re : comments hi vince ,
sorry to have missed you in paris . many thanks for your comments - they ' ve
now been incorporated and sent to eprm . things are crazy at the moment , but
hopefully will calm down in a couple of weeks and we ' ll have time to catch
up better .
best regards .
chris .
- - - - - original message - - - - -
from :
to :
cc : ; ;
sent : sunday , october 15 , 2000 11 : 06 am
subject : comments
> julie ,
>
> sorry for the delay . here are he comments .
>
> vince
>
> * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
>
> sorry for long delay in responding . i have a few comments . most are
focused
> on the third article as here is till time to make modifications .
>
> 1 . in the second article , i would mention that the formulation of the
mean
> reversion process represents one of several possible equations that
capture
> the same type of market evolution of prices over time .
> 2 . one comment that applies to both articles . the problem is how one
defines
> the time series of energy prices . the numbers used for australian nsw pool
> prices seem to correspond to chronological prices . one alternative
approach
> is to build different time series for the corresponding time intervals for
> each day . this would result in different price behavior and estimates of
> jump . the choice is one of convenience and depends on actual problem under
> investigation . one could argue that volumes of electricity traded during
> different time slots represent different economic commodities .
> figure 3 a ( jump frequency ) has units on the vertical axis that require
> explanation . are we talking about an expected number of jumps in the total
> number of half hourly periods in a year ? the same goes for f in table 2
> ( article number 3 ) .
>
>
re : comments
hi vince ,
sorry to have missed you in paris . many thanks for your comments - they ' ve
now been incorporated and sent to eprm . things are crazy at the moment , but
hopefully will calm down in a couple of weeks and we ' ll have time to catch
up better .
best regards .
chris .
- - - - - original message - - - - -
from :
to :
cc : ; ;
sent : sunday , october 15 , 2000 11 : 06 am
subject : comments
> julie ,
>
> sorry for the delay . here are he comments .
>
> vince
>
> * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
>
> sorry for long delay in responding . i have a few comments . most are
focused
> on the third article as here is till time to make modifications .
>
> 1 . in the second article , i would mention that the formulation of the
mean
> reversion process represents one of several possible equations that
capture
> the same type of market evolution of prices over time .
> 2 . one comment that applies to both articles . the problem is how one
defines
> the time series of energy prices . the numbers used for australian nsw pool
> prices seem to correspond to chronological prices . one alternative
approach
> is to build different time series for the corresponding time intervals for
> each day . this would result in different price behavior and estimates of
> jump . the choice is one of convenience and depends on actual problem under
> investigation . one could argue that volumes of electricity traded during
> different time slots represent different economic commodities .
> figure 3 a ( jump frequency ) has units on the vertical axis that require
> explanation . are we talking about an expected number of jumps in the total
> number of half hourly periods in a year ? the same goes for f in table 2
> ( article number 3 ) .
>
>