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Futures Trading and the European Oil Market

The subject of this paper is the behavior of daily gas oil futures prices on the London-based International Petroleum Exchange (IPE). It reports results consistent with the hypothesis that prices on the IPE follow a random walk.

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Energy Specializations: Petroleum – Markets and Prices for Crude Oil and Products; Energy Investment and Finance – Trading Strategies and Financial Instruments

JEL Codes: Q02: Commodity Markets, G13: Contingent Pricing; Futures Pricing; option pricing, Q37: Nonrenewable Resources and Conservation: Issues in International Trade, Q35: Hydrocarbon Resources, Q48: Energy: Government Policy, D47: Market Design

Keywords: gas and oil futures, Price behavior, IPE, random walk

DOI: 10.5547/ISSN0195-6574-EJ-Vol8-No3-8

Published in Volume 8, Number 3 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.


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