Message-ID: <4583563.1075855460671.JavaMail.evans@thyme> Date: Sun, 23 Dec 2001 14:41:30 -0800 (PST) From: vkaminski@aol.com To: vkamins@enron.com Subject: Fwd: data Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: VKaminski@aol.com@ENRON X-To: vkamins@enron.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jan2002_1\Kaminski, Vince J\Deleted Items X-Origin: Kaminski-V X-FileName: vkamins (Non-Privileged).pst Return-Path: Received: from rly-xb03.mx.aol.com (rly-xb03.mail.aol.com [172.20.105.104]) by air-xb02.mail.aol.com (v82.22) with ESMTP id MAILINXB27-1217181630; Mon, 17 Dec 2001 18:16:30 1900 Received: from hydrant.ruf.rice.edu (hydrant.ruf.rice.edu [128.42.31.100]) by rly-xb03.mx.aol.com (v82.22) with ESMTP id MAILRELAYINXB31-1217181618; Mon, 17 Dec 2001 18:16:18 -0500 Received: from RICE-EVO0000002.rice.edu (ostdiek.rice.edu [128.42.135.34]) by hydrant.ruf.rice.edu (8.11.0/8.9.0) with ESMTP id fBHNGGf12390 for ; Mon, 17 Dec 2001 17:16:16 -0600 (CST) Message-Id: <5.1.0.14.2.20011217170629.046821b0@pop.ruf.rice.edu> X-Sender: ostdiek@pop.ruf.rice.edu X-Mailer: QUALCOMM Windows Eudora Version 5.1 Date: Mon, 17 Dec 2001 17:16:57 -0600 To: vkaminski@aol.com From: Barbara Ostdiek Subject: data Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii"; format=flowed Vince: I have a very off-the-wall question for you. I am interested in getting ahold of historic electricity and weather derivatives data for a new research project I am working on. The project centers on comparing trading period and non-trading period volatility with the story being that markets that are susceptible to weather shocks (ag commodities, natural gas, for instance) will have a lower trading-period to non-trading period volatility ratio than will markets where the primary information flow largely coincides with the trading period (stocks and bonds, for instance). This hypothesis has been born out in the exchange-traded futures markets where I have easy access to data. The larger question that is addressed gets at the question of the extent to which the trading process itself drives volatility as opposed to information driving volatility. The hypothesis would seem to be even more sharply in focus in the electricity and weather markets. But, I don't have any data to empirically test this. (I haven't looked at the exchange-traded electricity contracts but understand them to be quite illiquid). Any thoughts? Any chance someone in your group would be able to put together a data set of prices for me? I don't know what your usual policy is on this or what the policy currently is. I should be able to keep the source of the data generic - i.e., a large OTC energy trader. Thought it was worth asking. Thank you for your consideration. bbo