With the diversification of social needs during the three and a half decades of its operation, IEEJ has expanded its scope of research activities to include such topics as environmental problems and international cooperation closely related to energy.
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Keywords: Power Markets, Futures, Arbitrage, CAPM However, we then show that an intelligently chosen long-short strategy constructed in the Einar Aas spirit can generate a positive alpha in the CAPM sense, hence providing evidence of arbitrage.ĭownload Executive Summary Purchase ( $25 ) This is followed by a discussion as to how far the different risk premia and Sharpe values alone are evidence of arbitrage. To do this, we first assess the risk premium and relevant Sharpe values for the two markets and observe significant differences.
Inspired by the initial success and eventual failure of Einar Aas' trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage from engaging in both markets simultaneously and the possibility of constructing a trading strategy that ultimately beats the markets.
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