HSC Research Reports

From Hugo Steinhaus Center, Wroclaw University of Science and Technology
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Bibliographic data for series maintained by Rafal Weron ().

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HSC/14/04: A note on using the Hodrick-Prescott filter in electricity markets

Rafał Weron and Michał Zator

HSC/14/03: Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices

Jakub Nowotarski and Rafał Weron

HSC/14/02: A review of electricity price forecasting: The past, the present and the future

Rafał Weron

HSC/14/01: Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach

Anna Kowalska-Pyzalska, Katarzyna Maciejowska, Katarzyna Sznajd-Weron and Rafał Weron

HSC/13/17: Short-term forecasting of electricity spot prices using model averaging (Krótkoterminowe prognozowanie spotowych cen energii elektrycznej z wykorzystaniem uśredniania modeli)

Jakub Nowotarski

HSC/13/16: Global Energy Forecasting Competition 2012

Tao Hong, Pierre Pinson and Shu Fan

HSC/13/15: Energy forecasting: Past, present and future

Tao Hong

HSC/13/14: Fuzzy interaction regression for short term load forecasting

Tao Hong and Pu Wang

HSC/13/13: Long term probabilistic load forecasting and normalization with hourly information

Tao Hong, Jason Wilson and Jingrui Xie

HSC/13/12: Computing electricity spot price prediction intervals using quantile regression and forecast averaging

Jakub Nowotarski and Rafał Weron

HSC/13/11: Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships

Katarzyna Maciejowska and Rafał Weron

HSC/13/10: Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs

Anna Kowalska-Pyzalska, Katarzyna Maciejowska, Katarzyna Sznajd-Weron, Karol Suszczynski and Rafał Weron

HSC/13/09: Rewiring the network. What helps an innovation to diffuse?

Katarzyna Sznajd-Weron, Janusz Szwabinski, Rafał Weron and Tomasz Weron

HSC/13/08: Revisiting the relationship between spot and futures prices in the Nord Pool electricity market

Rafał Weron and Michał Zator

HSC/13/07: An empirical comparison of alternate schemes for combining electricity spot price forecasts

Jakub Nowotarski, Eran Raviv, Stefan Trueck and Rafał Weron

HSC/13/06: Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis

Michał Zator

HSC/13/05: Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs

Anna Kowalska-Pyzalska, Katarzyna Maciejowska, Katarzyna Sznajd-Weron and Rafał Weron

HSC/13/04: Diffusion of innovation within an agent-based model: Spinsons, independence and advertising

Piotr Przybyla, Katarzyna Sznajd-Weron and Rafał Weron

HSC/13/03: A review of optimization methods for evaluation of placement of distributed generation into distribution networks (Przegląd metod optymalizacji przyłączenia rozproszonych źródeł energii do sieci elektroenergetycznej)

Anna Kowalska-Pyzalska

HSC/13/02: Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices

Jakub Nowotarski, Jakub Tomczyk and Rafał Weron

HSC/13/01: Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market

Katarzyna Maciejowska and Rafał Weron

HSC/12/07: Optimal placement of distributed generation in the distribution network: Assessment of economic and technical effectiveness of investments

Anna Kowalska-Pyzalska

HSC/12/06: Robust estimation and forecasting of the long-term seasonal component of electricity spot prices

Jakub Nowotarski, Jakub Tomczyk and Rafał Weron

HSC/12/05: A new method for automated noise cancellation in electromagnetic field measurement

Pawel Bienkowski, Krzysztof Burnecki, Joanna Janczura, Rafał Weron and Bartlomiej Zubrzak

HSC/12/04: Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators

Marcin Magdziarz and Janusz Gajda

HSC/12/03: Modeling of short term interest rate based on tempered fractional Langevin equation

Janusz Gajda

HSC/12/02: The relationship between spot and futures CO2 emission allowance prices in the EU-ETS

Stefan Trück, Wolfgang Härdle and Rafał Weron

HSC/12/01: Inference for Markov-regime switching models of electricity spot prices

Joanna Janczura and Rafał Weron

HSC/11/07: Usage of metaheuristic methods of optimization of distributed generation placement into the distribution network (Możliwości zastosowania algorytmów metaheurystycznych do optymalizacji przyłączenia rozprosznych źródeł energii do sieci elektroenergetycznej)

Anna Kowalska-Pyzalska

HSC/11/06: Multidimensional Levy walk and its scaling limits

Marek Teuerle, Piotr Zebrowski and Marcin Magdziarz

HSC/11/05: Option pricing in subdiffusive Bachelier model

Marcin Magdziarz, Sebastian Orzeł and Aleksander Weron

HSC/11/04: Measures of dependence for Ornstein–Uhlenbeck processes with tempered stable distribution

Agnieszka Wyłomańska

HSC/11/03: Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description

Joanna Janczura, Sebastian Orzeł and Agnieszka Wyłomańska

HSC/11/02: Efficient estimation of Markov regime-switching models: An application to electricity spot prices

Joanna Janczura and Rafał Weron

HSC/11/01: Black swans or dragon kings? A simple test for deviations from the power law

Joanna Janczura and Rafał Weron

HSC/10/07: Smart grid as a chance for distributed generation (Koncepcja smart grid szansą dla rozwoju generacji rozproszonej)

Anna Kowalska-Pyzalska

HSC/10/06: Optimal bidding strategies on the power market based on the stochastic models

Magdalena Węglarz and Agnieszka Wyłomańska

HSC/10/05: Heavy-tailed distributions in VaR calculations

Adam Misiorek and Rafał Weron

HSC/10/04: Ruin Probability in Finite Time

Krzysztof Burnecki and Marek Teuerle

HSC/10/03: Building Loss Models

Krzysztof Burnecki, Joanna Janczura and Rafał Weron

HSC/10/02: FX Smile in the Heston Model

Agnieszka Janek, Tino Kluge, Rafał Weron and Uwe Wystup

HSC/10/01: Models for Heavy-tailed Asset Returns

Szymon Borak, Adam Misiorek and Rafał Weron

HSC/09/04: Optimization of the decision on the integration of distributed generation with the electrical grid using optimization of coordinates (Optymalizacja decyzji o przyłączeniu rozproszonych źródeł energii do sieci elektroenergetycznej z wykorzystaniem optymalizacji po współrzędnych)

Anna Kowalska-Pyzalska

HSC/09/03: Optimization of the decision on the integration of distributed generation with the electrical grid using linear programming (Optymalizacja decyzji o przyłączeniu rozproszonych źródeł energii do sieci elektroenergetycznej z wykorzystaniem programowania liniowego)

Anna Kowalska-Pyzalska

HSC/09/02: Calibration of the subdiffusive Black–Scholes model

Sebastian Orzeł and Aleksander Weron

HSC/09/01: Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)

Piotr Zielonka, Przemyslaw Sawicki and Rafał Weron

HSC/08/03: Modelling energy forward prices

Joanna Janczura and Aleksander Weron

HSC/08/02: The impact of forward trading on the spot power price volatility with Cournot competition

Sandro Sapio and Agnieszka Wyłomańska

HSC/08/01: Short-term forecasting of electricity prices: Do we need a different model for each hour?

Adam Misiorek

HSC/07/01: Asymptotic behavior of the finite time ruin probability of a gamma Levy process

Zbigniew Michna and Aleksander Weron