Volatility of agrarian markets aimed at the price development

Price Volatility in Ethanol Markets

Understanding Price Volatility in Electricity Markets

This paper illustrates notions of volatility associated with power systems spot prices for electricity. The paper demonstrates a frequency-domain method useful to separate out periodic price variations from random variations. It then uses actual observed price data to estimate parameters such as volatility and the coefficient of mean reversion associated with the random variation of prices. It ...

Price volatility, welfare, and trading hours in asset markets

This paper studies the consequences of opening asset markets more often for the properties of asset prices and social welfare. For all reasonable parameter values, increasing trading hours lowers average asset prices, increases unconditional asset price volatility at a given point in time, and decreases unconditional asset price volatility when averaged over the period of time that includes the...

Price-level volatility and welfare in incomplete markets with sunspots

In an economy with incomplete financial markets as described by Cass (1989), there is typically a continuum of equilibria driven by sunspots. In some cases, there is no Pareto ranking among the different sunspot equilibria. However, this paper shows that a sunspot equilibrium with lower price-volatility is superior in economic welfare to one with higher price-volatility based on a compensation ...

Market Power and Price Volatility in Restructured Markets for Electricity

The restructured market for electricity in the UK has experienced a systematic pattern of price spikes associated with the use of market power by the two dominant generators. Partly in response to this problem, the share of capacity owned by any individual generator after restructuring was limited in Victoria, Australia. As a result, a much more competitive market resulted with prices substanti...