text_combined: looking fat tails time series ngi socal vince quite agree separate price position done historical simulations evt ideas taken today delta gamma hold frozen gone back historically looked price changes see happens portfolio changes garman company looked gross historical portfolio changes agree best approach due artificiality imposed largest net open positions nop seen recently regards naveen vince j kaminski ect 11 13 2000 10 31 tanya tamarchenko hou ect ect cc naveen andrews corp enron enron vince j kaminski hou ect ect vladimir gorny hou ect ect subject looking fat tails time series ngi socal tanya naveen thought changes portfolio values may combine changes prices positions happens one tracks changes value historical gas portfolio big jump volumetric position day day combined moderate price movement may produce observation looks artificially big volumetric position frozen scaling factor discrepancy numbers course correct approach separate price process position changes vince tanya tamarchenko 11 13 2000 08 38 naveen andrews corp enron enron cc vince j kaminski hou ect ect vladimir gorny hou ect ect subject looking fat tails time series ngi socal naveen trying answer question appropriate stochastic process model behavior commodities prices var model care behavior log returns help appreciated tanya naveen andrews enron 11 10 2000 04 35 pm tanya tamarchenko hou ect ect cc vince j kaminski hou ect ect vladimir gorny hou ect ect subject looking fat tails time series ngi socal tanya care portfolio value changes log returns single contract extremes behavior fit fat tailed distribution 1 20 basis move 500 bcf position extreme event anyway slice literature elsewhere agree single contract log returns divide vols regards naveen tanya tamarchenko ect 11 10 2000 04 17 pm naveen andrews corp enron enron cc vince j kaminski hou ect ect vladimir gorny hou ect ect subject looking fat tails time series ngi socal naveen got ngi socal prices prompt prompt 1 prompt 59 contracts contract calculated moving average based 21 log returns well moving volatility calculated normalized log returns return ave vol compared results normal distribution could find fat tails volatility changes lot day day people look log returns normalized seems fat tails big spikes large returns frequent normal comes fact volatility constant see spreadsheet _ dropbox tanya tanya