Seminars & webinars
25 January, 2018

FEEM-IEFE Joint Seminar on "Assessing the Evolution of Liquidity and its Drivers in Natural Gas Forward Markets: A Financial Markets Microstructure Approach"

Where: Milan

Bocconi University,
room 5.c4.sr03, 5th floor
via Roentgen, 1
20136 Milan
video-conference (at FEEM Venice) and GoToMeeting broadcast available

Event's Timetable:

h. 12.30 Seminar
In Milan a light lunch will follow the seminar for registered participants.


Registration is required. Please confirm your participation to:
IEFE Secretary: by Tuesday 23 January.
To attend the seminar in Venice or via GoToMeeting, please register here.


Marianna Russo, Economic and Social Research Institute Dublin


Following the development of natural gas trading hubs in Europe, forward products have become a response to the higher exposure to price risk faced by energy companies. Yet, a significant share of trade occurs over-the-counter (OTC), where inter-dealer brokers act as intermediaries and deals may be customized. Hence, there are concerns about transparency and market quality, of which liquidity is a main indicator. Drawing on the microstructure perspective of financial markets, this study investigates liquidity in the largest one-month-ahead European forward market for natural gas using asynchronous high-frequency data. Co-movements between measures of trading activity, price changes and liquidity are assessed, which have implications for energy markets quality and risk management. Since liquidity affects trading costs and represents an additional risk for market participants, this study has implications for further developments of natural gas hubs and, overall, for the process towards the EU’s energy markets integration.

This seminar has been jointly organized by FEEM and IEFE, Bocconi University.

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