What’s Happening on World Energy Markets?

3 October 2017 - New York

Registration :

What’s Happening on World Energy Markets?

TUESDAY, OCTOBER 3, 2017 - 9:30 AM – 3:00 PM

Hosted by the Alfred P. Sloan Foundation, 630 Fifth Avenue, Suite 2200, New York, NY, 10111


MORNING SESSION (9:30 am – 11:30 am)

Welcome and Introduction to the Conference

Round Table – What’s Been Happening on Energy Markets?
Chaired by Robert Solow (MIT; Cournot Centre)
Antoine Halff (Center on Global Energy Policy, Columbia University)
Lutz Kilian (University of Michigan)
Michael Levi (Former Special Assistant to President Obama for Energy and Economic Policy)
Amy Myers Jaffe (Energy Security and Climate Change Program, Council on Foreign Relations)


AFTERNOON SESSION (1:00 pm – 3:00 pm)
How to Model the Roughness of Oil and Gas Dynamics
Josselin Garnier (Ecole Polytechnique) & Knut Sølna (University of California, Irvine):
A Time-Frequency Analysis of Oil Price Data
Commentator: Boris Rozovsky (Brown University)

Closing Remarks


What can we say about the evolution of oil and gas prices?

The conference will address this issue by:
(i) presenting tools that can be used to describe the complex multi-scale structures of energy-market price data;
(ii) discussing the possible mechanisms behind these regime shifts;
(iii) considering the possible implications for hedging and risk assessment.

A special focus will be put on the evolution of prices since the end of 2014.

The observation of market price fluctuations sometimes reveals behaviors that cannot be well captured by standard models based on discrete-time random walks or continuous diffusion. In standard models, the return fluctuations of a risky asset are driven by Brownian motion, giving independent Gaussian returns. It has become clear that oil and gas price data vary at different interconnected scales, slow or fast: they have a complicated multi-scale structure that, moreover, may vary over time. Time-frequency analysis can be used to identify the main features of these variations and, in particular, the regime shifts. The analysis derives from a wavelet-based decomposition, a special decomposition of a signal in time-frequency components, and the associated scale spectrum. The joint estimation of the local Hurst coefficient (an index of smoothness) and volatility is the key to detecting and identifying regime shifts and changes in the oil price. For the first time since 1986, "persistence" processes of unprecedented force occurred between the end of 2014 and 2016, opening up a new period.

Due to security checks, please bring a valid I.D.


Hosted by
the Alfred P. Sloan Foundation
630 Fifth Avenue, Suite 2200,
New York, NY, 10111