Research Links
Click here for a spreadsheet simulation
of a
Mean-Reverting Proportional Volatility Process
which uses Crystal Ball for Monte Carlo simulation of electricity prices
and compares
the results to year 2000 data from the California CalPX electricity
exchange. You should
have Crystal Ball open in Excel before you open the file. It is a 2
MB file that may take
some time to download.
This model is developed in the paper
Risk and Reward at the Speed of Light: A New Price Model for
Electricity Markets
by Samuel E. Bodily and Michel Del Buono.
The spreadsheet was created by Michel Del Buono.
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