This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...

This study examines the Samuelson Hypothesis, which postulates that futures price volatility increases as the futures contract approaches its expiration. Investigating intraday data and drawing on the recently developed concept of realized range, this study provides empirical evidence regarding...

Using high-frequency intraday data sampled on half-a-second frequencies for the Chinese crude oil futures contract (SC), we examine and compare trading dynamics of SC with both WTI and Brent oil futures contracts. We use a modified volume method to create a continuous SC time series,...