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Whitepaper

Trading Energy Futures: Arbs-driven EBOB spread forecasting

24th March 2025

Arbs-Driven EBOB spread forecasting
This whitepaper unveils an arbitrage-driven, one-day-ahead forecasting model for the gasoline EBOB spread, blending fundamental insights with advanced analytics. Crafted by Sparta’s expert team, it leverages delivery prices and blend margins across key arbitrage routes to deliver a robust, backtested trading strategy. Traders seeking a competitive edge will find actionable insights to navigate this critical European gasoline market indicator with confidence.

What Traders Will Learn: 

> Arbitrage Signals Decoded: Discover how price differences between ARA and alternatives like AG, Houston, or Singapore signal bullish or bearish EBOB spread movements, empowering precise trade timing. 

 > Model-Powered Precision: Learn how a Generalised Additive Model (GAM) captures complex, non-linear relationships in arbitrage data, outperforming simpler models for consistent profitability. 
 
> Backtested Success: Explore a simple trading strategy—long M1, short M2, or vice versa—that delivers strong theoretical PnL and Sharpe Ratio, validated through rigorous backtesting.

About the authors

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Sam Vu

Senior Data Scientist

Sam Vu is Senior Data Scientist at Sparta. He previously held similar positions at bulge bracket investment banks. Sam holds a Master of Science from Oxford University.

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Milos Tomic

Quantitative Researcher

Milos Tomic is a Quantitative Researcher at Sparta, where he builds systematic strategies. Previously, he developed predictive models at Gunvor Group and has worked across Energy Commodities. Milos holds a Bachelors & Masters degree in Mathematics & Statistics from University of Warwick.
 
 
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Miles Moseley

Co-Founder and COO

Miles Moseley is Co-Founder and COO of Sparta. Miles leads daily operations at Sparta. He makes sure ideas are converted into realities. Before Sparta Miles worked and traded for BP.

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