SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
vikrambone
Topic Author
Posts: 2
Joined: January 3rd, 2014, 12:37 pm

Natural Gas and Power

January 7th, 2014, 1:58 pm

Hi, I am looking to do some work on the Power and Natural Gas market's historical time series data. Currently the marginal fuel is Natural Gas and the market moves the price of peak power by approx 7.5. So Power-7.5*Gas = Spark. The spark is variable based on demand, state of the grid, etc. Most people regress Power to gas Gas and come up with a minimum variance hedge ratio which is close to the 7.5 value. Do you think if one believes the spark is a stationary process that I should look in co-integration on the spread?
 
User avatar
Stale
Posts: 209
Joined: November 7th, 2006, 3:20 pm

Natural Gas and Power

January 9th, 2014, 8:02 am

Yes?
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On