Browsing by Author Nakajima, Tadahiro

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  • OER000000010.pdf.jpg
  • Journal article

  • Authors : 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...