Details about Rafał Weron
Access statistics for papers by Rafał Weron.
Last updated 2022-11-07. Update your information in the RePEc Author Service.
Short-id: pwe42
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Working Papers
2022
- Calibration window selection based on change-point detection for forecasting electricity prices
Papers, arXiv.org
- Distributional neural networks for electricity price forecasting
Papers, arXiv.org View citations (1)
- Electricity Price Forecasting: The Dawn of Machine Learning
Papers, arXiv.org View citations (1)
- Forecasting Electricity Prices
Papers, arXiv.org
2021
- Erratum to 'Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark' [Appl. Energy 293 (2021) 116983]
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
- Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (6)
See also Journal Article in Energies (2021)
- Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (1)
- Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
2020
- Beating the naive: Combining LASSO with naive intraday electricity price forecasts
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (4)
See also Journal Article in Energies (2020)
- Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (2)
- Energy forecasting: A review and outlook
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (49)
- Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark
Papers, arXiv.org View citations (2)
See also Journal Article in Applied Energy (2021)
- Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs
Papers, arXiv.org View citations (5)
- Trading on short-term path forecasts of intraday electricity prices
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
2019
- Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (22)
See also Journal Article in Energies (2019)
- Balancing RES generation: Profitability of an energy trader
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Electricity price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (17)
Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2018) View citations (175)
- Regularized Quantile Regression Averaging for probabilistic electricity price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology 
See also Journal Article in Energy Economics (2021)
2018
- A note on averaging day-ahead electricity price forecasts across calibration windows
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (25)
- Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
Papers, arXiv.org View citations (89)
See also Journal Article in Energy Economics (2018)
- Efficient forecasting of electricity spot prices with expert and LASSO models
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (36)
See also Journal Article in Energies (2018)
- Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
See also Journal Article in International Journal of Forecasting (2020)
- Selection of calibration windows for day-ahead electricity price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (33)
See also Journal Article in Energies (2018)
- Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (5)
See also Journal Article in International Journal of Forecasting (2019)
2017
- Habitat momentum
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (11)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (16)
See also Journal Article in Energy Economics (2019)
- The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
- Variance stabilizing transformations for electricity spot price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (33)
2016
- Automated variable selection and shrinkage for day-ahead electricity price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (65)
See also Journal Article in Energies (2016)
- Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (5)
- Impact of social interactions on demand curves for innovative products
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (52)
See also Journal Article in Energy Economics (2016)
- Recent advances in electricity price forecasting: A review of probabilistic forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
See also Journal Article in Renewable and Sustainable Energy Reviews (2018)
- To combine or not to combine? Recent trends in electricity price forecasting
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (13)
2015
- Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
See also Journal Article in Journal of Futures Markets (2016)
- Difficulty is critical: Psychological factors in modeling diffusion of green products and practices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Improving short term load forecast accuracy via combining sister forecasts
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
See also Journal Article in Energy (2016)
- Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight?
WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
- Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (22)
- Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
- Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
2014
- A note on using the Hodrick-Prescott filter in electricity markets
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
See also Journal Article in Energy Economics (2015)
- A review of electricity price forecasting: The past, the present and the future
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (15)
- Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Electricity price forecasting: A review of the state-of-the-art with a look into the future
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (457)
See also Journal Article in International Journal of Forecasting (2014)
- Evaluating the performance of VaR models in energy markets
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Forecasting the occurrence of electricity price spikes in the UK power market
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
- Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (9)
- Modeling consumer opinions towards dynamic pricing: An agent-based approach
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
- Modelling price spikes in electricity markets - the impact of load, weather and capacity
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
- Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (15)
See also Journal Article in International Journal of Forecasting (2016)
- Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
2013
- An empirical comparison of alternate schemes for combining electricity spot price forecasts
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (9)
See also Journal Article in Energy Economics (2014)
- Computing electricity spot price prediction intervals using quantile regression and forecast averaging
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (7)
See also Journal Article in Computational Statistics (2015)
- Diffusion of innovation within an agent-based model: Spinsons, independence and advertising
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (8)
See also Journal Article in Advances in Complex Systems (ACS) (2014)
- Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
See also Journal Article in Computational Statistics (2015)
- Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (12)
- Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
- Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
- Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
See also Journal Article in Energy Economics (2014)
- Rewiring the network. What helps an innovation to diffuse?
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (7)
- Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
See also Journal Article in Energy Policy (2014)
2012
- A new method for automated noise cancellation in electromagnetic field measurement
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
- Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article in Energy Economics (2013)
- Inference for Markov-regime switching models of electricity spot prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
- Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (41)
See also Journal Article in Energy Economics (2013)
- The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (12)
2011
- Black swans or dragon kings? A simple test for deviations from the power law
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (3) Papers, arXiv.org (2011) View citations (3)
- Efficient estimation of Markov regime-switching models: An application to electricity spot prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (14)
Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (9)
See also Journal Article in AStA Advances in Statistical Analysis (2012)
- Goodness-of-fit testing for the marginal distribution of regime-switching models
MPRA Paper, University Library of Munich, Germany View citations (6)
Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
2010
- An empirical comparison of alternate regime-switching models or electricity spot prices
MPRA Paper, University Library of Munich, Germany View citations (110)
See also Journal Article in Energy Economics (2010)
- Building Loss Models
MPRA Paper, University Library of Munich, Germany View citations (14)
Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (6) SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (12)
- FX Smile in the Heston Model
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (16)
Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (16) MPRA Paper, University Library of Munich, Germany (2010) View citations (20) Papers, arXiv.org (2010) View citations (15)
- Heavy-tailed distributions in VaR calculations
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
- Loss Distributions
MPRA Paper, University Library of Munich, Germany View citations (16)
- Modeling electricity spot prices: Regime switching models with price-capped spike distributions
MPRA Paper, University Library of Munich, Germany View citations (1)
- Models for Heavy-tailed Asset Returns
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (9)
Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (1) MPRA Paper, University Library of Munich, Germany (2010) View citations (16)
- Simulation of Risk Processes
MPRA Paper, University Library of Munich, Germany View citations (8)
Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (12)
2009
- Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Forecasting wholesale electricity prices: A review of time series models
MPRA Paper, University Library of Munich, Germany View citations (3)
See also Chapter (2009)
- Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
MPRA Paper, University Library of Munich, Germany View citations (12)
2008
- A semiparametric factor model for electricity forward curve dynamics
MPRA Paper, University Library of Munich, Germany View citations (19)
Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2008) View citations (19)
- Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
(Power security: Risk > Risk management > Security)
MPRA Paper, University Library of Munich, Germany
- Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
MPRA Paper, University Library of Munich, Germany View citations (158)
See also Journal Article in International Journal of Forecasting (2008)
- Heavy-tails and regime-switching in electricity prices
MPRA Paper, University Library of Munich, Germany View citations (39)
See also Journal Article in Mathematical Methods of Operations Research (2009)
- Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
MPRA Paper, University Library of Munich, Germany View citations (5)
Also in Papers, arXiv.org (2008) View citations (5)
2007
- Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?
MPRA Paper, University Library of Munich, Germany View citations (3)
- Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
MPRA Paper, University Library of Munich, Germany View citations (45)
2006
- Convenience Yields for CO2 Emission Allowance Futures Contracts
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (43)
- Interval forecasting of spot electricity prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (139)
- Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
MPRA Paper, University Library of Munich, Germany View citations (7)
- Short-term electricity price forecasting with time series models: A review and evaluation
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (14)
- Visualization tools for insurance risk processes
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)
2005
- Blackouts, risk, and fat-tailed distributions
Risk and Insurance, University Library of Munich, Germany 
See also Chapter (2006)
- FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
Econometrics, University Library of Munich, Germany View citations (23)
- Heavy tails and electricity prices
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (15)
- Market price of risk implied by Asian-style electricity options
Econometrics, University Library of Munich, Germany View citations (3)
- Modeling and forecasting electricity loads: A comparison
Econometrics, University Library of Munich, Germany View citations (13)
- Modeling catastrophe claims with left-truncated severity distributions (extended version)
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2005)
- Modeling electricity prices with regime switching models
Econometrics, University Library of Munich, Germany View citations (26)
- Modeling the risk process in the XploRe computing environment
Risk and Insurance, University Library of Munich, Germany View citations (1)
Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (2)
- On detecting and modeling periodic correlation in financial data
Econometrics, University Library of Munich, Germany View citations (4)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
- Stable Distributions
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (37)
2004
- Computationally intensive Value at Risk calculations
Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (21)
- Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Structure and stylized facts of a deregulated power market
MPRA Paper, University Library of Munich, Germany View citations (11)
2003
- An introduction to simulation of risk processes
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
- How effective is advertising in duopoly markets?
Public Economics, University Library of Munich, Germany View citations (15)
Also in Papers, arXiv.org (2002) View citations (4)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
- Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
Econometrics, University Library of Munich, Germany View citations (11)
Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2001) View citations (29)
See also Journal Article in International Journal of Modern Physics C (IJMPC) (2001)
- Modeling electricity prices: jump diffusion and regime switching
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (25)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
- Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
Econometrics, University Library of Munich, Germany View citations (25)
2002
- Modeling electricity loads in California: ARMA models with hyperbolic noise
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (33)
- Origins of scaling in FX markets
MPRA Paper, University Library of Munich, Germany
- Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
2001
- A simple model of price formation
Papers, arXiv.org View citations (9)
See also Journal Article in International Journal of Modern Physics C (IJMPC) (2002)
- Estimating long range dependence: finite sample properties and confidence intervals
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (22)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2002)
- Measuring long-range dependence in electricity prices
Papers, arXiv.org View citations (11)
2000
- Energy price risk management
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (27)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
- Hurst analysis of electricity price dynamics
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (40)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
- Property insurance loss distributions
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (16)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
1999
- A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
1998
- Origins of the scaling behaviour in the dynamics of financial data
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (1999)
- Scaling in currency exchange: A Conditionally Exponential Decay approach
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (1999)
1997
- Evolution in a changing environment
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
1995
- Analysis of ROBECO data by neural networks
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
- Performance of the estimators of stable law parameters
HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
Journal Articles
2021
- Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark
Applied Energy, 2021, 293, (C) View citations (32)
See also Working Paper (2020)
- Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO
Energies, 2021, 14, (11), 1-17 View citations (6)
See also Working Paper (2021)
- Regularized quantile regression averaging for probabilistic electricity price forecasting
Energy Economics, 2021, 95, (C) View citations (15)
See also Working Paper (2019)
2020
- Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader
Energies, 2020, 13, (1), 1-15 View citations (9)
- Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts
Energies, 2020, 13, (7), 1-16 View citations (13)
See also Working Paper (2020)
- Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?
International Journal of Forecasting, 2020, 36, (2), 466-479 View citations (14)
See also Working Paper (2018)
2019
- Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting
Energies, 2019, 12, (13), 1-12 View citations (25)
See also Working Paper (2019)
- Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill
Energy Economics, 2019, 79, (C), 45-58 View citations (13)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks
International Journal of Forecasting, 2019, 35, (4), 1520-1532 View citations (35)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting
Energy Economics, 2019, 79, (C), 171-182 View citations (36)
See also Working Paper (2017)
- Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations
Data, 2019, 4, (2), 1-4 View citations (1)
- Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO
International Journal of Forecasting, 2019, 35, (4), 1533-1547 View citations (47)
See also Working Paper (2018)
2018
- Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
Energy Economics, 2018, 70, (C), 396-420 View citations (89)
See also Working Paper (2018)
- Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models
Energies, 2018, 11, (8), 1-26 View citations (38)
See also Working Paper (2018)
- Recent advances in electricity price forecasting: A review of probabilistic forecasting
Renewable and Sustainable Energy Reviews, 2018, 81, (P1), 1548-1568 View citations (126)
See also Working Paper (2016)
- Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting
Energies, 2018, 11, (9), 1-20 View citations (32)
See also Working Paper (2018)
- The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach
Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 591-600 View citations (6)
See also Working Paper (2017)
2016
- Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting
Energies, 2016, 9, (8), 1-22 View citations (66)
See also Working Paper (2016)
- Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
Journal of Futures Markets, 2016, 36, (6), 587-611 View citations (17)
See also Working Paper (2015)
- Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices
Renewable and Sustainable Energy Reviews, 2016, 62, (C), 723-735 View citations (21)
- Improving short term load forecast accuracy via combining sister forecasts
Energy, 2016, 98, (C), 40-49 View citations (33)
See also Working Paper (2015)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Energy Economics, 2016, 57, (C), 228-235 View citations (54)
See also Working Paper (2016)
- Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
International Journal of Forecasting, 2016, 32, (3), 957-965 View citations (73)
See also Working Paper (2014)
2015
- A note on using the Hodrick–Prescott filter in electricity markets
Energy Economics, 2015, 48, (C), 1-6 View citations (20)
See also Working Paper (2014)
- Computing electricity spot price prediction intervals using quantile regression and forecast averaging
Computational Statistics, 2015, 30, (3), 791-803 View citations (50)
See also Working Paper (2013)
- Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
Computational Statistics, 2015, 30, (3), 805-819 View citations (20)
See also Working Paper (2013)
2014
- An empirical comparison of alternative schemes for combining electricity spot price forecasts
Energy Economics, 2014, 46, (C), 395-412 View citations (85)
See also Working Paper (2013)
- DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING
Advances in Complex Systems (ACS), 2014, 17, (01), 1-22 View citations (11)
See also Working Paper (2013)
- Electricity price forecasting: A review of the state-of-the-art with a look into the future
International Journal of Forecasting, 2014, 30, (4), 1030-1081 View citations (445)
See also Working Paper (2014)
- Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa?
PLOS ONE, 2014, 9, (11), 1-7 View citations (11)
- Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
Energy Economics, 2014, 44, (C), 178-190 View citations (35)
See also Working Paper (2013)
- Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
Energy Policy, 2014, 72, (C), 164-174 View citations (47)
See also Working Paper (2013)
2013
- Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’
Applied Stochastic Models in Business and Industry, 2013, 29, (6), 648-651
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
AStA Advances in Statistical Analysis, 2013, 97, (3), 239-270 View citations (6)
- Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
Energy Economics, 2013, 38, (C), 96-110 View citations (111)
See also Working Paper (2012)
- Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
Energy Economics, 2013, 39, (C), 13-27 View citations (55)
See also Working Paper (2012)
2012
- Efficient estimation of Markov regime-switching models: An application to electricity spot prices
AStA Advances in Statistical Analysis, 2012, 96, (3), 385-407 View citations (37)
See also Working Paper (2011)
2010
- An empirical comparison of alternate regime-switching models for electricity spot prices
Energy Economics, 2010, 32, (5), 1059-1073 View citations (114)
See also Working Paper (2010)
2009
- Heavy-tails and regime-switching in electricity prices
Mathematical Methods of Operations Research, 2009, 69, (3), 457-473 View citations (52)
See also Working Paper (2008)
2008
- Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
International Journal of Forecasting, 2008, 24, (4), 744-763 View citations (158)
See also Working Paper (2008)
- Market price of risk implied by Asian-style electricity options and futures
Energy Economics, 2008, 30, (3), 1098-1115 View citations (75)
2006
- Modelling catastrophe claims with left-truncated severity distributions
Computational Statistics, 2006, 21, (3), 537-555 View citations (11)
- Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 1-36 View citations (141)
2004
- Modeling electricity prices: jump diffusion and regime switching
Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 39-48 View citations (92)
See also Working Paper (2003)
- On detecting and modeling periodic correlation in financial data
Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 196-205 View citations (16)
See also Working Paper (2005)
2003
- How effective is advertising in duopoly markets?
Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 437-444 View citations (16)
See also Working Paper (2003)
2002
- A SIMPLE MODEL OF PRICE FORMATION
International Journal of Modern Physics C (IJMPC), 2002, 13, (01), 115-123 View citations (20)
See also Working Paper (2001)
- Estimating long-range dependence: finite sample properties and confidence intervals
Physica A: Statistical Mechanics and its Applications, 2002, 312, (1), 285-299 View citations (99)
See also Working Paper (2001)
2001
- A new model of mass extinctions
Physica A: Statistical Mechanics and its Applications, 2001, 293, (3), 559-565
- LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME
International Journal of Modern Physics C (IJMPC), 2001, 12, (02), 209-223 View citations (22)
See also Working Paper (2003)
- Modeling electricity loads in California: a continuous-time approach
Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 344-350 View citations (12)
2000
- Energy price risk management
Physica A: Statistical Mechanics and its Applications, 2000, 285, (1), 127-134 View citations (30)
See also Working Paper (2000)
- Hurst analysis of electricity price dynamics
Physica A: Statistical Mechanics and its Applications, 2000, 283, (3), 462-468 View citations (42)
See also Working Paper (2000)
- Property insurance loss distributions
Physica A: Statistical Mechanics and its Applications, 2000, 287, (1), 269-278 View citations (26)
See also Working Paper (2000)
1999
- A conditionally exponential decay approach to scaling in finance
Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 551-561 View citations (1)
- Origins of the scaling behaviour in the dynamics of financial data
Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 562-569 View citations (3)
See also Working Paper (1998)
- Scaling in currency exchange: a conditionally exponential decay approach
Physica A: Statistical Mechanics and its Applications, 1999, 267, (1), 239-250 View citations (1)
See also Working Paper (1998)
1996
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
Statistics & Probability Letters, 1996, 28, (2), 165-171 View citations (50)
Books
2006
- Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (315)
2000
- Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem)
HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology
1998
- Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku)
HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology
Edited books
2011
- Statistical Tools for Finance and Insurance (2nd edition)
HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (18)
2005
- Statistical Tools for Finance and Insurance
HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (96)
Chapters
2020
- What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market
Chapter 10 in HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, 2020, pp 231-245
2009
- Forecasting Wholesale Electricity Prices: A Review of Time Series Models
Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 71-82 
See also Working Paper (2009)
2006
- Blackouts, risk, and fat-tailed distributions
Springer
See also Working Paper (2005)
Software Items
2021
- ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249
WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
- ENERGIES_14_3249_PYTHON: Market data and PYTHON codes for computing electricity spot price forecasts using LASSO-estimated AR (LEAR) models as utilized in Jedrzejewski et al. (2021) Energies 14, 3249
WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
- EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF)
WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
2018
- ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2017
- HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2016
- SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2014
- AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2013
- LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- The World According to Spinson (WAS): Standalone application for simulating agent-based models
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2012
- CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- RUNNINGMEDIAN: MATLAB function to compute a running median of a time series
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2011
- DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- HURST: MATLAB function to compute the Hurst exponent using R/S Analysis
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2010
- DESEASONALIZE: MATLAB function to remove short and long term seasonal components
Statistical Software Components, Boston College Department of Economics
- GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model
Statistical Software Components, Boston College Department of Economics
- HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)
Statistical Software Components, Boston College Department of Economics View citations (1)
- HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model
Statistical Software Components, Boston College Department of Economics
- HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile
Statistical Software Components, Boston College Department of Economics
- HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)
Statistical Software Components, Boston College Department of Economics
- HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model
Statistical Software Components, Boston College Department of Economics
- MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood
Statistical Software Components, Boston College Department of Economics
- MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process
Statistical Software Components, Boston College Department of Economics
- MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process
Statistical Software Components, Boston College Department of Economics
- PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
Statistical Software Components, Boston College Department of Economics
- REMST: MATLAB function to remove trend and seasonal component using the moving average method
Statistical Software Components, Boston College Department of Economics
- SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
Statistical Software Components, Boston College Department of Economics 
Also in HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology (2010)
- SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model
Statistical Software Components, Boston College Department of Economics
- STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch
Statistical Software Components, Boston College Department of Economics
- STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT
Statistical Software Components, Boston College Department of Economics
- STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis
Statistical Software Components, Boston College Department of Economics
- STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
Statistical Software Components, Boston College Department of Economics View citations (1)
- STABLERND: MATLAB function to generate random numbers from the stable distribution
Statistical Software Components, Boston College Department of Economics
- STF2HES: MATLAB functions for "FX smile in the Heston model"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2008
- COR: MATLAB function to compute the correlation coefficients
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2007
- CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- MFE Toolbox ver. 1.0.1 for MATLAB
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2006
- PERIODOG: MATLAB function to compute and plot the periodogram of a time series
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
- SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models"
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
1998
- Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB
HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
Editor
- HSC Research Reports
Hugo Steinhaus Center, Wroclaw University of Technology
- HSC Software
Hugo Steinhaus Center, Wroclaw University of Technology
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