• 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 ...