Market efficiency, cross hedging and price forecasts: California's natural-gas markets

Estimating the option value of a non-firm electricity tariff

“…These forward prices are less than the $124/MWH retail rate in PG&E's current Schedule E-20 for customers with monthly demands over 1000 kW. Table 2, the monthly natural gas price forecast for 2008 is the NYMEX natural gas futures price on 05/21/2007 for delivery in 2008 [42]. Assuming a constant coefficient of variation, we set the daily price volatility in a given month by scaling the monthly historic volatility by the ratio of the monthly futures price to the historic price for the same month.…”

Detecting similar news tickers in the area of natural gas trading

“…Taking into account the four-eye principle, we removed duplicates and papers without obvious peer-review process from the result set (1,727 hits). In addition, we checked the reference lists of the identified papers [60]. Overall, 15 articles have been identified [2], [7], [45], [26], [28], [33], [8], [32], [29], [39], [31], [46], [47], [61], [36].…”

Cross-hedging and forward-contract pricing of electricity in the Pacific Northwest

“…Our answers enrich the literature on natural gas cross‐hedging, whose main focus has been mitigating natural gas spot‐price risk at a delivery location different from the HH (e.g. Woo et al ., 2006d; Ederington and Salas, 2008).…”

“…Our choice of NYMEX futures is motivated by the well‐documented high spot‐price correlation between its HH delivery point and other points across North America, including the west coast (Woo et al ., 2006d and references therein). Our interest in the Pacific Northwest is attributable to the influence of hydro conditions on the spot price at the Mid‐Columbia (Mid‐C) market hub.…”