Systematic Trading in Energy Markets

The growth in Renewables is altering the world energy landscape. The switch from traditional fuels has created many dislocations in the energy 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 returns 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. This understanding will facilitate building new models or improving existing ones.

This book incorporates behavioural and practical issues, as well as more established theoretical considerations, walking the reader through real trade examples. Chapters include:

• The Trading Edge
• Optimising Performance and Risk
• Pitfalls in Systematic Model Development
• Portfolio Construction
• Incorporating Human Behaviour

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. Narro and Caamano bring their experience to this by folding both technical and fundamental considerations into systematic models.

The systematisation of energy trading is an area of growing interest and this book is an implementation guide enabling the reader to make more informed trading decisions. 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 for all involved in energy trading.