Ronald Huisman has a PhD in international finance from Maastricht University. Since 1998, he folds an associate professor position in international financial markets at the RSM Erasmus University Rotterdam. He published in several international journals such as Review of
Financial Studies, Journal of Banking and Finance, Journal of
International Money and Finance, Energy Economics, Journal of Business Economics and Statistics, and Real Estate Economics.
He is involved in currency overlay and currency alpha strategies with Fortis.
Published in:
Publication year: 2001
Co-author 1: Ronald Mahieu
Electricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. As many international electricity markets are in some state of deregulation, more and more participants in these markets are exposed to these stylised facts. Appropraite pricing, portfolio, and risk management models should incorporate these facts. Authors have introduced stochastic jump processes to deal with the jumps, but we argue and show that this specification might lead to problems with identifying the true mean -reversion within the process. Instead, we propose using a regime jump model that disentangles mean-reversion from jump behaviour. This model resembles more closely the true price path of electricity prices.
Electricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. As many international electricity markets are in some state of deregulation, more and more participants in these markets are exposed to these stylised facts. Appropraite pricing, portfolio, and risk management models should incorporate these facts. Authors have introduced stochastic jump processes to deal with the jumps, but we argue and show that this specification might lead to problems with identifying the true mean -reversion within the process. Instead, we propose using a regime jump model that disentangles mean-reversion from jump behaviour. This model resembles more closely the true price path of electricity prices.