Crack spreads in crude oil futures - Hedging and speculation in the oil market
This study was performed using daily spot prices, from January 1997 through July 2004; of the three assets that constitute the crack spread i.e. crude oil, gasoline and heating oil - all listed on the New York Mercantile Exchange (NYMEX). Our objective has been to characterize the dynamics of the spread and subsequently create trading strategies to yield returns that surpass that of a passive appr
