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Enron Mail |
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: <VKaminski@aol.com< To: <julie@lacima.co.uk< Cc: <les@lacimagroup.com<; <vkamins@enron.com<; <chris@lacima.co.uk< 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 3a (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). < <
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