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- W2622641335 abstract "In commodities futures trading, models are often applied to determine an optimal trading strategy. Traditional trading strategies employed include short (sell) and long (buy) positions, time, and locational spreads. Shorter-term power contracts, however, have relatively low correlations with financial markets because of fundamental supply-demand factors including a high correlation with weather effects. Based on the concept of fundamental indexation pioneered by Arnott et al. we investigate the application of a fundamental portfolio weighting indexation to power markets. We propose three fundamental indices, inverse inflow, inverse production and consumption, related to supply and demand, and which historically exhibit strong correlations with power prices. We benchmark the three indices to an equally weighted portfolio of the Nordic market's weekly futures prices (one to six weeks to delivery) from 1996 to 2006. The results show that the inverse inflow index obtains the highest returns. We conclude that the use of the indices combined with portfolio theory would benefit renewable energy plant operators and energy traders." @default.
- W2622641335 created "2017-06-15" @default.
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- W2622641335 date "2017-09-01" @default.
- W2622641335 modified "2023-09-25" @default.
- W2622641335 title "Fundamental indexation: An application to the Nordic wholesale electricity market" @default.
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- W2622641335 doi "https://doi.org/10.1016/j.esr.2017.05.001" @default.
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