The Impact of Crude Oil Stocks Change Announcements on Crude Oil Price Volatility.pdf

Omid Faseli, Mehrzad Zamani
2019 Figshare  
Abstract. This interdisciplinary study focuses on the impact of financial news announcements on crude oil price volatility. The information released by free Open web API Services is increasing rapidly. So far the correlation between oil price and news announcements was described based on daily crude oil closing prices. Localizing the exact starting point of increasing volatility requires intraday price changes. We propose an interdisciplinary IT-method to extract intraday crude oil price data
more » ... de oil price data from Open web API Services to capture the exact effect of the US inventory announcements at the time of news arrival. Intraday data in 30minutes intervals were applied. We found that volatility decreases before the arrival of the announcement and increases afterwards. For capturing the effect of unexpected amount of change in inventory, the difference between real and expected amount of change was introduced in the model and is statistically significant. Further studies on this issue will be performed.
doi:10.6084/m9.figshare.10303601 fatcat:i3cvmi6webgnbfkxltocvshiqy