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    Introducing distances between commodity markets: the case of the US and UK natural gas

    Geman, Hélyette and Liu, B. (2016) Introducing distances between commodity markets: the case of the US and UK natural gas. In: Kallsen, J. and Papapantoleon, A. (eds.) Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein. Springer Proceedings in Mathematics & Statistics 189 189. Springer, pp. 93-105. ISBN 9783319458731.

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    Abstract

    The goal of the paper is twofold: first to present the energy markets in 2015 after the revolution of shale oil and shale gas; secondly investigate whether the two major gas markets, the US and the UK, are integrated at a time when natural gas is a much preferred source of electricity compared to coal, in particular in feeding the ‘peakers’ providing electricity that complements solar, wind and other intermittent renewables. Introducing the novel concept of distances between two commodity markets through quantities accounting for fundamental financial economic indicators, our conclusion is negative, illuminating the importance of transportation costs yet in the case of natural gas.

    Metadata

    Item Type: Book Section
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 31 May 2017 13:35
    Last Modified: 25 Sep 2017 13:20
    URI: http://eprints.bbk.ac.uk/id/eprint/18816

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