Information delay, trading asymmetry and multidimensional instability in crude oil futures markets

Information delay, trading asymmetry and multidimensional instability in crude oil futures markets | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Article Information delay, trading asymmetry and multidimensional instability in crude oil futures markets Jiangcheng Li, Yi-Zhen Xu, Jin Guo, Junran .- Shi This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-8438506/v1 This work is licensed under a CC BY 4.0 License Status: Under Review Version 1 posted 8 You are reading this latest preprint version Abstract Global energy markets have experienced recurrent episodes of extreme price volatility and instability, especially in crude oil futures, posing significant challenges for risk management and sector-wide decision-making. From an econophysics and energy management perspective, this paper proposes a Multidimensional Instability Index (MDI) and a delayed asymmetric agent-based model to quantify and explain instability in WTI crude oil futures markets. The MDI integrates information entropy, unstable time, absolute return volatility, maximum drawdown and value-at-risk into a single composite indicator that can be used for real-time monitoring. Using daily WTI futures data from 1988 to 2024, we calibrate the agent-based model through density-based moment matching and examine how information delay, trading asymmetry and investor clustering affect market stability. The results reveal a nonlinear, non-monotonic relationship between trading probability and market instability, and show that changes in information delay and trading asymmetry can generate bifurcation-like shifts between relatively stable and highly unstable regimes. Empirically, the MDI successfully detects major crisis episodes such as the 2008 financial crisis, the 2014-2016 oil price collapse, the COVID-19 shock and recent geopolitical tensions. These findings provide an integrated tool and behavioural mechanism explanation for energy sector risk management, supporting the design of early-warning indicators and policies aimed at enhancing the stability and resilience of crude oil futures markets. Physical sciences/Mathematics and computing Physical sciences/Physics Market disturbance index Financial market instability Delayed asymmetric proxy model Multidimensional risk measures Nonlinear dynamics of financial time series Full Text Additional Declarations No competing interests reported. Supplementary Files SupportMaterialCode.zip Cite Share Download PDF Status: Under Review Version 1 posted Reviewers agreed at journal 12 May, 2026 Reviewers agreed at journal 09 May, 2026 Reviewers agreed at journal 07 May, 2026 Reviewers invited by journal 07 May, 2026 Editor invited by journal 05 May, 2026 Editor assigned by journal 04 Mar, 2026 Submission checks completed at journal 21 Jan, 2026 First submitted to journal 21 Jan, 2026 You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-8438506","acceptedTermsAndConditions":true,"allowDirectSubmit":false,"archivedVersions":[],"articleType":"Article","associatedPublications":[],"authors":[{"id":639268058,"identity":"2da6dc42-579e-400a-926f-f3af5fbc99ee","order_by":0,"name":"Jiangcheng 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