ieor monday seminar - october 23 , 2000 ?
?
industrial engineering and operations research
monday seminar
ieor 298 - 1 - fall 2000
monday , october 23 , 2000
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
" volatility of electricity prices - measurement and analysis of underlying
causes "
dr . vincent kaminski
managing director and head of research for enron corp .
?
abstract :
the last three years were characterized by exceptionally high volatility of
the power prices in the us markets . the market developments have created a
number of unique challenges for energy industry economists . one immediate
question we have to answer is how to measure volatility of energy prices .
although we can all agree that the prices in the power markets are
characterized by high variability , the traditional measures used in
financial economics ( annualized standard deviation of log price returns ) may
not fit well electricity prices .
the second challenge is to explain the sources of high price volatility and
to answer the question to what extent it can be attributed to problems that
can be addressed in the long run . such problems include flaws in market
design that allow some market participants to abuse market power , limited
availability and / or unequal access to transmission , temporary shortages of
generation capacity . some factors underlying high volatility of electricity
prices may be of permanent nature and may be a necessary price to pay for
increased market efficiency and expanded customer choice .
time and location : 3 : 30 - 5 : 00 p . m . - 3108 etcheverry
refreshments : 3 : 00 p . m . - 4 th floor hallway
ieor monday seminar - october 23 , 2000
?
?
industrial engineering and operations research
monday seminar
ieor 298 - 1 - fall 2000
monday , october 23 , 2000
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
" volatility of electricity prices - measurement and analysis of underlying
causes "
dr . vincent kaminski
managing director and head of research for enron corp .
?
abstract :
the last three years were characterized by exceptionally high volatility of
the power prices in the us markets . the market developments have created a
number of unique challenges for energy industry economists . one immediate
question we have to answer is how to measure volatility of energy prices .
although we can all agree that the prices in the power markets are
characterized by high variability , the traditional measures used in
financial economics ( annualized standard deviation of log price returns ) may
not fit well electricity prices .
the second challenge is to explain the sources of high price volatility and
to answer the question to what extent it can be attributed to problems that
can be addressed in the long run . such problems include flaws in market
design that allow some market participants to abuse market power , limited
availability and / or unequal access to transmission , temporary shortages of
generation capacity . some factors underlying high volatility of electricity
prices may be of permanent nature and may be a necessary price to pay for
increased market efficiency and expanded customer choice .
time and location : 3 : 30 - 5 : 00 p . m . - 3108 etcheverry
refreshments : 3 : 00 p . m . - 4 th floor hallway