Sofya Alterman

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                    [post_content] => Lacking a commonly held definition, volatility is an often over-generalised term with different meanings to different constituencies.  This does not detract from the importance of the subject.  To traders volatility is a source of revenue, to energy intensive industrial end-users it is often perceived as a threat.  Midstream utilities actively work to risk-manage volatility in order to deliver a ‘dampened’ price offer to end-user customers.

In this working paper Sofya Alterman summarises the findings from an analysis of natural gas, crude oil and oil products price time series to answer the questions ‘are natural gas prices inherently more volatile than those of oil ?’ and the more interesting question ‘can episodes of markedly different gas price volatility be explained by underlying market fundamentals ?’ Sofya’s research involved a painstaking analysis of 14 years-worth of daily price data along with the investigation of the likely drivers of the volatility patterns uncovered.  Her results both confirm the relevance of obvious drivers but also show how these can be blunted or offset by other compensating effects, some of which are less widely acknowledged.

This paper provides important insights into this key aspect of natural gas traded markets, and is especially relevant in today’s environment as trading hub development continues apace in Continental Europe.
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            [post_content] => Lacking a commonly held definition, volatility is an often over-generalised term with different meanings to different constituencies.  This does not detract from the importance of the subject.  To traders volatility is a source of revenue, to energy intensive industrial end-users it is often perceived as a threat.  Midstream utilities actively work to risk-manage volatility in order to deliver a ‘dampened’ price offer to end-user customers.

In this working paper Sofya Alterman summarises the findings from an analysis of natural gas, crude oil and oil products price time series to answer the questions ‘are natural gas prices inherently more volatile than those of oil ?’ and the more interesting question ‘can episodes of markedly different gas price volatility be explained by underlying market fundamentals ?’ Sofya’s research involved a painstaking analysis of 14 years-worth of daily price data along with the investigation of the likely drivers of the volatility patterns uncovered.  Her results both confirm the relevance of obvious drivers but also show how these can be blunted or offset by other compensating effects, some of which are less widely acknowledged.

This paper provides important insights into this key aspect of natural gas traded markets, and is especially relevant in today’s environment as trading hub development continues apace in Continental Europe.
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Latest Publications by Sofya Alterman

Latest Tweets from @OxfordEnergy

  • New publication: Biogas: A significant contribution to decarbonising gas markets? https://t.co/Ixf81cuvGO

    June 21st

  • J Stern: UK still in EU & others have an obligation to share available supply in crisis, but post-Brexit who knows https://t.co/5lBtoznqUt

    June 21st

  • Luke Patey in the Petroleum Economist on navigating regional risk in East Africa - https://t.co/KMPfAqLSfG

    June 20th

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