The irrational feedback trading behavior in the crude oil markets remains puzzling for academic communities and market professionals. This study explores the time-varying features of feedback trading in the four major crude oil futures markets. We find the popularity of positive feedback trading in the WTI, Brent and DME Oman futures markets, and that of negative feedback trading in the China SIEE futures market. However, substantial oscillations of feedback trading strategies occur over time, where positive and negative feedback trading strategies cluster during miscella- neous market crises. Further, risk aversion plays a dominant role in the dynamic mean and volatility transmissions with feedback trading in most of the crude oil markets. The dominance of risk aver- sion is more pronounced during the tumultuous periods such as GFC and COVID-19 pandemic. Our findings render important implications for investors on containing irrational feedback trading.

Feedback is the trading strategy of irrational investors. Positive feedback traders' buying or selling behavior is decided by the stock price of the preceding period. On the presence of positive feedback trading, stock market returns show characteristics which are different from these assumed in the classical financial theory, and thus make the stock market fluctuate extraordinarily. This essay establishes a model with the participation of positive feedback trader and rational trader,. The irrational traders adopt feedback trading strategy. Based on the model, we used Monte Carlo simulation method to produce a time series. We computed the kurtosis, tail-index and the autocorrelation coefficient of the time series and compared with the relevant quantity of Shanghai stock market index time series. It turned out that our model can provide a powerful expression to the fat-tail and autocorrelation characteristics of stock market return.