In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, in general both positions are positively correlated with contemporaneous volatility, and the opposite effect is detected on the following day for...

This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Nordic Power Exchange, Nord Pool. It is found that, on average, there are significant positive risk...

This paper examines the importance of the regular patterns in the behavior of electricity prices, and its implications for the purposes of derivative pricing. We analyze the Nordic Power Exchange’s spot, futures, and forward prices. We conclude that the seasonal systematic pattern...