Blar i forfatter "Størdal, Ståle"

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    • Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets? 

      Ewald, Christian Oliver; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Wu, Yuexiang (Journal article; Tidsskriftartikkel; Peer reviewed, 2022-09-29)
      In this paper we investigate energy futures contracts and the presence of a type of seasonality, that has been given very little to no attention in the literature – we call it trading time seasonality. Such seasonality is exposed through the futures trading time, not its maturity time, nor the underlying spot price. As we show, it can be linked to seasonality in the pricing kernel, but the latter ...

    • Trading Time Seasonality in Electricity Futures 

      Størdal, Ståle; Ewald, Christian Oliver; Lien, Gudbrand; Haugom, Erik (Journal article; Tidsskriftartikkel; Peer reviewed, 2022-10-12)
      Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed for varying maturities. This type of seasonality is linked to the pricing kernel which in turn accounts for seasonal changes in preferences of agents and tied to risk aversion and ...