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---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 10/13/2000
05:07 PM --------------------------- "Makiko Sato" <makiko@ieor.berkeley.edu< on 10/13/2000 03:58:56 PM To: <seminars@queue.IEOR.Berkeley.EDU<, <grads@queue.IEOR.Berkeley.EDU<, <undergrads@queue.IEOR.Berkeley.EDU<, <faculty@queue.IEOR.Berkeley.EDU<, <emeriti@queue.IEOR.Berkeley.EDU<, <visiting@queue.IEOR.Berkeley.EDU<, <staff@queue.IEOR.Berkeley.EDU<, <faculty@its.berkeley.edu<, <students@its.berkeley.edu<, <vkaminski@aol.com<, <vkamins@enron.com< cc: Subject: 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. - 4TH FLOOR HALLWAY
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