High frequency crude oil option data is used to extract the higher order risk-neutral moments from the crude oil market. These risk-neutral moments include the variance, third central moment and the recently developed tail risk variation measures. We find it is beneficial to disaggregate these risk-neutral moments into their semi-moments, and to work with their log differences instead of the level. The log differences of the second and third semi-moments, and to a lesser extent, the log differences of the tail risk measures, are found to explain returns in the crude oil and S&P 500 futures at high frequency. We also provide evidence that the efficient market hypothesis holds at high frequency in these markets.

高频原油期权数据用于从原油市场中提取高阶风险中性时刻。这些风险中性矩包括方差、第三中心矩和最近开发的尾部风险变异度量。我们发现将这些风险中性时刻分解为半时刻并使用它们的对数差异而不是水平是有益的。我们发现第二和第三半矩的对数差异以及尾部风险度量的对数差异在较小程度上可以解释原油和标准普尔 500 指数期货的高频率回报。我们还提供证据证明有效市场假说在这些市场中频繁成立。