ieor monday seminar october 23 2000 industrial engineering operations research monday seminar ieor 298 1 fall 2000 monday october 23 2000 volatility electricity prices measurement analysis underlying causes dr vincent kaminski managing director head research enron corp abstract last three years characterized exceptionally high volatility power prices us markets market developments created number unique challenges energy industry economists one immediate question answer measure volatility energy prices although agree prices power markets characterized high variability traditional measures used financial economics annualized standard deviation log price returns may fit well electricity prices second challenge explain sources high price volatility answer question extent attributed problems addressed long run problems include flaws market design allow market participants abuse market power limited availability unequal access transmission temporary shortages generation capacity factors underlying high volatility electricity prices may permanent nature may necessary price pay increased market efficiency expanded customer choice time location 3 30 5 00 p 3108 etcheverry refreshments 3 00 p 4 th floor hallway