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Natural Gas Storage Forecasts: Is the Crowd Wiser?

Adrian Fernandez-Perez, Alexandre Garel, and Ivan Indriawan

Year: 2020
Volume: Volume 41
Number: Number 5
DOI: 10.5547/01956574.41.5.afer
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Abstract:
This paper examines the usefulness of crowdsourced relative to professional forecasts for natural gas storage changes. We find that crowdsourced forecasts are less accurate than professional forecasts on average. We investigate possible reasons for this inferior performance and find evidence of a greater divergence of opinions and a lower incorporation of publicly available information among crowd analysts. We further show that crowdsourced consensus forecast does not influence the market�s expectation of gas storage changes beyond what is already contained in professional consensus forecast, suggesting that crowdsourced forecasts provide little new information. Overall, our results indicate that the incremental usefulness of crowdsourced forecasts for gas market stakeholders is very limited.



Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Zhuzhu Wen, Ivan Indriawan, Donald Lien, and Yahua Xu

Year: 2023
Volume: Volume 44
Number: Number 5
DOI: 10.5547/01956574.44.4.zwen
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Abstract:
We study the impact of the announcements released by the US Energy Information Administration (EIA) on crude oil storage every Wednesday at 10:30 ET (the beginning of the third half-hour interval) on intraday return predictability, that is, intraday momentum. Our results indicate that returns on the third half-hour on EIA announcement days can significantly and positively predict the returns in the last half-hour, whereas, on non-EIA announcement days, only returns in the first half-hour have significant predictability. The dominant source of prediction in the first half-hour return mainly comes from the overnight component. EIA announcements contribute to intraday momentum because they attract more informed traders and because the period surrounding their release is often associated with a reduction in liquidity. Substantial economic gains can be made by using efficient intraday predictors as trading signals.





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