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Date: Mon, 17 Dec 2001 17:16:57 -0600
To: vkaminski@aol.com
From: Barbara Ostdiek <ostdiek@rice.edu>
Subject: data
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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