Energy Modelling (2nd edition)

Energy Modelling (2nd edition)

An Introduction to Models for the Energy Markets

An Introduction to Models for the Energy Markets

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.

£85.00
Availability: In stock
ISBN
9781782724148
 

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.

 

More Information
ISBN 9781782724148
Navision code MTEM
Publication date 28/1/19
Size 155mm x 235mm
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Joaquin Narro and Monica Caamano

Joaquin Narro founded Alcazar Investment Management in 2012. He is an energy professional with experience that encompasses investment management, trading, quantitative analysis, risk management, business development and entrepreneurship. Joaquin has worked for various leading energy firms, including Aquila Energy, Vattenfall and Nuon, as well as being a founding partner of Cumulus Asset Management. He has a PhD in nuclear physics and a degree in theoretical physics.

Monica Caamano has been Head of Research at Alcazar Investment Management since 2012. She has experience in research and development of data-intensive quantitative models, as well as portfolio management – including analysis, implementing proprietary trading strategies and risk management. Monica has a PhD in nuclear physics, a bachelor’s degree in physical sciences and a master’s degree in radiation and environmental protection.

TABLE OF CONTENTS

About the Authors

Abbreviations

Introduction

1 The Energy Supply and Demand Conundrum

2 A Brief History of Energy Markets

3 Systematic Trading in Energy Markets

4 The Trading Edge

5 Defining Trading Expectations

6 Exploring Technical Modelling in Idiosyncratic Energy Markets

7 Exploring Fundamental Modelling

8 Introducing Cycle Analysis and Monte Carlo Simulations

9 Data: Boundaries and Assumptions

10 Estimating Model Lifetime

11 Optimising Performance and Risk

12 Pitfalls in Systematic Model Development

13 Model Production

14 Portfolio Construction

15 Incorporating Human Behaviour