re : extreme value theory applied to weathet dear vince and grant ,
i am currently reviewing some of the more erecent references on evt and its
application . i get back to you shortly with some points regarding the
usefulness of evt and how traders ( electricity and weather ) can benefit from
evt .
cheers ,
christian
to : christian werner / enron _ development @ enron _ development
cc :
subject : re : extreme value theory applied to weathet
christian :
to my knowledge , the research group is examining evt primarily in the context
of value at risk calculations . we have not looked at evt for power , because ,
to date , we have been focussing on shorter term fundamental forecasting of
price excursions : i . e . given tomorrow ' s load forecasts and expected plant
dispatch , we attempt to predict which lines will become constrained and how
the system will react to alleviate these constraints . i would be interested
in your thoughts on how evt would benefit the traders however . as far as the
weather goes , i would expect the weather desk to use evt at some level .
clearly you should talk to joe hrgovcic , the researhc chap attached to the
weather desk , for a more accurate assessment .
cheers ,
grant .
re : extreme value theory applied to weathet
dear vince and grant ,
i am currently reviewing some of the more erecent references on evt and its
application . i get back to you shortly with some points regarding the
usefulness of evt and how traders ( electricity and weather ) can benefit from
evt .
cheers ,
christian
to : christian werner / enron _ development @ enron _ development
cc :
subject : re : extreme value theory applied to weathet
christian :
to my knowledge , the research group is examining evt primarily in the context
of value at risk calculations . we have not looked at evt for power , because ,
to date , we have been focussing on shorter term fundamental forecasting of
price excursions : i . e . given tomorrow ' s load forecasts and expected plant
dispatch , we attempt to predict which lines will become constrained and how
the system will react to alleviate these constraints . i would be interested
in your thoughts on how evt would benefit the traders however . as far as the
weather goes , i would expect the weather desk to use evt at some level .
clearly you should talk to joe hrgovcic , the researhc chap attached to the
weather desk , for a more accurate assessment .
cheers ,
grant .