Introduction

Joaquin Narro and Monica Caamano

Dislocations in energy markets create price differences that can be monetised by arbitrage. Nowadays good quality data is available to all for analysis, and for turning into models that can capture profits. The ability to artfully sieve through the data and uncover the model gems within it can provide the trader with an edge over other market participants. In this book, we will describe the benefits of implementing systematic models and lead the reader through several systematic models based on trading opportunities that have been available in the energy markets.

Systematic Trading in Energy Markets is written with the manager, the trader and the analyst in mind, both private and institutional, as an implementation guide to building systematic trading models. The subject is approached from a practical perspective, bridging the gap between theoretical modelling and the intricacies of the energy markets. The intention is that the reader will easily identify with the many practical aspects that we introduce, and will be able to adapt their existing model stock, or build new models, based on our guidelines. We encourage the reader to understand and maximise their edge in energy