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Whitepaper

Trading Energy Futures: Correlation Analysis Between RBOB ARA/NYH Transatlantic Arbs and RBOB Futures Time Spread

8th March 2024

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This research investigates the relationship between the Amsterdam-Rotterdam- Antwerp (ARA) to New York Harbour (NYH) RBOB gasoline arbitrage margin and the RBOB Gasoline Futures Time Spread. We show that there is a statistically significant negative correlation between the arb and the futures spread, in line with the interpretation that a supply of gasoline from Europe to the US should result in a decrease in the front month futures spread returns.

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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Claudio Bellei

Head of Data Science

Claudio Bellei is Head of Data Science for Sparta. After spending a few years working on nuclear fusion in the US and in Europe under a Marie Curie Fellowship, he left academia to pursue a career in data science. Claudio holds a Ph.D. from Imperial College London.

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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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