IDEAS home Printed from https://ideas.repec.org/d/g/impwrpl.html
 

Publications

by alumni of

Instytut Matematyki i Informatyki
Politechnika Wrocławska
Wrocław, Poland

(Institute of Mathematics and Computer Science, Wroclaw University of Science and Technology)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

2023

  1. Grzegorz Marcjasz & Tomasz Serafin & Rafal Weron, 2023. "Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks," WORking papers in Management Science (WORMS) WORMS/23/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.

2022

  1. Julia Nasiadka & Weronika Nitka & Rafa{l} Weron, 2022. "Calibration window selection based on change-point detection for forecasting electricity prices," Papers 2204.00872, arXiv.org.
  2. Arkadiusz Jk{e}drzejewski & Jesus Lago & Grzegorz Marcjasz & Rafa{l} Weron, 2022. "Electricity Price Forecasting: The Dawn of Machine Learning," Papers 2204.00883, arXiv.org.
  3. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
  4. Grzegorz Marcjasz & Micha{l} Narajewski & Rafa{l} Weron & Florian Ziel, 2022. "Distributional neural networks for electricity price forecasting," Papers 2207.02832, arXiv.org, revised Dec 2022.

2021

  1. Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 2021. "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) WORMS/21/04, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  2. Tomasz Antczak & Bartosz Skorupa & Mikolaj Szurlej & Rafal Weron & Jacek Zabawa, 2021. "Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design," WORking papers in Management Science (WORMS) WORMS/21/05, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  3. Kin G. Olivares & Cristian Challu & Grzegorz Marcjasz & Rafal Weron & Artur Dubrawski, 2021. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," WORking papers in Management Science (WORMS) WORMS/21/07, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  4. Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafal Weron, 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) WORMS/21/12, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  5. {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers 2107.07142, arXiv.org.
  6. Weronika Nitka & Tomasz Serafin & Dimitrios Sotiros, 2021. "Forecasting Electricity Prices: Autoregressive Hybrid Nearest Neighbors (ARHNN) method," WORking papers in Management Science (WORMS) WORMS/21/06, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.

2020

  1. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2020. "Beating the naive: Combining LASSO with naive intraday electricity price forecasts," WORking papers in Management Science (WORMS) WORMS/20/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  2. Tao Hong & Pierre Pinson & Yi Wang & Rafal Weron & Dazhi Yang & Hamidreza Zareipour, 2020. "Energy forecasting: A review and outlook," WORking papers in Management Science (WORMS) WORMS/20/08, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  3. Tomasz Antczak & Rafal Weron & Jacek Zabawa, 2020. "Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations," WORking papers in Management Science (WORMS) WORMS/20/16, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  4. Tomasz Serafin & Grzegorz Marcjasz & Rafal Weron, 2020. "Trading on short-term path forecasts of intraday electricity prices," WORking papers in Management Science (WORMS) WORMS/20/17, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  5. Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafa{l} Weron, 2020. "Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark," Papers 2008.08004, arXiv.org, revised Dec 2020.
  6. Grzegorz Marcjasz & Jesus Lago & Rafa{l} Weron, 2020. "Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs," Papers 2008.08006, arXiv.org.
  7. Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020. "PCA forecast averaging - predicting day-ahead and intraday electricity prices," WORking papers in Management Science (WORMS) WORMS/20/02, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  8. Zbigniew Palmowski & Tomasz Serafin, 2020. "Note on simulation pricing of $\pi$-options," Papers 2007.02076, arXiv.org, revised Aug 2020.

2019

  1. Tomasz Serafin & Bartosz Uniejewski & Rafal Weron, 2019. "Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting," WORking papers in Management Science (WORMS) WORMS/19/08, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, revised 06 Jul 2019.
  2. Bartosz Uniejewski & Rafal Weron, 2019. "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports HSC/19/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemyslaw Zaleski & Rafal Weron, 2019. "Balancing RES generation: Profitability of an energy trader," HSC Research Reports HSC/19/07, Hugo Steinhaus Center, Wroclaw University of Technology.

2018

  1. Florian Ziel & Rafal Weron, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers 1805.06649, arXiv.org.
  2. Bartosz Uniejewski & Rafal Weron, 2018. "Efficient forecasting of electricity spot prices with expert and LASSO models," HSC Research Reports HSC/18/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Katarzyna Hubicka & Grzegorz Marcjasz & Rafal Weron, 2018. "A note on averaging day-ahead electricity price forecasts across calibration windows," HSC Research Reports HSC/18/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2018. "Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?," HSC Research Reports HSC/18/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Grzegorz Marcjasz & Tomasz Serafin & Rafal Weron, 2018. "Selection of calibration windows for day-ahead electricity price forecasting," HSC Research Reports HSC/18/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron, 2018. "Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO," HSC Research Reports HSC/18/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Krzysztof Burnecki & Mario Nicol'o Giuricich & Zbigniew Palmowski, 2018. "Valuation of contingent convertible catastrophe bonds - the case for equity conversion," Papers 1804.07997, arXiv.org.
  9. Benjamin U. Friedrich & Michal Zator, 2018. "Adaptation to Shocks and The Role of Capital Structure: Danish Exporters During the Cartoon Crisis," Economics Working Papers 2018-12, Department of Economics and Business Economics, Aarhus University.

2017

  1. Bartosz Uniejewski & Rafal Weron & Florian Ziel, 2017. "Variance stabilizing transformations for electricity spot price forecasting," HSC Research Reports HSC/17/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron, 2017. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting," HSC Research Reports HSC/17/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2017. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models," HSC Research Reports HSC/17/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Tomasz Weron & Anna Kowalska-Pyzalska & Rafal Weron, 2017. "The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach," HSC Research Reports HSC/17/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Technology.

2016

  1. Jakub Nowotarski & Rafal Weron, 2016. "To combine or not to combine? Recent trends in electricity price forecasting," HSC Research Reports HSC/16/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Katarzyna Maciejowska & Arkadiusz Jedrzejewski & Anna Kowalska-Pyzalska & Rafal Weron, 2016. "Impact of social interactions on demand curves for innovative products," HSC Research Reports HSC/16/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Jakub Nowotarski & Rafal Weron, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," HSC Research Reports HSC/16/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron, 2016. "Automated variable selection and shrinkage for day-ahead electricity price forecasting," HSC Research Reports HSC/16/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Jakub Nowotarski & Rafal Weron, 2016. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," HSC Research Reports HSC/16/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.

2015

  1. Jerzy Grobelny & Rafal Michalski & Rafal Weron, 2015. "Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight?," WORking papers in Management Science (WORMS) WORMS/15/04, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  2. Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron, 2015. "Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts," HSC Research Reports HSC/15/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Katarzyna Maciejowska & Rafal Weron, 2015. "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 HSC/15/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Jakub Nowotarski & Bidong Liu & Rafal Weron & Tao Hong, 2015. "Improving short term load forecast accuracy via combining sister forecasts," HSC Research Reports HSC/15/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Katarzyna Maciejowska & Arkadiusz Jedrzejewski & Anna Kowalska-Pyzalska & Katarzyna Sznajd-Weron & Rafal Weron, 2015. "Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products," HSC Research Reports HSC/15/09, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Katarzyna Byrka & Arkadiusz Jedrzejewski & Katarzyna Sznajd-Weron & Rafal Weron, 2015. "Difficulty is critical: Psychological factors in modeling diffusion of green products and practices," HSC Research Reports HSC/15/10, Hugo Steinhaus Center, Wroclaw University of Technology.

2014

  1. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron, 2014. "Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach," HSC Research Reports HSC/14/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Rafal Weron, 2014. "A review of electricity price forecasting: The past, the present and the future," HSC Research Reports HSC/14/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Jakub Nowotarski & Rafal Weron, 2014. "Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices," HSC Research Reports HSC/14/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Rafal Weron & Michal Zator, 2014. "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports HSC/14/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron, 2014. "Modeling consumer opinions towards dynamic pricing: An agent-based approach," HSC Research Reports HSC/14/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron, 2014. "Modelling price spikes in electricity markets - the impact of load, weather and capacity," HSC Research Reports HSC/14/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014. "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," HSC Research Reports HSC/14/09, Hugo Steinhaus Center, Wroclaw University of Technology.
  9. Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014. "Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts," HSC Research Reports HSC/14/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  10. Pawel Maryniak & Rafal Weron, 2014. "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports HSC/14/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic, 2014. "Evaluating the performance of VaR models in energy markets," HSC Research Reports HSC/14/12, Hugo Steinhaus Center, Wroclaw University of Technology.

2013

  1. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology, revised 15 Apr 2013.
  2. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron, 2013. "Diffusion of innovation within an agent-based model: Spinsons, independence and advertising," HSC Research Reports HSC/13/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron, 2013. "Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs," HSC Research Reports HSC/13/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Jakub Nowotarski & Eran Raviv & Stefan Trueck & Rafal Weron, 2013. "An empirical comparison of alternate schemes for combining electricity spot price forecasts," HSC Research Reports HSC/13/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Katarzyna Sznajd-Weron & Janusz Szwabinski & Rafal Weron & Tomasz Weron, 2013. "Rewiring the network. What helps an innovation to diffuse?," HSC Research Reports HSC/13/09, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Karol Suszczynski & Rafal Weron, 2013. "Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs," HSC Research Reports HSC/13/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  9. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  10. Jakub Nowotarski & Rafal Weron, 2013. "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," HSC Research Reports HSC/13/12, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Michal Zator, 2013. "Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis," HSC Research Reports HSC/13/06, Hugo Steinhaus Center, Wroclaw University of Technology.

2012

  1. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
  2. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper 42563, University Library of Munich, Germany.
  3. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Pawe³ Bieñkowski & Krzysztof Burnecki & Joanna Janczura & Rafal Weron & Bart³omiej Zubrzak, 2012. "A new method for automated noise cancellation in electromagnetic field measurement," HSC Research Reports HSC/12/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  7. Marcin Magdziarz & Janusz Gajda, 2012. "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports HSC/12/04, Hugo Steinhaus Center, Wroclaw University of Technology.

2011

  1. Szajowski, Krzysztof, 2011. "Multi-variate quickest detection of significant change process," MPRA Paper 33838, University Library of Munich, Germany, revised 19 Sep 2011.
  2. Joanna Janczura & Rafal Weron, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," Papers 1102.3712, arXiv.org.
  3. Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011. "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports HSC/11/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011. "Option pricing in subdiffusive Bachelier model," HSC Research Reports HSC/11/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Janek, Agnieszka, 2011. "The vanna - volga method for derivatives pricing," MPRA Paper 36127, University Library of Munich, Germany.

2010

  1. Karpowicz, Anna & Szajowski, Krzysztof, 2010. "Anglers’ Fishing Problem," MPRA Paper 41800, University Library of Munich, Germany, revised 24 Jan 2012.
  2. Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," Papers 1010.1617, arXiv.org.
  3. Krzysztof Burnecki & Joanna Janczura & Rafał Weron, 2010. "Building Loss Models," SFB 649 Discussion Papers SFB649DP2010-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Szymon Borak & Adam Misiorek & Rafał Weron, 2010. "Models for Heavy-tailed Asset Returns," SFB 649 Discussion Papers SFB649DP2010-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
  6. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
  7. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
  8. Janczura, Joanna & Weron, Rafal, 2010. "Modeling electricity spot prices: Regime switching models with price-capped spike distributions," MPRA Paper 23296, University Library of Munich, Germany.
  9. Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
    • Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004. "Simulation of risk processes," Papers 2004,01, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  10. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  11. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  12. Krzysztof Burnecki & Marek Teuerle, 2010. "Ruin Probability in Finite Time," HSC Research Reports HSC/10/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  13. Wylomanska-, Agnieszka, 2010. "Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution," MPRA Paper 28535, University Library of Munich, Germany, revised 2010.
  14. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
  15. Magdalena Weglarz & Agnieszka Wylomanska, 2010. "Optimal bidding strategies on the power market based on the stochastic models," HSC Research Reports HSC/10/06, Hugo Steinhaus Center, Wroclaw University of Technology.

2009

  1. Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
  2. Weron, Rafal, 2009. "Forecasting wholesale electricity prices: A review of time series models," MPRA Paper 21299, University Library of Munich, Germany.
  3. Piotr Zielonka & Przemyslaw Sawicki & Rafal Weron, 2009. "Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)," HSC Research Reports HSC/09/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Janczura, Joanna & Wyłomańska, Agnieszka, 2009. "Subdynamics of financial data from fractional Fokker-Planck equation," MPRA Paper 30649, University Library of Munich, Germany.

2008

  1. Szajowski, Krzysztof, 2008. "On a random number of disorders," MPRA Paper 20256, University Library of Munich, Germany, revised 02 Jan 2010.
  2. Katarzyna Sznajd-Weron & Rafa{l} Weron & Maja W{l}oszczowska, 2008. "Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland," Papers 0809.1534, arXiv.org.
  3. Szymon Borak & Rafał Weron, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers SFB649DP2008-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Weron, Rafal, 2008. "Heavy-tails and regime-switching in electricity prices," MPRA Paper 10424, University Library of Munich, Germany.
  5. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper 10428, University Library of Munich, Germany.
  6. Weron, Rafal, 2008. "Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo [Power security: Risk > Risk management > Security]," MPRA Paper 18786, University Library of Munich, Germany, revised 2008.
  7. Joanna Janczura & Aleksander Weron, 2008. "Modelling energy forward prices," HSC Research Reports HSC/08/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Burnecki, Krzysztof & Pazdan-Siudeja, Liliana, 2008. "Equity-linked insurances and guaranteed annuity options," MPRA Paper 21658, University Library of Munich, Germany.
  9. Sandro Sapio & Agnieszka Wylomanska, 2008. "The impact of forward trading on the spot power price volatility with Cournot competition," HSC Research Reports HSC/08/02, Hugo Steinhaus Center, Wroclaw University of Technology.

2007

  1. Weron, Rafal & Misiorek, Adam, 2007. "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?," MPRA Paper 2292, University Library of Munich, Germany, revised Oct 2007.
  2. Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2007. "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices," MPRA Paper 4711, University Library of Munich, Germany.

2006

  1. Muciek, Bogdan K. & Szajowski, Krzysztof J., 2006. "Optimal Stopping of a Risk Process when Claims are Covered immediately," MPRA Paper 19836, University Library of Munich, Germany, revised 2007.
  2. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Weron, Rafal & Misiorek, Adam, 2006. "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper 1363, University Library of Munich, Germany.
  4. Rafal Weron & Adam Misiorek, 2006. "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports HSC/06/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Adam Misiorek & Rafal Weron, 2006. "Interval forecasting of spot electricity prices," HSC Research Reports HSC/06/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Magdalena Borgosz-Koczwara & Aleksander Weron & Agnieszka Wylomanska, 2006. "Simulations of the bidding strategies on the power market (Symulacje strategii wytwórców na rynku energii elektrycznej)," HSC Research Reports HSC/06/04, Hugo Steinhaus Center, Wroclaw University of Technology.

2005

  1. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal, 2005. "Modelling catastrophe claims with left-truncated severity distributions (extended version)," MPRA Paper 10423, University Library of Munich, Germany.
  3. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, University Library of Munich, Germany.
  4. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, University Library of Munich, Germany.
  5. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, University Library of Munich, Germany.
  6. Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005. "On detecting and modeling periodic correlation in financial data," Econometrics 0502006, University Library of Munich, Germany.
  7. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, University Library of Munich, Germany.
  8. Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, University Library of Munich, Germany.
  9. Rafal Weron & Ingve Simonsen, 2005. "Blackouts, risk, and fat-tailed distributions," Risk and Insurance 0510001, University Library of Munich, Germany.
  10. Rafal Weron, 2005. "Heavy tails and electricity prices," HSC Research Reports HSC/05/02, Hugo Steinhaus Center, Wroclaw University of Technology.

2004

  1. Ramsey, David M. & Szajowski, Krzysztof, 2004. "Correlated equilibria in competitive staff selection problem," MPRA Paper 19870, University Library of Munich, Germany, revised 2006.
  2. Simonsen, Ingve & Weron, Rafal & Mo, Birger, 2004. "Structure and stylized facts of a deregulated power market," MPRA Paper 1443, University Library of Munich, Germany.
  3. Rafal Weron, 2004. "Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)," HSC Research Reports HSC/04/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Rafal Weron & Slawomir Wojcik, 2004. "Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)," HSC Research Reports HSC/04/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
  6. Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron, 2004. "Pure risk premiums under deductibles. A quantitative management in actuarial practice," HSC Research Reports HSC/04/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska, 2004. "Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)," HSC Research Reports HSC/04/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Agnieszka Wylomanska, 2004. "Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients," HSC Research Reports HSC/04/06, Hugo Steinhaus Center, Wroclaw University of Technology.

2003

  1. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, University Library of Munich, Germany.
  2. Rafal Weron, 2003. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics 0305003, University Library of Munich, Germany.
  3. Rafal Weron & Michael Bierbrauer & Stefan Trück, 2003. "Modeling electricity prices: jump diffusion and regime switching," HSC Research Reports HSC/03/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Krzysztof Burnecki & Wolfgang Hardle & Rafal Weron, 2003. "An introduction to simulation of risk processes," HSC Research Reports HSC/03/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Krzysztof Burnecki & Pawel Mista & Aleksander Weron, 2003. "A new De Vylder type approximation of the ruin probability in infinite time," HSC Research Reports HSC/03/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Aleksander Weron & Agnieszka Wylomanska, 2003. "On ARMA(1,q) models with bounded and periodically correlated solutions," HSC Research Reports HSC/03/03, Hugo Steinhaus Center, Wroclaw University of Technology.

2002

  1. K. Sznajd-Weron & R. Weron, 2002. "How effective is advertising in duopoly markets?," Papers cond-mat/0211058, arXiv.org, revised Dec 2002.
  2. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
  3. Joanna Nowicka-Zagrajek & Rafal Weron, 2002. "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports HSC/02/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Rafal Weron, 2002. "Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach," HSC Research Reports HSC/02/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Krzysztof Burnecki & Zbigniew Michna, 2002. "Simulation of Pickands constants," HSC Research Reports HSC/02/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron, 2002. "On annuities under random rates of interest," HSC Research Reports HSC/02/01, Hugo Steinhaus Center, Wroclaw University of Technology.

2001

  1. Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Papers cond-mat/0103621, arXiv.org.
  2. Rafal Weron, 2001. "Estimating long range dependence: finite sample properties and confidence intervals," HSC Research Reports HSC/01/03, Hugo Steinhaus Center, Wroclaw University of Technology.

2000

  1. David M., Ramsey & Krzysztof, Szajowski, 2000. "Bilateral Approach to the Secretary Problem," MPRA Paper 19888, University Library of Munich, Germany, revised 2003.
  2. K. Sznajd-Weron & R. Weron, 2000. "A simple model of price formation," Papers cond-mat/0101001, arXiv.org, revised Nov 2001.
  3. Rafal Weron & Beata Przybylowicz, 2000. "Hurst analysis of electricity price dynamics," HSC Research Reports HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Rafal Weron, 2000. "Energy price risk management," HSC Research Reports HSC/00/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Krzysztof Burnecki & Grzegorz Kukla & Rafal Weron, 2000. "Property insurance loss distributions," HSC Research Reports HSC/00/03, Hugo Steinhaus Center, Wroclaw University of Technology.

1999

  1. Tomasz Garlinski & Rafal Weron, 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 HSC/99/01, Hugo Steinhaus Center, Wroclaw University of Technology.

1998

  1. Nowak, Andrzej S. & Szajowski, Krzysztof, 1998. "Nonzero-sum Stochastic Games," MPRA Paper 19995, University Library of Munich, Germany, revised 1999.
  2. Aleksander Weron & Szymon Mercik & Rafal Weron, 1998. "Origins of the scaling behaviour in the dynamics of financial data," HSC Research Reports HSC/98/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Szymon Mercik & Rafal Weron, 1998. "Scaling in currency exchange: A Conditionally Exponential Decay approach," HSC Research Reports HSC/98/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

1997

  1. Katarzyna Sznajd-Weron & Rafal Weron, 1997. "Evolution in a changing environment," HSC Research Reports HSC/97/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Krzysztof Burnecki & Makoto Maejima & Aleksander Weron, 1997. "The Lamperti transformation for self-similar processes," HSC Research Reports HSC/97/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Krzysztof Burnecki & Jan Rosinski & Aleksander Weron, 1997. "Spectral representation and structure of self-similar processes," HSC Research Reports HSC/97/03, Hugo Steinhaus Center, Wroclaw University of Technology.

1996

  1. Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.

1995

  1. Rafal Weron, 1995. "Performance of the estimators of stable law parameters," HSC Research Reports HSC/95/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Wojtek Kowalczyk & Rafal Weron, 1995. "Analysis of ROBECO data by neural networks," HSC Research Reports HSC/95/02, Hugo Steinhaus Center, Wroclaw University of Technology.

Journal articles

2023

  1. Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023. "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, vol. 125(C).
  2. Olivares, Kin G. & Challu, Cristian & Marcjasz, Grzegorz & Weron, Rafał & Dubrawski, Artur, 2023. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," International Journal of Forecasting, Elsevier, vol. 39(2), pages 884-900.
  3. Weronika Nitka & Rafał Weron, 2023. "Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 33(3), pages 105-118.
  4. Muszkieta, Monika & Janczura, Joanna, 2023. "A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking experiment," Applied Mathematics and Computation, Elsevier, vol. 446(C).
  5. Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.

2022

  1. Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022. "Trading on short-term path forecasts of intraday electricity prices," Energy Economics, Elsevier, vol. 112(C).
  2. Janczura, Joanna & Burnecki, Krzysztof & Muszkieta, Monika & Stanislavsky, Aleksander & Weron, Aleksander, 2022. "Classification of random trajectories based on the fractional Lévy stable motion," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  3. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
  4. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
  5. Krzysztof Burnecki & Marek A. Teuerle & Aleksandra Wilkowska, 2022. "Diffusion Approximations of the Ruin Probability for the Insurer–Reinsurer Model Driven by a Renewal Process," Risks, MDPI, vol. 10(6), pages 1-16, June.

2021

  1. Lago, Jesus & Marcjasz, Grzegorz & De Schutter, Bart & Weron, Rafał, 2021. "Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark," Applied Energy, Elsevier, vol. 293(C).
  2. Uniejewski, Bartosz & Weron, Rafał, 2021. "Regularized quantile regression averaging for probabilistic electricity price forecasting," Energy Economics, Elsevier, vol. 95(C).
  3. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron, 2021. "Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO," Energies, MDPI, vol. 14(11), pages 1-17, June.
  4. Muszkieta, Monika & Janczura, Joanna & Weron, Aleksander, 2021. "Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach," Applied Mathematics and Computation, Elsevier, vol. 396(C).
  5. Bielak, Łukasz & Grzesiek, Aleksandra & Janczura, Joanna & Wyłomańska, Agnieszka, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Resources Policy, Elsevier, vol. 74(C).
  6. Krzysztof Burnecki & Marek A. Teuerle & Aleksandra Wilkowska, 2021. "Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach," Risks, MDPI, vol. 9(5), pages 1-10, May.

2020

  1. Krzysztof J. Szajowski & Kinga Włodarczyk, 2020. "Drivers’ Skills and Behavior vs. Traffic at Intersections," Mathematics, MDPI, vol. 8(3), pages 1-20, March.
  2. Krzysztof J. Szajowski, 2020. "Rationalization of detection of the multiple disorders," Statistical Papers, Springer, vol. 61(4), pages 1545-1563, August.
  3. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2020. "Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 466-479.
  4. Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemysław Zaleski & Rafał Weron, 2020. "Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader," Energies, MDPI, vol. 13(1), pages 1-15, January.
  5. Grzegorz Marcjasz & Bartosz Uniejewski & Rafał Weron, 2020. "Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts," Energies, MDPI, vol. 13(7), pages 1-16, April.
  6. Joanna Janczura & Aleksandra Michalak, 2020. "Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts," Energies, MDPI, vol. 13(5), pages 1-16, February.
  7. Agnieszka Wyłomańska & D Robert Iskander & Krzysztof Burnecki, 2020. "Omnibus test for normality based on the Edgeworth expansion," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-36, June.
  8. Balcerek, Michał & Burnecki, Krzysztof, 2020. "Testing of fractional Brownian motion in a noisy environment," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  9. Grzegorz Marcjasz, 2020. "Forecasting Electricity Prices Using Deep Neural Networks: A Robust Hyper-Parameter Selection Scheme," Energies, MDPI, vol. 13(18), pages 1-18, September.
  10. Zbigniew Palmowski & Tomasz Serafin, 2020. "A Note on Simulation Pricing of π -Options," Risks, MDPI, vol. 8(3), pages 1-19, August.
  11. Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020. "PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices," Energies, MDPI, vol. 13(14), pages 1-19, July.

2019

  1. Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting," Energy Economics, Elsevier, vol. 79(C), pages 171-182.
  2. Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
  3. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1520-1532.
  4. Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019. "Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1533-1547.
  5. Tomasz Antczak & Rafał Weron, 2019. "Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations," Data, MDPI, vol. 4(2), pages 1-4, May.
  6. Tomasz Serafin & Bartosz Uniejewski & Rafał Weron, 2019. "Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 12(13), pages 1-12, July.
  7. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
  8. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
  9. Nitka, Weronika & Burnecki, Krzysztof, 2019. "Impact of solar activity on precipitation in the United States," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 527(C).

2018

  1. Wojciech Sarnowski & Krzysztof Szajowski, 2018. "Unspecified distributions in single disorder problem," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 34(5), pages 700-717, September.
  2. Ziel, Florian & Weron, Rafał, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Energy Economics, Elsevier, vol. 70(C), pages 396-420.
  3. Weron, Tomasz & Kowalska-Pyzalska, Anna & Weron, Rafał, 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, Elsevier, vol. 505(C), pages 591-600.
  4. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
  5. Bartosz Uniejewski & Rafał Weron, 2018. "Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models," Energies, MDPI, vol. 11(8), pages 1-26, August.
  6. Grzegorz Marcjasz & Tomasz Serafin & Rafał Weron, 2018. "Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 11(9), pages 1-20, September.
  7. Gajda, Janusz & Bartnicki, Grzegorz & Burnecki, Krzysztof, 2018. "Modeling of water usage by means of ARFIMA–GARCH processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 644-657.
  8. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Paul R Nail & Katarzyna Sznajd-Weron, 2018. "Think then act or act then think?," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-19, November.

2017

  1. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.
  2. Burnecki, Krzysztof & Sikora, Grzegorz, 2017. "Identification and validation of stable ARFIMA processes with application to UMTS data," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 456-466.
  3. Titiwat Sungkaworn & Marie-Lise Jobin & Krzysztof Burnecki & Aleksander Weron & Martin J. Lohse & Davide Calebiro, 2017. "Single-molecule imaging reveals receptor–G protein interactions at cell surface hot spots," Nature, Nature, vol. 550(7677), pages 543-547, October.

2016

  1. Dassios, Ioannis K. & Szajowski, Krzysztof J., 2016. "Bayesian optimal control for a non-autonomous stochastic discrete time system," Applied Mathematics and Computation, Elsevier, vol. 274(C), pages 556-564.
  2. Nowotarski, Jakub & Weron, Rafał, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," Energy Economics, Elsevier, vol. 57(C), pages 228-235.
  3. Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao, 2016. "Improving short term load forecast accuracy via combining sister forecasts," Energy, Elsevier, vol. 98(C), pages 40-49.
  4. Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał, 2016. "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," International Journal of Forecasting, Elsevier, vol. 32(3), pages 957-965.
  5. Byrka, Katarzyna & Jȩdrzejewski, Arkadiusz & Sznajd-Weron, Katarzyna & Weron, Rafał, 2016. "Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 62(C), pages 723-735.
  6. Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron, 2016. "Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 9(8), pages 1-22, August.
  7. Stefan Trück & Rafał Weron, 2016. "Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 587-611, June.
  8. Rafał Apriasz & Tyll Krueger & Grzegorz Marcjasz & Katarzyna Sznajd-Weron, 2016. "The Hunt Opinion Model—An Agent Based Approach to Recurring Fashion Cycles," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-19, November.

2015

  1. Weron, Rafał & Zator, Michał, 2015. "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, vol. 48(C), pages 1-6.
  2. Jakub Nowotarski & Rafał Weron, 2015. "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," Computational Statistics, Springer, vol. 30(3), pages 791-803, September.
  3. Katarzyna Maciejowska & Rafał Weron, 2015. "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, vol. 30(3), pages 805-819, September.
  4. Krzysztof Burnecki & Agnieszka Wylomanska & Aleksei Chechkin, 2015. "Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem," PLOS ONE, Public Library of Science, vol. 10(12), pages 1-23, December.
  5. Eldad Kepten & Aleksander Weron & Grzegorz Sikora & Krzysztof Burnecki & Yuval Garini, 2015. "Guidelines for the Fitting of Anomalous Diffusion Mean Square Displacement Graphs from Single Particle Tracking Experiments," PLOS ONE, Public Library of Science, vol. 10(2), pages 1-10, February.

2014

  1. Weron, Rafał & Zator, Michał, 2014. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 44(C), pages 178-190.
  2. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014. "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, vol. 46(C), pages 395-412.
  3. Kowalska-Pyzalska, Anna & Maciejowska, Katarzyna & Suszczyński, Karol & Sznajd-Weron, Katarzyna & Weron, Rafał, 2014. "Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs," Energy Policy, Elsevier, vol. 72(C), pages 164-174.
  4. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  5. Katarzyna Sznajd-Weron & Janusz Szwabiński & Rafał Weron, 2014. "Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa?," PLOS ONE, Public Library of Science, vol. 9(11), pages 1-7, November.
  6. Piotr Przybyła & Katarzyna Sznajd-Weron & Rafał Weron, 2014. "Diffusion Of Innovation Within An Agent-Based Model: Spinsons, Independence And Advertising," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-22.
  7. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
  8. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.

2013

  1. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  2. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  3. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
  4. Rafał Weron & James Taylor, 2013. "Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 29(6), pages 648-651, November.

2012

  1. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  2. Wyłomańska, Agnieszka, 2012. "Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5685-5696.

2011

  1. Janczura, Joanna & Orzeł, Sebastian & Wyłomańska, Agnieszka, 2011. "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4379-4387.
  2. Burnecki, Krzysztof & Gajda, Janusz & Sikora, Grzegorz, 2011. "Stability and lack of memory of the returns of the Hang Seng index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(18), pages 3136-3146.

2010

  1. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.

2009

  1. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
  2. Jurlewicz, Agnieszka & Wyłomańska, Agnieszka & Żebrowski, Piotr, 2009. "Coupled continuous-time random walk approach to the Rachev–Rüschendorf model for financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 407-418.
  3. Magdziarz, Marcin, 2009. "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3238-3252, October.
  4. Magdziarz, Marcin, 2009. "Correlation cascades, ergodic properties and long memory of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3416-3434, October.

2008

  1. Ramsey, David M. & Szajowski, Krzysztof, 2008. "Selection of a correlated equilibrium in Markov stopping games," European Journal of Operational Research, Elsevier, vol. 184(1), pages 185-206, January.
  2. Sarnowski, Wojciech & Szajowski, Krzysztof, 2008. "On-line detection of a part of a sequence with unspecified distribution," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2511-2516, October.
  3. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  4. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," International Journal of Forecasting, Elsevier, vol. 24(4), pages 744-763.
  5. Burnecki, Krzysztof & Klafter, Joseph & Magdziarz, Marcin & Weron, Aleksander, 2008. "From solar flare time series to fractional dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1077-1087.
  6. Agnieszka Wyłomańska, 2008. "Spectral measures of PARMA sequences," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 1-13, January.

2007

  1. Szajowski, Krzysztof, 2007. "A game version of the Cowan-Zabczyk-Bruss' problem," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1683-1689, November.
  2. Anna Karpowicz & Krzysztof Szajowski, 2007. "Double optimal stopping times and dynamic pricing problem: description of the mathematical model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(2), pages 235-253, October.

2006

  1. Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
  2. Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trück & Rafał Weron, 2006. "Modelling catastrophe claims with left-truncated severity distributions," Computational Statistics, Springer, vol. 21(3), pages 537-555, December.

2004

  1. Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004. "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 196-205.
  2. Weron, R & Bierbrauer, M & Trück, S, 2004. "Modeling electricity prices: jump diffusion and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 39-48.

2003

  1. Sznajd-Weron, K. & Weron, R., 2003. "How effective is advertising in duopoly markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 437-444.
  2. Burnecki, Krzysztof & Marciniuk, Agnieszka & Weron, Aleksander, 2003. "Annuities under random rates of interest--revisited," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 457-460, July.

2002

  1. Weron, Rafał, 2002. "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 285-299.
  2. K. Sznajd-Weron & R. Weron, 2002. "A Simple Model Of Price Formation," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 115-123.

2001

  1. Sznajd-Weron, K. & Weron, Rafał, 2001. "A new model of mass extinctions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 293(3), pages 559-565.
  2. Weron, R. & Kozłowska, B. & Nowicka-Zagrajek, J., 2001. "Modeling electricity loads in California: a continuous-time approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 344-350.
  3. Rafał Weron, 2001. "Levy-Stable Distributions Revisited: Tail Index> 2does Not Exclude The Levy-Stable Regime," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 209-223.

2000

  1. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
  2. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
  3. Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000. "Property insurance loss distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 269-278.

1999

  1. Weron, Rafal & Weron, Karina & Weron, Aleksander, 1999. "A conditionally exponential decay approach to scaling in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 551-561.
  2. Weron, Aleksander & Mercik, Szymon & Weron, Rafal, 1999. "Origins of the scaling behaviour in the dynamics of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 562-569.
  3. Mercik, Szymon & Weron, Rafal, 1999. "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 267(1), pages 239-250.

1996

  1. Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June.

Books

2011

  1. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011. "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook1101.

2006

  1. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.

2005

  1. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.

2000

  1. Aleksander Weron & Rafal Weron, 2000. "Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0001.

1998

  1. Aleksander Weron & Rafal Weron, 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, number hsbook9801.

Chapters

2020

  1. Paweł Maryniak & Rafał Weron, 2020. "What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market," World Scientific Book Chapters, in: Stéphane Goutte & Duc Khuong Nguyen (ed.), HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, chapter 10, pages 231-245, World Scientific Publishing Co. Pte. Ltd..

2006

  1. Rafał Weron & Ingve Simonsen, 2006. "Blackouts, risk, and fat-tailed distributions," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 215-219, Springer.

Software components

2021

  1. Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafal Weron, 2021. "EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF)," WORMS Software (WORking papers in Management Science Software) WORMS/C/21/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  2. Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 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) WORMS/C/21/02, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
  3. Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 2021. "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) WORMS/C/21/03, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.

2018

  1. Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron, 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 ZIP18001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron, 2018. "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 ZIP18002, Hugo Steinhaus Center, Wroclaw University of Technology.

2017

  1. Rafal Weron, 2017. "HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model," HSC Software M17001, Hugo Steinhaus Center, Wroclaw University of Technology.

2016

  1. Jakub Nowotarski & Rafal Weron, 2016. "SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model," HSC Software M16001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Jakub Nowotarski & Rafal Weron, 2016. "SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting"," HSC Software ZIP16002, Hugo Steinhaus Center, Wroclaw University of Technology.

2014

  1. Rafal Weron, 2014. "DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)," HSC Software M013004, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Rafal Weron, 2014. "AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method," HSC Software M14002, Hugo Steinhaus Center, Wroclaw University of Technology.

2013

  1. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 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 M13001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "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 M13002, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "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 M13003, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron, 2013. "The World According to Spinson (WAS): Standalone application for simulating agent-based models," HSC Software ZIP13001, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Jakub Nowotarski & Rafal Weron, 2013. "LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices"," HSC Software ZIP13002, Hugo Steinhaus Center, Wroclaw University of Technology.

2012

  1. Joanna Janczura & Rafal Weron, 2012. "CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'," HSC Software M12001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Joanna Janczura & Rafal Weron, 2012. "CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails," HSC Software M12002, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Joanna Janczura & Rafal Weron, 2012. "E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter," HSC Software M12005, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Rafal Weron, 2012. "RUNNINGMEDIAN: MATLAB function to compute a running median of a time series," HSC Software M12006, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Joanna Janczura, 2012. "HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM)," HSC Software M12004, Hugo Steinhaus Center, Wroclaw University of Technology.

2011

  1. Rafal Weron, 2011. "GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)," HSC Software M11001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Rafal Weron, 2011. "DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)," HSC Software M11002, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Rafal Weron, 2011. "HURST: MATLAB function to compute the Hurst exponent using R/S Analysis," HSC Software M11003, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Joanna Janczura & Rafal Weron, 2011. "MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes," HSC Software M11004, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Joanna Janczura & Rafal Weron, 2011. "MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11005, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Joanna Janczura & Rafal Weron, 2011. "MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11006, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Joanna Janczura & Rafal Weron, 2011. "PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model," HSC Software M11007, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Joanna Janczura & Rafal Weron, 2011. "PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model," HSC Software M11008, Hugo Steinhaus Center, Wroclaw University of Technology.
  9. Joanna Janczura & Rafal Weron, 2011. "MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes," HSC Software M11009, Hugo Steinhaus Center, Wroclaw University of Technology.
  10. Joanna Janczura & Rafal Weron, 2011. "MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11010, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Joanna Janczura & Rafal Weron, 2011. "MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11011, Hugo Steinhaus Center, Wroclaw University of Technology.

2010

  1. Rafal Weron, 2010. "REMST: MATLAB function to remove trend and seasonal component using the moving average method," Statistical Software Components M429001, Boston College Department of Economics.
  2. Rafal Weron, 2010. "DESEASONALIZE: MATLAB function to remove short and long term seasonal components," Statistical Software Components M429002, Boston College Department of Economics.
  3. Rafal Weron, 2010. "STABLERND: MATLAB function to generate random numbers from the stable distribution," Statistical Software Components M429003, Boston College Department of Economics.
  4. Rafal Weron, 2010. "STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT," Statistical Software Components M429004, Boston College Department of Economics.
  5. Szymon Borak & Rafal Weron, 2010. "STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis," Statistical Software Components M429005, Boston College Department of Economics.
  6. Szymon Borak & Rafal Weron, 2010. "STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch," Statistical Software Components M429004, Boston College Department of Economics.
  7. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.
  8. Rafal Weron, 2010. "MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood," Statistical Software Components M429004, Boston College Department of Economics.
  9. Rafal Weron, 2010. "MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process," Statistical Software Components M429004, Boston College Department of Economics.
  10. Rafal Weron, 2010. "MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process," Statistical Software Components M429004, Boston College Department of Economics.
  11. Agnieszka Janek & Rafal Weron, 2010. "GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model," Statistical Software Components M430001, Boston College Department of Economics.
  12. Agnieszka Janek & Rafal Weron, 2010. "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 M430002, Boston College Department of Economics.
  13. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model," Statistical Software Components M430003, Boston College Department of Economics.
  14. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile," Statistical Software Components M430004, Boston College Department of Economics.
  15. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)," Statistical Software Components M430005, Boston College Department of Economics.
  16. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model," Statistical Software Components M430006, Boston College Department of Economics.
  17. Agnieszka Janek & Rafal Weron, 2010. "PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model," Statistical Software Components M430007, Boston College Department of Economics.
  18. Rafal Weron, 2010. "SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)," Statistical Software Components M430008, Boston College Department of Economics.
  19. Agnieszka Janek & Rafal Weron, 2010. "SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model," Statistical Software Components M430009, Boston College Department of Economics.
  20. Agnieszka Janek & Rafal Weron, 2010. "STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"," HSC Software ZIP10001, Hugo Steinhaus Center, Wroclaw University of Technology.
  21. Agnieszka Janek & Rafal Weron, 2010. "STF2HES: MATLAB functions for "FX smile in the Heston model"," HSC Software ZIP10002, Hugo Steinhaus Center, Wroclaw University of Technology.

2008

  1. Joanna Nowicka-Zagrajek & Rafal Weron, 2008. "COR: MATLAB function to compute the correlation coefficients," HSC Software M08001, Hugo Steinhaus Center, Wroclaw University of Technology.

2007

  1. Rafal Weron, 2007. "CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage," HSC Software M07001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Rafal Weron & Jakub Jurdziak & Adam Misiorek, 2007. "MFE Toolbox ver. 1.0.1 for MATLAB," HSC Software ZIP00001, Hugo Steinhaus Center, Wroclaw University of Technology.

2006

  1. Rafal Weron, 2006. "PERIODOG: MATLAB function to compute and plot the periodogram of a time series," HSC Software M06001, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Adam Misiorek & Stefan Trueck & Rafal Weron, 2006. "SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models"," HSC Software ZIP06001, Hugo Steinhaus Center, Wroclaw University of Technology.

1998

  1. Rafal Weron, 1998. "Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB," HSC Software ZIP98001, Hugo Steinhaus Center, Wroclaw University of Technology.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.