Subject: Comments
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Sat, 14 Oct 2000 14:06:00 -0700 (PDT)

Julie,

Sorry for the delay. Here are he comments.

Vince

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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).

 - aus_2_3.doc