Chapter 1· Revised version for The Energy Journal
Speculative Trading in Energy Markets: Evidence from Macroeconomic Surprises
Speculators Dampen Macro News Shocks in Energy Futures
Does speculative trading amplify macroeconomic news in commodity futures? No — greater speculation dampens price drift, volatility, and spreads while improving liquidity.
Simon-Pierre Boucher — contact@spboucher.ai
26
Macroeconomic announcement releases studied
6
Futures contracts (CL, NG, GC, SI, HG, PA)
5-min
Sampling frequency of futures data, 2007–2024
14
Tables of results in the article
6
Figures documenting speculation and news effects
Abstract
Using five-minute futures data from 2007 to 2024 and 26 macroeconomic announcement releases, this essay asks whether speculative trading amplifies or dampens the impact of macro news on commodity futures. Speculation intensity is measured with an NLS proxy built from the CFTC disaggregated Commitments of Traders report, distinguishing money managers from swap dealers across energy (crude oil, natural gas) and metals (gold, silver, copper, palladium) contracts.
The evidence points to a stabilizing role for speculators: increased speculative trading dampens the impact of standardized macro surprises on price drift, volatility, and bid-ask spreads, improving liquidity and price discovery. The damping effect is stronger for procyclical commodities such as oil and natural gas than for safe havens like gold, and the beneficial effects are driven by money managers rather than swap dealers.
Key Results
Speculation conditions macro news impact
Shows that the intensity of speculative trading systematically conditions how commodity futures react to standardized macroeconomic surprises, rather than treating announcement effects as uniform.
Evidence that speculators stabilize markets
Increased speculative activity dampens the impact of macro surprises on price drift, volatility, and bid-ask spreads, countering the view that speculation amplifies commodity price shocks.
Trader-type decomposition of effects
Using the CFTC disaggregated Commitments of Traders data, the beneficial liquidity and price-discovery effects are attributed to money managers, not swap dealers.
Procyclical versus safe-haven contrast
Documents that the damping effect is stronger for procyclical commodities such as crude oil and natural gas than for safe havens like gold.
NLS speculation proxy at announcement times
Builds a nonlinear-least-squares speculation intensity proxy from disaggregated positioning data and interacts it with high-frequency announcement-window reactions in energy and metals futures.
Data
Five-minute commodity futures, 2007–2024
High-frequency price data for crude oil (CL), natural gas (NG), gold (GC), silver (SI), copper (HG), and palladium (PA) futures.
26 macroeconomic announcement series
Scheduled U.S. macroeconomic releases converted into standardized surprises to measure announcement-window reactions in returns, volatility, and spreads.
CFTC disaggregated Commitments of Traders
Weekly positioning data separating money managers from swap dealers, used to construct the NLS speculation intensity proxy.
Methodology
WLS-EWMA event regressions
Weighted least squares with exponentially weighted moving average variance estimates to measure announcement effects on high-frequency returns and volatility.
GARCH volatility modelling
GARCH-type specifications capture conditional volatility dynamics around macroeconomic announcement releases in energy and metals futures.
NLS speculation proxy from COT data
A nonlinear-least-squares proxy for speculation intensity built from CFTC disaggregated positions, interacted with standardized macro surprises.
COVID and ZLB robustness appendices
Dedicated appendices test the robustness of the results across the COVID-19 period and the zero-lower-bound monetary policy regime.
Reproducibility
- Full LaTeX source lives in phd_chap1_20260731/ as a frozen July 31, 2026 snapshot: a monolithic main.tex plus tables.tex (14 tables), figures.tex (6 figures), and master.bib.
- The folder includes COVID and ZLB robustness appendices and the compiled main.pdf alongside standalone figure files (FIG_NLS, FIG_MSCT, FIG_WT, per-commodity plots).
- The chapter is also integrated into the full thesis in these-ulaval/, where labels are prefixed ch1: and the bibliography is merged into a consolidated 271-key BibTeX file.