Impact of News on Crude Oil Futures

dc.contributor.advisorEnsor, Katherineen_US
dc.contributor.advisorOstdiek, Barbaraen_US
dc.contributor.advisorTurnbull, Stuarten_US
dc.creatorHan, Yuen_US
dc.date.accessioned2017-08-01T16:08:34Zen_US
dc.date.available2017-11-01T05:01:06Zen_US
dc.date.created2017-05en_US
dc.date.issued2017-04-21en_US
dc.date.submittedMay 2017en_US
dc.date.updated2017-08-01T16:08:34Zen_US
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.en_US
dc.embargo.terms2017-11-01en_US
dc.format.mimetypeapplication/pdfen_US
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>.en_US
dc.identifier.urihttps://hdl.handle.net/1911/95997en_US
dc.language.isoengen_US
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.en_US
dc.subjectAsset Pricingen_US
dc.subjectCrude Oilen_US
dc.subjectFutures Marketen_US
dc.subjectStochastic Modelen_US
dc.titleImpact of News on Crude Oil Futuresen_US
dc.typeThesisen_US
dc.type.materialTexten_US
thesis.degree.departmentStatisticsen_US
thesis.degree.disciplineEngineeringen_US
thesis.degree.grantorRice Universityen_US
thesis.degree.levelDoctoralen_US
thesis.degree.nameDoctor of Philosophyen_US
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