WTI Crude Oil and RBOB Gasoline Futures Prices for Systemic Risk Analysis

Kyung-Sub Lee's dataset supports the paper 'Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach'. The data likely contains time-series of futures prices for West Texas Intermediate crude oil and Reformulated Blendstock for Oxygenate Blending gasoline. Its specific temporal coverage and geographic scope are not detailed in the provided metadata.

Use Cases

• Modeling systemic risk spillovers between crude oil and gasoline futures based on the described market microstructure focus.
• Analyzing high-frequency price dynamics and clustering behavior using a Hawkes process framework as indicated by the paper's title.
• Studying the co-movement and flocking behavior of energy commodity futures prices mentioned in the research context.

Strengths

• Data is directly linked to a specific, peer-reviewed academic paper, providing clear research context.
• Focuses on two major, liquid energy commodities: WTI crude oil and RBOB gasoline futures.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count is unknown, which may limit suitability assessment for large-scale modeling.
• Last update date is unknown; freshness unverified.

Provenance

Source

Kyung-Sub Lee, via paperswithcode platform.

Collection Method

Likely comprises historical futures price data from financial exchanges, gathered for academic research.