Relative value arbitrage in European commodity markets
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DOI: 10.1016/j.eneco.2017.11.005
Abstract: Abstract This study offers insights into the profitability of convergence trading in European commodity markets, thereby shedding light on the compensation for enforcing the Law of One Price. We analyze profits of a cointegration-based statistical… read more here.
Keywords: relative value; value arbitrage; arbitrage; european commodity ... See more keywords