Journal articleAuthors : Nakajima, Tadahiro (2019)
Energy futures have become important as alternative investment assets to minimize the
volatility of portfolio return, owing to their low links with traditional financial markets. In order to
make energy futures markets grow further, it is necessary to expand expectations of returns from
trading in energy futures markets. Therefore, this study examines whether profits can be earned
by statistical arbitrage between wholesale electricity futures an... 
