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Pre-order now: Systematic Trading in Energy Markets - coming October 2019

By Dr Joaquin Narro and Dr Monica Caamano

Overview

Renewables are contributing to world energy output more than ever before. The switch from traditional fuels has created many dislocations in the markets which can be monetised through simple arbitrage. Systematising models that capture this arbitrage can be very profitable.


Systematic Trading in Energy Markets written by energy trading experts, Joaquin Narro and Monica Caamano, shows the reader how to optimise the rate of return through systematic trading.


Using quantitative techniques the authors explain how to make investment and trading decisions in a methodical way, helping to define trade goals, risk controls and rules. The reader will gain a greater understanding of the machinations of the energy markets and how this affects prices at market. This understanding will then facilitate building new models, or improving existing ones, and knowing the limitations of these models.

Publish date: 1 Jan 1970

Availability: Out of stock

£85.00

Book description

Renewables are contributing to world energy output more than ever before. The switch from traditional fuels has created many dislocations in the markets which can be monetised through simple arbitrage. Systematising models that capture this arbitrage can be very profitable.

Systematic Trading in Energy Markets written by energy trading experts, Joaquin Narro and Monica Caamano, shows the reader how to optimise the rate of return through systematic trading.

Using quantitative techniques the authors explain how to make investment and trading decisions in a methodical way, helping to define trade goals, risk controls and rules. The reader will gain a greater understanding of the machinations of the energy markets and how this affects prices at market. This understanding will then facilitate building new models, or improving existing ones, and knowing the limitations of these models.

The book incorporates behavioural, as well as other practical issues, not to mention more established theoretical considerations. Chapters include:

1. The Energy Supply and Demand Conundrum

2. A Brief History of Energy Markets

3. Systematic Trading in Energy Markets

4. Defining Trading Expectations

5. The Existing Edge

6. Ideas Generation

7. Technical Models Characteristics

8. Fundamental Models Characteristics

9. Systematic model development

10. Model Inputs, Processes and Outputs

11. Common Mistakes in Systematic Model Development

12. Model Production

13. Portfolio Construction

14. Risk Management and Controls

Although typical systematic models tend to be price-driven, the book acknowledges the importance of fundamental modelling in energy markets. A substantial knowledge gap exists in this area, recognised by many traders and analysts, and Narro and Caamano bring their experience to this by folding both technical and fundamental models into systematic models.

The systematisation of energy trading is an area of growing interest and this book is an implementation guide in how to achieve this. Explaining everything a trader needs to know about building or improving models, fixing models and knowing when a model can?t be fixed. It is an essential purchase to all involved in energy trading.

Book details

ISBN
978-1-78272-414-8
Publish date
1 Jan 1970
Format
Size
230mm x 280mm

Author biography

Dr Joaquin Narro and Dr Monica Caamano

Dr Joaquin Narro, Managing Director, Alcazar Investment Management Ltd

Joaquin is an energy professional with experience encompassing investment management, quantitative analysis, risk management, business development and entrepreneurship:

  • 2012 – current: Managing Director, Alcazar Investment Management Ltd
  • 2009 – 2012: Head of Structured Trading, Vattenfall
  • 2005 – 2008: Co-founder, Head of Energy and Portfolio Manager, Cumulus Asset Management
  • 2003 – 2005: Senior Trader, Cross-Commodity Trading, Vattenfall
  • 2001 – 2002: Trader, Weather Arbitrage, Aquila Energy

Joaquin has a PhD in Nuclear Physics and a degree in Theoretical Physics.

Dr Monica Caamano, Director, Alcazar Investment Management Ltd

Monica has been Head of Research at Alcazar Investment Management Ltd since 2012. She has experience in research and development of quantitative models (focussing on commodity markets); implementing proprietary derivatives trading strategies; Portfolio management including analysis, trading and execution as well as risk management. Monica has a PhD in Nuclear Physics and a degree in Physical Sciences.

Table of contents

1. The Energy Supply and Demand Conundrum

2. A Brief History of Energy Markets

3. Systematic Trading in Energy Markets

4. Defining Trading Expectations

5. The Existing Edge

6. Ideas Generation

7. Technical Models Characteristics

8. Fundamental Models Characteristics

9. Systematic model development

10. Model Inputs, Processes and Outputs

11. Common Mistakes in Systematic Model Development

12. Model Production

13. Portfolio Construction

14. Risk Management and Controls

14. Risk Management and Controls

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