The authors investigate the existence of statistical arbitrage opportunities by focusing on long-term pricing relation- ships between natural gas futures prices and a portfolio of replicating assets traded in equity markets. They use coin- tegration techniques in order to track per- sistent pricing equilibria, and they posit that mispricing arises when natural gas futures at the London ICE diverge from the price of a replication portfolio com- posed by an ETC and an ETF invested in natural gas. They verify that mispric- ing dynamics revert back to cointegrated equilibria with predictable behavior, and exploit this stylized fact by testing in this commodity market trading strate- gies commonly used in equity markets.
Natural Gas Statistical Arbitrage: A systematic approach
FANELLI, VIVIANA;
2014-01-01
Abstract
The authors investigate the existence of statistical arbitrage opportunities by focusing on long-term pricing relation- ships between natural gas futures prices and a portfolio of replicating assets traded in equity markets. They use coin- tegration techniques in order to track per- sistent pricing equilibria, and they posit that mispricing arises when natural gas futures at the London ICE diverge from the price of a replication portfolio com- posed by an ETC and an ETF invested in natural gas. They verify that mispric- ing dynamics revert back to cointegrated equilibria with predictable behavior, and exploit this stylized fact by testing in this commodity market trading strate- gies commonly used in equity markets.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
