Systematic Trading in Energy Markets
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References
Joaquin Narro and Monica Caamano
References
Introduction
The Energy Supply and Demand Conundrum
A Brief History of Energy Markets
Systematic Trading in Energy Markets
The Trading Edge
Defining Trading Expectations
Exploring Technical Modelling in Idiosyncratic Energy Markets
Exploring Fundamental Modelling
Introducing Cycle Analysis and Monte Carlo Simulations
Data: Boundaries and Assumptions
Estimating Model Lifetime
Optimising Performance and Risk
Pitfalls in Systematic Model Development
Model Production
Portfolio Construction
Incorporating Human Behaviour
References
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BP, 2019, “BP Energy Outlook 2019 Edition”.
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Chicago Daily Tribune (CDT), 1959, “Ship Carrying Liquid Gas on 1st Voyage to England”, February 2, p 4.
Chevalier, J. and F. Ielpo, 2013, The Economics of Commodity
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