# 🎓 Three Essays on High-Frequency Return and Volatility Dynamics in Commodities and Financial Futures Markets

Doctoral thesis by articles (thèse par articles) — Simon-Pierre Boucher, Faculté des sciences de l'administration (FSA), Université Laval. Co-authors: Marie-Hélène Gagnon & Gabriel J. Power.

# 🗂️ Repository Contents

# 🛢️ Chapter 1 — Speculative Trading in Energy Markets: Evidence from Macroeconomic Surprises

Question: Does speculative trading amplify or dampen the impact of macroeconomic news on commodity futures?

Using high-frequency data and 26 macroeconomic announcement releases, this essay measures how the intensity of speculation (an NLS proxy built from the CFTC disaggregated Commitments of Traders — money managers vs. swap dealers) conditions the reaction of energy (crude oil, natural gas) and metals (gold, silver, copper, palladium) futures to standardized macro surprises.

Key findings 🎯

• 🧯 Increased speculative trading dampens the impact of macro surprises on price drift, volatility, and bid-ask spreads.
• 💧 Speculators improve liquidity and price discovery while reducing volatility.
• ⚡ The damping effect is stronger for procyclical commodities (oil, gas) than for safe havens (gold).
• 👤 The beneficial effects are driven by money managers, not swap dealers.

📦 In the folder: main.tex (monolithic article), tables.tex (14 tables), figures.tex (6 figures), COVID & ZLB appendices, master.bib.

# 📈 Chapter 2 — Seeing Through the ETF: Indicative NAV and Commodity Volatility Transmission

Question: How does volatility flow between commodity ETFs and their underlying assets — and what does the intraday indicative NAV (iNAV) reveal that daily data cannot?

This essay builds a novel minute-level iNAV dataset for four single-commodity ETFs (gold, silver, oil, natural gas), decomposes realized variance into continuous and jump components (Barndorff-Nielsen–Shephard), and estimates HAR-X / HAR-CJ-X models at 1, 5 and 30 minutes plus a Bayesian VAR.

Key findings 🎯

• 🪞 The iNAV gives a sharper image of the ETF–underlying volatility relationship.
• 💥 Transmission runs primarily through jumps, not diffusion.
• ⏱️ Sampling frequency matters: 1-minute estimates are up to 2× larger than 30-minute ones.
• 🥇 Precious metals: unidirectional (iNAV → ETF, passive arbitrage); ⛽ energy: bidirectional & asymmetric.

📦 In the folder: main.tex + sections/ (intro, data, methods, results, conclusion), 13 tables, 8 figures (RV & IRF plots), master.bib, compiled main.pdf.

# 🏦 Chapter 3 — Returns and Volatility Around FOMC Announcements: A High-Frequency Analysis of Policy Tone and Novelty

Question: When the Fed speaks, what moves markets — what it says (tone) or how new it is (novelty)?

FOMC statements (217 releases, 2000–2025) are decomposed into policy tone (hawkish/dovish) and informational novelty using a dual-model NLP ensemble (MiniLM + BERT, TSDAE+MNRL fine-tuning, PCA-based reference selection), then linked to 1-minute futures data via event regressions, minute-level panels and Jordà local projections, with placebo tests and five inference methods.

Key findings 🎯

• 🗣️ Tone predicts directional returns: a 1σ dovish shift → equity gains building to ≈ +12 bps within two hours.
• 🆕 Novelty predicts volatility: the stance × novelty interaction on VIX persists 5–120 min (t = −5.06).
• 📊 Stance moves realized volatility in 6 of 7 contracts (p < 0.01).
• 🧪 Pre-announcement placebos are null — effects are announcement-driven.

📦 In the folder: chapitre3.tex + sections/, 24 tables, 19 figures, mathematical proofs appendix, master.bib, compiled chapitre3.pdf.

# 📕 Global Thesis — these-ulaval/

The full thesis-by-articles document assembled for the FESP (Faculté des études supérieures et postdoctorales) requirements:

• 🇫🇷 French front matter (résumé, remerciements, avant-propos) + 🇬🇧 English abstracts per chapter
• 📖 General introduction · 3 chapters · general conclusion · appendices A–B (Chapter 3 proofs & extras)
• 📚 Consolidated bibliography (bib/these.bib, 271 unique keys merged from the three articles)
• 🧾 INVENTAIRE.md — exhaustive audit of the sources, conflicts and every mechanical fix (labels prefixed chN:, package conflicts, BibTeX dedup…)

cd these-ulaval
latexmk          # → main.pdf (0 errors, 0 undefined refs, 0 missing citations)

# 🧭 Thread of the Thesis

The three essays share one lens: high-frequency data around information events.

      🛢️ Ch. 1                📈 Ch. 2                 🏦 Ch. 3
 macro announcements  →   ETF ↔ underlying    →   FOMC statements
 × speculation             volatility               tone × novelty
 (who trades matters)      transmission             (what & how new)
        └──────────── returns · volatility · liquidity ────────────┘

# ✍️ Authors

🙏 Funding: Social Sciences and Humanities Research Council (SSHRC) & Chaire Industrielle-Alliance Groupe financier.

_{📌 Folder suffix 20260731 = frozen snapshot of each article (July 31, 2026 versions). Sources are never edited in place — all thesis adaptations live in these-ulaval/.}