Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures

This study investigates the use of several trading strategies, based on Machine Learning methods, to profit on the risk premium of the Nordic electricity base-load week futures. The information set is only composed by financial data from January 02, 2006 to November 15, 2017. The results point out t...

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Bibliographic Details
Main Author: Sebastião, Helder Miguel Correia Virtuoso (author)
Other Authors: Godinho, Pedro Manuel Cortesão (author), Westgaard, Sjur (author)
Format: article
Language:eng
Published: 2020
Subjects:
Nord Pool
electricity futures
risk premium
machine learning
trading
Online Access:http://hdl.handle.net/10316/93817
Country:Portugal
Oai:oai:estudogeral.sib.uc.pt:10316/93817

Internet

http://hdl.handle.net/10316/93817

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