Volatility
Cutting edge – multi-scale volatility in commodity markets
This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They…
Falling oil prices and Greek crisis a boon to carbon traders
Carbon allowance trading hits all-time high in June as analysts downgrade predicted average ETS Phase 3 price to €22 per tonne
Slow recovery likely for freight derivatives amid low market rates
An overabundance of dry-bulk vessels ordered before the financial crisis now coming on line is weighing on the freight market and freight rates. Alex Davis looks at how freight derivatives demand will cope during what many expect will be a sustained…
Oil options “frenzy” as corporates shift hedges in response to Mideast crisis
The sharp increase in oil price volatility resulting from political upheaval in Libya and the Middle East has pushed the volume of oil options traded to an all-time high. Ned Molloy reports
Volatility spike boosts oil options trading volume to all-time high
The sharp increase in oil price volatility resulting from political upheaval in Libya and across the Middle East has helped push the volume of oil options traded to a new all-time high
Upwardly mobile
As energy prices creep upward, many factors are driving the markets. The upward trend and increased volatility is continuing as the markets evolve and mature. But are these markets operating efficiently and accurately, or are they being manipulated, as…