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Article

Методы оценки и анализ взаимного влияния нефтяных фьючерсов и нефтяных спот цен

The analysis of the impact of the prices of oil futures contracts on the spot price of Brent crude oil is considered . A study for one, two, three, four, five, and six month contract are represented. It is shown that  the estimation of influence on the spot price parameters such as the spot price for the previous periods has significant effect on the "today" price is only the price of the previous period (lag -1). What about the estimation of the impact of trading volume on the current price of oil, results of studies have shown that the closer the term of the contract, the greater the volume of trading in this contract affect the spot price