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Intra-day co-movements of crude oil futures: China and the international benchmarks

Ji, Qiang and Zhang, Dayong and Zhao, Yuqian (2021) 'Intra-day co-movements of crude oil futures: China and the international benchmarks.' Annals of Operations Research. ISSN 0254-5330

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Abstract

Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and study its co-movements with the international benchmarks of WTI and Brent crude oil futures in intra-day day and night trading sessions. A complex network model framework is proposed to analyse the intra-day co-movement patterns labelled by a functional data clustering approach on intra-day return curves. Our findings indicate INE is more integrated with the global market during the night session, but it shows a regional fractional effect during the day session. Based on the revealed dynamics of co-movement patterns, we further design a pairs trading strategy between INE crude oil futures and the international benchmarks. The simulation results show that the pairs trading strategy can be promisingly profitable, even during market turmoil phases.

Item Type: Article
Uncontrolled Keywords: INE Crude oil futures, WTI and Brent, Intra-day co-movement patterns, Complex network model, Pairs trading
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 26 May 2021 10:10
Last Modified: 26 May 2021 11:15
URI: http://repository.essex.ac.uk/id/eprint/30488

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