Overview
- Provides the advanced analysis techniques cultivated in financial markets
- Introduce the cases of applying these methods to various energy markets
- Reveals the characteristics of energy markets from the perspective of energy trading and risk management
Part of the book series: Kobe University Monograph Series in Social Science Research (KUMSSSR)
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Table of contents (6 chapters)
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Front Matter
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Back Matter
Keywords
About this book
This book introduces empirical methods for analyzing energy markets. Even beginners in econometrics and mathematical finance must be able to learn how to utilize these methodologies and how to interpret the analysis results. This book provides some example analyses of the North American, European, and Asian energy markets. The reader will experience some theories and practices of energy trading and risk management. This book reveals the characteristics of energy markets using quantitative analyses. Examples include unit root, cointegration, long-term equilibrium, stochastic arbitrage simulation, multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models, exponential GARCH (EGARCH) models, optimal hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA) models, connectedness, and frequency decomposition. This book is suitable for people interested in the empirical study of energy markets and energy trade.
Authors and Affiliations
About the authors
Dr. Shigeyuki Hamori is a Professor of Economics at Kobe University in Japan. He received a Ph.D. from Duke University. He is the President of the International Research Institute for Economics and Management, the Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and the Distinguished Fellow of the Institute of Data Science and Artificial Intelligence (DFIDSAI). His main research interests are applied time series analysis, empirical finance, data science, and international finance. He is the Co-Editor of the Singapore Economic Review, the Associate Editor of the International Review of Financial Analysis, and the Associated Editor of the Eurasian Economic Review. He served as the Editor of special issues of various journals such as Frontiers in Environmental Science, Energies, Emerging Market Finance and Trade, and Journal of Risk and Financial Management. He has published about 250 articles in international peer-reviewed journals and 20books from Springer, Routledge, World Scientific, etc.
Dr. Tadahiro Nakajima is a senior researcher at the Kansai Electric Power Company, Incorporated. He received a Ph.D. from Kobe University. He revceived the Highly Commended Paper of the Studies in Economic and Finance – Literati Award (Emeral Publishing). His main research interests are applied time series analysis, energy economics and energy markets. He has published about 20 articles in international peer-reviewes journals and a book from Springer.
Bibliographic Information
Book Title: Energy Trading and Risk Management
Book Subtitle: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Authors: Tadahiro Nakajima, Shigeyuki Hamori
Series Title: Kobe University Monograph Series in Social Science Research
DOI: https://doi.org/10.1007/978-981-19-5603-4
Publisher: Springer Singapore
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2022
Hardcover ISBN: 978-981-19-5602-7Published: 04 November 2022
Softcover ISBN: 978-981-19-5605-8Published: 05 November 2023
eBook ISBN: 978-981-19-5603-4Published: 03 November 2022
Series ISSN: 2524-504X
Series E-ISSN: 2524-5058
Edition Number: 1
Number of Pages: XVII, 133
Number of Illustrations: 23 b/w illustrations, 35 illustrations in colour
Topics: Econometrics, Statistical Theory and Methods, Statistics for Business, Management, Economics, Finance, Insurance, Risk Management, Natural Resource and Energy Economics