Exploring Light Sweet Crude Futures Caleb Seeley 2/13/08

Introduction Examine Light Sweet Crude futures prices at 5 minute intervals over 20 years ( ) Examine Corn futures prices at 5 minute intervals over 20 years ( ) Begin by looking for significant jumps Method for testing for jumps based on Huang- Tauchen (2005)

Background Mathematics Realized Variation: Realized Bi-Power Variation:

Background Mathematics Part 2 The relative jump is defined: RJ t = (RV t – BV t ) / RV t In order to studentize the RJ t one needs to estimate the integrated quarticity

Background Mathematics Part 3 Tri-Power Quarticity Z-statistic – used.999 significance level (3.09)

Crude Results Average RV = Average BV = Jump Days = 81 (1.54%)

Impact of Season on Jumps Crude oil demand varies seasonally Are jumps clustered during a certain season?

Results Winter Jumps:17 (21%) Spring Jumps:27 (33%) Summer Jumps:17 (21%) Fall Jumps:20 (25%) Warm Weather Jumps:44 (54%) Cold Weather Jumps:37 (46%)

Extensions Examine correlation between jump days between oil and corn futures See if there are corresponding news events (wars, weather disasters, etc. ) for jumps Expand jumps related to season