degree.disciplineEngineering
thesis.degree.grantorRice University
thesis.degree.levelDoctoral
thesis.degree.nameDoctor of Philosophy
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