Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
244455 | Applied Energy | 2011 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Paresh Kumar Narayan, Seema Narayan, Stephan Popp,