Authors: Ioannis Anastasovitis, Stefanos Papadamou

Title: Impacts of financial anomalies into the volatility of futures time series

Abstract

The purpose of this thesis is dual. First, it is presented the significant role of Derivatives Markets on the effective portfolio’s risk management. Based on the existing scientific literature, we put emphasis on the commodities markets, since their price fluctuation affects seriously the decisions of investors and economic makers as well. Second, we examine how several events/shocks with no geopolitical, military or economic basis influence the volatility of crude oil markets. For the time period 1986-2018, the volatility of both spot and futures crude oil markets is analysed with the application of GARCH and IGARCH models. The empirical results provide evidence of speculative activity. In light of this, a high proportion of irrational traders take positions only in the futures crude oil market, following their expectations for the future market’s prices.