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Publications

by alumni of

Politechnika Wrocławska → Instytut Matematyki i Informatyki

Wroclaw University of Science and Technology → Institute of Mathematics and Computer Science

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

2026

  1. Katarzyna Chec & Bartosz Uniejewski & Rafal Weron, 2026, "From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/26/01.

2025

  1. Jacek Wszo{l}a & Krzysztof Burnecki & Marek Teuerle & Martyna Zdeb, 2025, "Design and valuation of multi-region CoCoCat bonds," Papers, arXiv.org, number 2510.17221, Oct.
  2. Krzysztof Burnecki & Marek Teuerle & Martyna Zdeb, 2025, "Modelling and valuation of catastrophe bonds across multiple regions," Papers, arXiv.org, number 2512.08890, Dec.
  3. Julia Ko'nczal & Micha{l} Balcerek & Krzysztof Burnecki, 2025, "Machine learning models for predicting catastrophe bond coupons using climate data," Papers, arXiv.org, number 2512.22660, Dec.
  4. Yash Chawla & Katarzyna Chojnacka & Michal Paca & Anna Pudelko & Rafal Weron & Przemyslaw Zaleski, 2025, "Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/25/01.
  5. Arkadiusz Lipiecki & Rafal Weron, 2025, "PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/25/02.
  6. Jieyu Chen & Sebastian Lerch & Melanie Schienle & Tomasz Serafin & Rafal Weron, 2025, "Probabilistic intraday electricity price forecasting using generative machine learning," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/25/05.
  7. Arkadiusz Lipiecki & Kaja Bilinska & Nikolaos Kourentzes & Rafal Weron, 2025, "Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF)," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/25/06.

2024

  1. Tomasz Serafin & Rafal Weron, 2024, "Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/24/03.
  2. Katarzyna Chec & Bartosz Uniejewski & Rafal Weron, 2024, "Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/24/04.
  3. Arkadiusz Lipiecki & Bartosz Uniejewski & Rafa{l} Weron, 2024, "Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression," Papers, arXiv.org, number 2404.02270, Apr, revised Oct 2024.

2023

  1. Krzysztof Burnecki & Zbigniew Palmowski & Marek Teuerle & Aleksandra Wilkowska, 2023, "Ruin probability for the quota share model with~phase-type distributed claims," Papers, arXiv.org, number 2303.07705, Mar.
  2. 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/23/01.

2022

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

2021

  1. {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, arXiv.org, number 2107.07142, Jul.
  2. 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/21/04, Mar.
  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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/21/07, Apr.
  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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/21/12, Jul.
  5. Weronika Nitka & Tomasz Serafin & Dimitrios Sotiros, 2021, "Forecasting Electricity Prices: Autoregressive Hybrid Nearest Neighbors (ARHNN) method," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/21/06, Apr.
  6. 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/21/05, Mar.

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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/20/01, Feb.
  2. Tomasz Serafin & Grzegorz Marcjasz & Rafal Weron, 2020, "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, number WORMS/20/17, Dec.
  3. 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, arXiv.org, number 2008.08004, Aug, revised Dec 2020.
  4. Grzegorz Marcjasz & Jesus Lago & Rafa{l} Weron, 2020, "Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs," Papers, arXiv.org, number 2008.08006, Aug.
  5. Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020, "PCA forecast averaging - predicting day-ahead and intraday electricity prices," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/20/02, Feb.
  6. Zbigniew Palmowski & Tomasz Serafin, 2020, "Note on simulation pricing of $\pi$-options," Papers, arXiv.org, number 2007.02076, Jul, revised Aug 2020.
  7. 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/20/08, May.
  8. 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/20/16, Aug.

2019

  1. Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemyslaw Zaleski & Rafal Weron, 2019, "Balancing RES generation: Profitability of an energy trader," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/07, Dec.
  2. 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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/19/08, Jun, revised 06 Jul 2019.
  3. Bartosz Uniejewski & Rafal Weron, 2019, "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/04, Nov.

2018

  1. Krzysztof Burnecki & Mario Nicol'o Giuricich & Zbigniew Palmowski, 2018, "Valuation of contingent convertible catastrophe bonds - the case for equity conversion," Papers, arXiv.org, number 1804.07997, Apr.
  2. Katarzyna Hubicka & Grzegorz Marcjasz & Rafal Weron, 2018, "A note on averaging day-ahead electricity price forecasts across calibration windows," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/18/03, Jul.
  3. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2018, "Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/18/05, Jul.
  4. Grzegorz Marcjasz & Tomasz Serafin & Rafal Weron, 2018, "Selection of calibration windows for day-ahead electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/18/06, Aug.
  5. Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron, 2018, "Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/18/07, Aug.
  6. Florian Ziel & Rafal Weron, 2018, "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers, arXiv.org, number 1805.06649, May.
  7. Bartosz Uniejewski & Rafal Weron, 2018, "Efficient forecasting of electricity spot prices with expert and LASSO models," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/18/02, Jun.
  8. Rafal Weron & Florian Ziel, 2018, "Electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/18/08, Sep.

2017

  1. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/02, May.
  2. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/03, Jul.
  3. Bartosz Uniejewski & Rafal Weron & Florian Ziel, 2017, "Variance stabilizing transformations for electricity spot price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/01, Feb.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/04, Nov.
  5. Pawel Maryniak & Rafal Weron, 2017, "Habitat momentum," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/05, Dec.

2016

  1. Jakub Nowotarski & Rafal Weron, 2016, "To combine or not to combine? Recent trends in electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/01, Jan.
  2. Katarzyna Maciejowska & Arkadiusz Jedrzejewski & Anna Kowalska-Pyzalska & Rafal Weron, 2016, "Impact of social interactions on demand curves for innovative products," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/04, Mar.
  3. Jakub Nowotarski & Rafal Weron, 2016, "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/05, Mar.
  4. Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron, 2016, "Automated variable selection and shrinkage for day-ahead electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/06, Jul.
  5. Jakub Nowotarski & Rafal Weron, 2016, "Recent advances in electricity price forecasting: A review of probabilistic forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/07, Sep.
  6. Florian Ziel & Rafal Weron, 2016, "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/08, Oct.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/10, Nov.

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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/15/04, Apr.
  2. Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron, 2015, "Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/01, Feb.
  3. Stefan Trück & Rafal Weron, 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 Science and Technology, number HSC/15/03.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/04.
  5. Jakub Nowotarski & Bidong Liu & Rafal Weron & Tao Hong, 2015, "Improving short term load forecast accuracy via combining sister forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/05, May.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/09, Oct.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/10, Oct.

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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/01, Jan.
  2. Rafal Weron, 2014, "A review of electricity price forecasting: The past, the present and the future," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/02, Mar.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/03, Apr.
  4. Rafal Weron & Michal Zator, 2014, "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/04, Mar.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/06, Apr.
  6. Rafal Weron, 2014, "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 Science and Technology, number HSC/14/07, May, DOI: 10.1016/j.ijforecast.2014.08.008.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/08, May.
  8. Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014, "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/09, Jun.
  9. Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014, "Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/10, Jul.
  10. Pawel Maryniak & Rafal Weron, 2014, "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/11, Aug.
  11. Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic, 2014, "Evaluating the performance of VaR models in energy markets," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/12, Oct.

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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/01, Feb, 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/02, Feb.
  3. Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron, 2013, "Diffusion of innovation within an agent-based model: Spinsons, independence and advertising," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/04, Mar.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/05, May.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/07, Aug.
  6. Rafal Weron & Michal Zator, 2013, "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/08, Oct.
  7. Katarzyna Sznajd-Weron & Janusz Szwabinski & Rafal Weron & Tomasz Weron, 2013, "Rewiring the network. What helps an innovation to diffuse?," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/09, Oct.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/10, Nov.
  9. Katarzyna Maciejowska & Rafal Weron, 2013, "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/11, Dec.
  10. Jakub Nowotarski & Rafal Weron, 2013, "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/12, Dec.

2012

  1. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/05.
  2. Joanna Janczura, 2012, "Pricing electricity derivatives within a Markov regime-switching model," Papers, arXiv.org, number 1203.5442, Mar.
  3. 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, University Library of Munich, Germany, number 39277, Jun.
  4. Joanna Janczura & Rafal Weron, 2012, "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/01.
  5. Marcin Magdziarz & Janusz Gajda, 2012, "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/04.
  6. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012, "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper, University Library of Munich, Germany, number 42563, Nov.
  7. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012, "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/02.

2011

  1. Joanna Janczura & Rafal Weron, 2011, "Black swans or dragon kings? A simple test for deviations from the power law," Papers, arXiv.org, number 1102.3712, Feb.
  2. Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011, "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/03.
  3. Janek, Agnieszka, 2011, "The vanna - volga method for derivatives pricing," MPRA Paper, University Library of Munich, Germany, number 36127, Jul.
  4. Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011, "Option pricing in subdiffusive Bachelier model," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/05, DOI: 10.1007/s10955-011-0310-z.
  5. Szajowski, Krzysztof, 2011, "Multi-variate quickest detection of significant change process," MPRA Paper, University Library of Munich, Germany, number 33838, Jul, revised 19 Sep 2011.
  6. Marek Teuerle & Piotr Zebrowski & Marcin Magdziarz, 2011, "Multidimensional Levy walk and its scaling limits," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/06.

2010

  1. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010, "Loss Distributions," MPRA Paper, University Library of Munich, Germany, number 22163.
    • Krzysztof Burnecki & Adam Misiorek & Rafał Weron, 2005, "Loss Distributions," Springer Books, Springer, chapter 13, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_13.
  2. Burnecki, Krzysztof & Weron, Rafal, 2010, "Simulation of Risk Processes," MPRA Paper, University Library of Munich, Germany, number 25444.
    • Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004, "Simulation of risk processes," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,01.
  3. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010, "Building Loss Models," MPRA Paper, University Library of Munich, Germany, number 25492, Sep.
    • Krzysztof Burnecki & Joanna Janczura & Rafał Weron, 2011, "Building loss models," Springer Books, Springer, chapter 9, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_9.
    • Krzysztof Burnecki & Joanna Janczura & Rafal Weron, 2010, "Building Loss Models," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/03.
    • Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafał, 2010, "Building loss models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-048.
  4. Krzysztof Burnecki & Marek Teuerle, 2010, "Ruin Probability in Finite Time," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/04.
    • Krzysztof Burnecki & Marek Teuerle, 2011, "Ruin probability in finite time," Springer Books, Springer, chapter 10, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_10.
  5. Janczura, Joanna & Weron, Rafal, 2010, "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper, University Library of Munich, Germany, number 20546, Feb.
  6. Janczura, Joanna & Weron, Rafal, 2010, "Goodness-of-fit testing for regime-switching models," MPRA Paper, University Library of Munich, Germany, number 22871, May.
  7. Janczura, Joanna & Weron, Rafal, 2010, "Modeling electricity spot prices: Regime switching models with price-capped spike distributions," MPRA Paper, University Library of Munich, Germany, number 23296, Jun.
  8. Weron, Rafal & Janczura, Joanna, 2010, "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper, University Library of Munich, Germany, number 26628, Nov.
  9. Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010, "FX Smile in the Heston Model," Papers, arXiv.org, number 1010.1617, Oct.
  10. Karpowicz, Anna & Szajowski, Krzysztof, 2010, "Anglers’ Fishing Problem," MPRA Paper, University Library of Munich, Germany, number 41800, Dec, revised 24 Jan 2012.
  11. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010, "Models for Heavy-tailed Asset Returns," MPRA Paper, University Library of Munich, Germany, number 25494, Sep.
  12. Adam Misiorek & Rafal Weron, 2010, "Heavy-tailed distributions in VaR calculations," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/05.
  13. Wylomanska-, Agnieszka, 2010, "Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution," MPRA Paper, University Library of Munich, Germany, number 28535, revised 2010.
  14. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010, "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper, University Library of Munich, Germany, number 28593.
  15. Magdalena Weglarz & Agnieszka Wylomanska, 2010, "Optimal bidding strategies on the power market based on the stochastic models," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/06.

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, University Library of Munich, Germany, number 18784, Apr.
  2. Janczura, Joanna & Wyłomańska, Agnieszka, 2009, "Subdynamics of financial data from fractional Fokker-Planck equation," MPRA Paper, University Library of Munich, Germany, number 30649, Jan.
  3. Weron, Rafal, 2009, "Forecasting wholesale electricity prices: A review of time series models," MPRA Paper, University Library of Munich, Germany, number 21299.
      Unknown
  4. Piotr Zielonka & Przemyslaw Sawicki & Rafal Weron, 2009, "Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/09/01.

2008

  1. Burnecki, Krzysztof & Pazdan-Siudeja, Liliana, 2008, "Equity-linked insurances and guaranteed annuity options," MPRA Paper, University Library of Munich, Germany, number 21658, Oct.
  2. Joanna Janczura & Aleksander Weron, 2008, "Modelling energy forward prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/08/03.
  3. Szajowski, Krzysztof, 2008, "On a random number of disorders," MPRA Paper, University Library of Munich, Germany, number 20256, Nov, revised 02 Jan 2010.
  4. 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, arXiv.org, number 0809.1534, Sep.
  5. Borak, Szymon & Weron, Rafal, 2008, "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper, University Library of Munich, Germany, number 10421, Jul.
  6. Weron, Rafal, 2008, "Heavy-tails and regime-switching in electricity prices," MPRA Paper, University Library of Munich, Germany, number 10424, May.
  7. Weron, Rafal & Misiorek, Adam, 2008, "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper, University Library of Munich, Germany, number 10428, Jun.
  8. Weron, Rafal, 2008, "Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
    [Power security: Risk > Risk management > Security]    ," MPRA Paper, University Library of Munich, Germany, number 18786, revised 2008.
  9. Sandro Sapio & Agnieszka Wylomanska, 2008, "The impact of forward trading on the spot power price volatility with Cournot competition," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/08/02.

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, University Library of Munich, Germany, number 2292, Mar, revised Oct 2007.
  2. Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2007, "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices," MPRA Paper, University Library of Munich, Germany, number 4711, Aug.

2006

  1. Krzysztof Burnecki & Rafal Weron, 2006, "Visualization tools for insurance risk processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/06.
  2. Muciek, Bogdan K. & Szajowski, Krzysztof J., 2006, "Optimal Stopping of a Risk Process when Claims are Covered immediately," MPRA Paper, University Library of Munich, Germany, number 19836, revised 2007.
  3. Weron, Rafal & Misiorek, Adam, 2006, "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper, University Library of Munich, Germany, number 1363.
  4. Rafal Weron & Adam Misiorek, 2006, "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/01.
  5. Adam Misiorek & Rafal Weron, 2006, "Interval forecasting of spot electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/05.
  6. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006, "Convenience yields for CO₂ emission allowance futures contracts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-076.
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/04.

2005

  1. Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal, 2005, "Modelling catastrophe claims with left-truncated severity distributions (extended version)," MPRA Paper, University Library of Munich, Germany, number 10423.
  2. Krzysztof Burnecki & Rafal Weron, 2005, "Modeling the risk process in the XploRe computing environment," Risk and Insurance, University Library of Munich, Germany, number 0502001, Feb.
  3. Rafal Weron, 2005, "Market price of risk implied by Asian-style electricity options," Econometrics, University Library of Munich, Germany, number 0502003, Feb.
  4. Rafal Weron & Adam Misiorek, 2005, "Modeling and forecasting electricity loads: A comparison," Econometrics, University Library of Munich, Germany, number 0502004, Feb.
  5. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005, "Modeling electricity prices with regime switching models," Econometrics, University Library of Munich, Germany, number 0502005, Feb.
  6. Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005, "On detecting and modeling periodic correlation in financial data," Econometrics, University Library of Munich, Germany, number 0502006, Feb.
  7. Rafal Weron & Adam Misiorek, 2005, "Forecasting Spot Electricity Prices With Time Series Models," Econometrics, University Library of Munich, Germany, number 0504001, Apr.
  8. Rafal Weron & Ingve Simonsen, 2005, "Blackouts, risk, and fat-tailed distributions," Risk and Insurance, University Library of Munich, Germany, number 0510001, Oct.
  9. Rafal Weron, 2005, "Heavy tails and electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/05/02.
  10. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005, "Stable distributions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-008.
    • Szymon Borak & Wolfgang Härdle & Rafał Weron, 2005, "Stable Distributions," Springer Books, Springer, chapter 1, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_1.

2004

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

2003

  1. Krzysztof Burnecki & Wolfgang Hardle & Rafal Weron, 2003, "An introduction to simulation of risk processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/04.
  2. Krzysztof Burnecki & Pawel Mista & Aleksander Weron, 2003, "A new De Vylder type approximation of the ruin probability in infinite time," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/05.
  3. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003, "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics, University Library of Munich, Germany, number 0303007, Mar.
  4. Rafal Weron, 2003, "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics, University Library of Munich, Germany, number 0305003, May.
  5. Rafal Weron & Michael Bierbrauer & Stefan Trück, 2003, "Modeling electricity prices: jump diffusion and regime switching," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/01, DOI: doi:10.1016/j.physa.2004.01.008.
  6. Aleksander Weron & Agnieszka Wylomanska, 2003, "On ARMA(1,q) models with bounded and periodically correlated solutions," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/03/03.

2002

  1. Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron, 2002, "On annuities under random rates of interest," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/01.
  2. Krzysztof Burnecki & Zbigniew Michna, 2002, "Simulation of Pickands constants," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/03.
  3. K. Sznajd-Weron & R. Weron, 2002, "How effective is advertising in duopoly markets?," Papers, arXiv.org, number cond-mat/0211058, Nov, revised Dec 2002.
  4. Mercik, Szymon & Weron, Rafal, 2002, "Origins of scaling in FX markets," MPRA Paper, University Library of Munich, Germany, number 2294, Jul.
  5. Joanna Nowicka-Zagrajek & Rafal Weron, 2002, "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/02, DOI: doi:10.1016/S0165-1684(02)00318-3.
  6. Rafal Weron, 2002, "Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/04.

2001

  1. Rafal Weron, 2001, "Measuring long-range dependence in electricity prices," Papers, arXiv.org, number cond-mat/0103621, Mar.
  2. Rafal Weron, 2001, "Estimating long range dependence: finite sample properties and confidence intervals," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/01/03, DOI: 10.1016/S0378-4371(02)00961-5.

2000

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

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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/99/01.

1998

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

1997

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

1996

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

1995

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

Journal articles

2026

  1. Puć, Andrzej & Janczura, Joanna, 2026, "Corrected Support Vector Regression for intraday point forecasting of prices in the continuous power market," International Journal of Forecasting, Elsevier, volume 42, issue 3, pages 796-815, DOI: 10.1016/j.ijforecast.2025.11.007.

2025

  1. Joanna Janczura, 2025, "Expectile regression averaging method for probabilistic forecasting of electricity prices," Computational Statistics, Springer, volume 40, issue 2, pages 683-700, February, DOI: 10.1007/s00180-024-01508-y.
  2. Serafin, Tomasz & Weron, Rafał, 2025, "Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading," Energy Economics, Elsevier, volume 148, issue C, DOI: 10.1016/j.eneco.2025.108596.
  3. Chȩć, Katarzyna & Uniejewski, Bartosz & Weron, Rafał, 2025, "Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market," Journal of Commodity Markets, Elsevier, volume 37, issue C, DOI: 10.1016/j.jcomm.2024.100449.

2024

  1. Janczura Joanna & Puć Andrzej & Bielak Łukasz & Wyłomańska Agnieszka, 2024, "Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors," Statistics & Risk Modeling, De Gruyter, volume 41, issue 1-2, pages 1-26, January, DOI: 10.1515/strm-2022-0012.
  2. Lipiecki, Arkadiusz & Uniejewski, Bartosz & Weron, Rafał, 2024, "Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression," Energy Economics, Elsevier, volume 139, issue C, DOI: 10.1016/j.eneco.2024.107934.
  3. Fotios Petropoulos & Gilbert Laporte & Emel Aktas & Sibel A. Alumur & Claudia Archetti & Hayriye Ayhan & Maria Battarra & Julia A. Bennell & Jean-Marie Bourjolly & John E. Boylan & Michèle Breton & Da, 2024, "Operational Research: methods and applications," Journal of the Operational Research Society, Taylor & Francis Journals, volume 75, issue 3, pages 423-617, March, DOI: 10.1080/01605682.2023.2253852.

2023

  1. 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, volume 446, issue C, DOI: 10.1016/j.amc.2023.127900.
  2. 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, volume 16, issue 2, pages 1-28, January.
  3. Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023, "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, volume 125, issue C, DOI: 10.1016/j.eneco.2023.106843.
  4. 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, volume 39, issue 2, pages 884-900, DOI: 10.1016/j.ijforecast.2022.03.001.
  5. 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, volume 33, issue 3, pages 105-118, DOI: 10.37190/ord230307.

2022

  1. 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, volume 154, issue C, DOI: 10.1016/j.chaos.2021.111606.
  2. 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, volume 10, issue 6, pages 1-16, June.
  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, volume 110, issue C, DOI: 10.1016/j.eneco.2022.106015.
  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, volume 10, issue 18, pages 1-29, September.
  5. Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022, "Trading on short-term path forecasts of intraday electricity prices," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106125.

2021

  1. Krzysztof Burnecki & Marek A. Teuerle & Aleksandra Wilkowska, 2021, "Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach," Risks, MDPI, volume 9, issue 5, pages 1-10, May.
  2. 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, volume 396, issue C, DOI: 10.1016/j.amc.2020.125902.
  3. 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, volume 74, issue C, DOI: 10.1016/j.resourpol.2021.102308.
  4. 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, volume 293, issue C, DOI: 10.1016/j.apenergy.2021.116983.
  5. 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, volume 14, issue 11, pages 1-17, June.
  6. Uniejewski, Bartosz & Weron, Rafał, 2021, "Regularized quantile regression averaging for probabilistic electricity price forecasting," Energy Economics, Elsevier, volume 95, issue C, DOI: 10.1016/j.eneco.2021.105121.

2020

  1. Balcerek, Michał & Burnecki, Krzysztof, 2020, "Testing of fractional Brownian motion in a noisy environment," Chaos, Solitons & Fractals, Elsevier, volume 140, issue C, DOI: 10.1016/j.chaos.2020.110097.
  2. Agnieszka Wyłomańska & D Robert Iskander & Krzysztof Burnecki, 2020, "Omnibus test for normality based on the Edgeworth expansion," PLOS ONE, Public Library of Science, volume 15, issue 6, pages 1-36, June, DOI: 10.1371/journal.pone.0233901.
  3. Joanna Janczura & Aleksandra Michalak, 2020, "Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts," Energies, MDPI, volume 13, issue 5, pages 1-16, February.
  4. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2020, "Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?," International Journal of Forecasting, Elsevier, volume 36, issue 2, pages 466-479, DOI: 10.1016/j.ijforecast.2019.07.002.
  5. Grzegorz Marcjasz, 2020, "Forecasting Electricity Prices Using Deep Neural Networks: A Robust Hyper-Parameter Selection Scheme," Energies, MDPI, volume 13, issue 18, pages 1-18, September.
  6. Grzegorz Marcjasz & Bartosz Uniejewski & Rafał Weron, 2020, "Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts," Energies, MDPI, volume 13, issue 7, pages 1-16, April.
  7. 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, volume 13, issue 1, pages 1-15, January.
  8. Zbigniew Palmowski & Tomasz Serafin, 2020, "A Note on Simulation Pricing of π -Options," Risks, MDPI, volume 8, issue 3, pages 1-19, August.
  9. Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020, "PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices," Energies, MDPI, volume 13, issue 14, pages 1-19, July.
  10. Krzysztof J. Szajowski & Kinga Włodarczyk, 2020, "Drivers’ Skills and Behavior vs. Traffic at Intersections," Mathematics, MDPI, volume 8, issue 3, pages 1-20, March.
  11. Krzysztof J. Szajowski, 2020, "Rationalization of detection of the multiple disorders," Statistical Papers, Springer, volume 61, issue 4, pages 1545-1563, August, DOI: 10.1007/s00362-020-01168-2.
  12. Aleksandra Grzesiek & Grzegorz Sikora & Marek Teuerle & Agnieszka Wyłomańska, 2020, "Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise," Journal of Time Series Analysis, Wiley Blackwell, volume 41, issue 3, pages 454-475, May, DOI: 10.1111/jtsa.12517.

2019

  1. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019, "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, volume 88, issue C, pages 238-254, DOI: 10.1016/j.insmatheco.2019.07.006.
  2. 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, volume 525, issue C, pages 498-513, DOI: 10.1016/j.physa.2019.03.073.
  3. Nitka, Weronika & Burnecki, Krzysztof, 2019, "Impact of solar activity on precipitation in the United States," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 527, issue C, DOI: 10.1016/j.physa.2019.121387.
  4. 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, volume 79, issue C, pages 171-182, DOI: 10.1016/j.eneco.2018.02.007.
  5. 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, volume 35, issue 4, pages 1520-1532, DOI: 10.1016/j.ijforecast.2017.11.009.
  6. 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, volume 35, issue 4, pages 1533-1547, DOI: 10.1016/j.ijforecast.2019.02.001.
  7. Tomasz Serafin & Bartosz Uniejewski & Rafał Weron, 2019, "Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, volume 12, issue 13, pages 1-12, July.
  8. Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019, "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, volume 79, issue C, pages 45-58, DOI: 10.1016/j.eneco.2018.06.003.
  9. Tomasz Antczak & Rafał Weron, 2019, "Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations," Data, MDPI, volume 4, issue 2, pages 1-4, May.

2018

  1. 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, volume 512, issue C, pages 644-657, DOI: 10.1016/j.physa.2018.08.134.
  2. Grzegorz Marcjasz & Tomasz Serafin & Rafał Weron, 2018, "Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting," Energies, MDPI, volume 11, issue 9, pages 1-20, September.
  3. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Paul R Nail & Katarzyna Sznajd-Weron, 2018, "Think then act or act then think?," PLOS ONE, Public Library of Science, volume 13, issue 11, pages 1-19, November, DOI: 10.1371/journal.pone.0206166.
  4. Wojciech Sarnowski & Krzysztof Szajowski, 2018, "Unspecified distributions in single disorder problem," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 34, issue 5, pages 700-717, September, DOI: 10.1002/asmb.2317.
  5. Ziel, Florian & Weron, Rafał, 2018, "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Energy Economics, Elsevier, volume 70, issue C, pages 396-420, DOI: 10.1016/j.eneco.2017.12.016.
  6. 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, volume 505, issue C, pages 591-600, DOI: 10.1016/j.physa.2018.03.086.
  7. Nowotarski, Jakub & Weron, Rafał, 2018, "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, volume 81, issue P1, pages 1548-1568, DOI: 10.1016/j.rser.2017.05.234.
  8. Bartosz Uniejewski & Rafał Weron, 2018, "Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models," Energies, MDPI, volume 11, issue 8, pages 1-26, August.

2017

  1. Burnecki, Krzysztof & Sikora, Grzegorz, 2017, "Identification and validation of stable ARFIMA processes with application to UMTS data," Chaos, Solitons & Fractals, Elsevier, volume 102, issue C, pages 456-466, DOI: 10.1016/j.chaos.2017.03.059.
  2. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017, "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, volume 5, issue 4, pages 1-19, December.
  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, volume 550, issue 7677, pages 543-547, October, DOI: 10.1038/nature24264.
  4. Kruczek, Piotr & Wyłomańska, Agnieszka & Teuerle, Marek & Gajda, Janusz, 2017, "The modified Yule-Walker method for α-stable time series models," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 469, issue C, pages 588-603, DOI: 10.1016/j.physa.2016.11.037.
  5. Jabłońska-Sabuka, Matylda & Teuerle, Marek & Wyłomańska, Agnieszka, 2017, "Bivariate sub-Gaussian model for stock index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 486, issue C, pages 628-637, DOI: 10.1016/j.physa.2017.05.080.

2016

  1. 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, volume 11, issue 11, pages 1-19, November, DOI: 10.1371/journal.pone.0166323.
  2. Dassios, Ioannis K. & Szajowski, Krzysztof J., 2016, "Bayesian optimal control for a non-autonomous stochastic discrete time system," Applied Mathematics and Computation, Elsevier, volume 274, issue C, pages 556-564, DOI: 10.1016/j.amc.2015.11.002.
  3. Szczurek, Andrzej & Maciejewska, Monika & Wyłomańska, Agnieszka & Sikora, Grzegorz & Balcerek, Michał & Teuerle, Marek, 2016, "Discrimination of particulate matter emission sources using stochastic methods," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 463, issue C, pages 452-466, DOI: 10.1016/j.physa.2016.06.071.
  4. Nowotarski, Jakub & Weron, Rafał, 2016, "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," Energy Economics, Elsevier, volume 57, issue C, pages 228-235, DOI: 10.1016/j.eneco.2016.05.009.
  5. Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao, 2016, "Improving short term load forecast accuracy via combining sister forecasts," Energy, Elsevier, volume 98, issue C, pages 40-49, DOI: 10.1016/j.energy.2015.12.142.
  6. Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał, 2016, "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 957-965, DOI: 10.1016/j.ijforecast.2014.12.004.
  7. 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, volume 62, issue C, pages 723-735, DOI: 10.1016/j.rser.2016.04.063.
  8. Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron, 2016, "Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting," Energies, MDPI, volume 9, issue 8, pages 1-22, August.
  9. 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., volume 36, issue 6, pages 587-611, June.

2015

  1. 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, volume 10, issue 2, pages 1-10, February, DOI: 10.1371/journal.pone.0117722.
  2. Krzysztof Burnecki & Agnieszka Wylomanska & Aleksei Chechkin, 2015, "Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem," PLOS ONE, Public Library of Science, volume 10, issue 12, pages 1-23, December, DOI: 10.1371/journal.pone.0145604.
  3. Szczurek, Andrzej & Maciejewska, Monika & Teuerle, Marek & Wyłomańska, Agnieszka, 2015, "Method to characterize collective impact of factors on indoor air," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 420, issue C, pages 190-199, DOI: 10.1016/j.physa.2014.10.094.
  4. Weron, Rafał & Zator, Michał, 2015, "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, volume 48, issue C, pages 1-6, DOI: 10.1016/j.eneco.2014.11.014.
  5. Jakub Nowotarski & Rafał Weron, 2015, "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," Computational Statistics, Springer, volume 30, issue 3, pages 791-803, September, DOI: 10.1007/s00180-014-0523-0.
  6. Katarzyna Maciejowska & Rafał Weron, 2015, "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, volume 30, issue 3, pages 805-819, September, DOI: 10.1007/s00180-014-0531-0.

2014

  1. 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), volume 79, issue 1, pages 1-30, February, DOI: 10.1007/s00186-013-0451-8.
  2. Weron, Rafał & Zator, Michał, 2014, "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, volume 44, issue C, pages 178-190, DOI: 10.1016/j.eneco.2014.03.007.
  3. Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014, "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, volume 46, issue C, pages 395-412, DOI: 10.1016/j.eneco.2014.07.014.
  4. 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, volume 72, issue C, pages 164-174, DOI: 10.1016/j.enpol.2014.04.021.
  5. 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, volume 30, issue 4, pages 1030-1081, DOI: 10.1016/j.ijforecast.2014.08.008.
  6. 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, volume 9, issue 11, pages 1-7, November, DOI: 10.1371/journal.pone.0112203.
  7. 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., volume 17, issue 01, pages 1-22, DOI: 10.1142/S0219525914500040.

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, volume 38, issue C, pages 96-110, DOI: 10.1016/j.eneco.2013.03.013.
  2. 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, volume 97, issue 3, pages 239-270, July, DOI: 10.1007/s10182-012-0202-9.
  3. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013, "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, volume 39, issue C, pages 13-27, DOI: 10.1016/j.eneco.2013.04.004.
  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, volume 29, issue 6, pages 648-651, November, DOI: 10.1002/asmb.1996.

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, volume 96, issue 3, pages 385-407, July, DOI: 10.1007/s10182-011-0181-2.
  2. Wyłomańska, Agnieszka, 2012, "Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 22, pages 5685-5696, DOI: 10.1016/j.physa.2012.05.072.

2011

  1. 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, volume 390, issue 18, pages 3136-3146, DOI: 10.1016/j.physa.2011.04.025.
  2. 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, volume 390, issue 23, pages 4379-4387, DOI: 10.1016/j.physa.2011.07.007.

2010

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

2009

  1. Magdziarz, Marcin, 2009, "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, volume 119, issue 10, pages 3238-3252, October.
  2. Magdziarz, Marcin, 2009, "Correlation cascades, ergodic properties and long memory of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, volume 119, issue 10, pages 3416-3434, October.
  3. 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), volume 69, issue 3, pages 457-473, July, DOI: 10.1007/s00186-008-0247-4.
  4. 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, volume 388, issue 4, pages 407-418, DOI: 10.1016/j.physa.2008.10.041.

2008

  1. 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, volume 387, issue 5, pages 1077-1087, DOI: 10.1016/j.physa.2007.10.024.
  2. Ramsey, David M. & Szajowski, Krzysztof, 2008, "Selection of a correlated equilibrium in Markov stopping games," European Journal of Operational Research, Elsevier, volume 184, issue 1, pages 185-206, January.
  3. Sarnowski, Wojciech & Szajowski, Krzysztof, 2008, "On-line detection of a part of a sequence with unspecified distribution," Statistics & Probability Letters, Elsevier, volume 78, issue 15, pages 2511-2516, October.
  4. Weron, Rafal, 2008, "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, volume 30, issue 3, pages 1098-1115, May.
  5. Weron, Rafal & Misiorek, Adam, 2008, "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 744-763.
  6. Agnieszka Wyłomańska, 2008, "Spectral measures of PARMA sequences," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 1, pages 1-13, January, DOI: 10.1111/j.1467-9892.2007.00541.x.

2007

  1. Szajowski, Krzysztof, 2007, "A game version of the Cowan-Zabczyk-Bruss' problem," Statistics & Probability Letters, Elsevier, volume 77, issue 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), volume 66, issue 2, pages 235-253, October, DOI: 10.1007/s00186-006-0132-y.

2006

  1. Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trück & Rafał Weron, 2006, "Modelling catastrophe claims with left-truncated severity distributions," Computational Statistics, Springer, volume 21, issue 3, pages 537-555, December, DOI: 10.1007/s00180-006-0011-2.
  2. 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, volume 10, issue 3, pages 1-36, September, DOI: 10.2202/1558-3708.1362.

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, volume 336, issue 1, pages 196-205, DOI: 10.1016/j.physa.2004.01.025.
  2. Weron, R & Bierbrauer, M & Trück, S, 2004, "Modeling electricity prices: jump diffusion and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 39-48, DOI: 10.1016/j.physa.2004.01.008.

2003

  1. Burnecki, Krzysztof & Marciniuk, Agnieszka & Weron, Aleksander, 2003, "Annuities under random rates of interest--revisited," Insurance: Mathematics and Economics, Elsevier, volume 32, issue 3, pages 457-460, July.
  2. Sznajd-Weron, K. & Weron, R., 2003, "How effective is advertising in duopoly markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 324, issue 1, pages 437-444, DOI: 10.1016/S0378-4371(02)01904-0.

2002

  1. Weron, Rafał, 2002, "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 312, issue 1, pages 285-299, DOI: 10.1016/S0378-4371(02)00961-5.
  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., volume 13, issue 01, pages 115-123, DOI: 10.1142/S0129183102003000.

2001

  1. Sznajd-Weron, K. & Weron, Rafał, 2001, "A new model of mass extinctions," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 293, issue 3, pages 559-565, DOI: 10.1016/S0378-4371(01)00019-X.
  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, volume 299, issue 1, pages 344-350, DOI: 10.1016/S0378-4371(01)00315-6.
  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., volume 12, issue 02, pages 209-223, DOI: 10.1142/S0129183101001614.

2000

  1. Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000, "Property insurance loss distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 287, issue 1, pages 269-278, DOI: 10.1016/S0378-4371(00)00453-2.
  2. Weron, Rafal & Przybyłowicz, Beata, 2000, "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 283, issue 3, pages 462-468, DOI: 10.1016/S0378-4371(00)00231-4.
  3. Weron, Rafal, 2000, "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 285, issue 1, pages 127-134, DOI: 10.1016/S0378-4371(00)00276-4.

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, volume 264, issue 3, pages 551-561, DOI: 10.1016/S0378-4371(98)00547-0.
  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, volume 264, issue 3, pages 562-569, DOI: 10.1016/S0378-4371(98)00551-2.
  3. Mercik, Szymon & Weron, Rafal, 1999, "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 267, issue 1, pages 239-250, DOI: 10.1016/S0378-4371(99)00019-9.

1996

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

Books

2011

  1. Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron (ed.), 2011, "Statistical Tools for Finance and Insurance," Springer Books, Springer, number 978-3-642-18062-0, ISBN: ARRAY(0x6f4d7f38), DOI: 10.1007/978-3-642-18062-0.
  2. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011, "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and 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 Science and Technology, number hsbook0601.

2005

  1. Pavel Čížek & Rafał Weron & Wolfgang Härdle, 2005, "Statistical Tools for Finance and Insurance," Springer Books, Springer, number 978-3-540-27395-0, ISBN: ARRAY(0x6eba1d80), DOI: 10.1007/b139025.
  2. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005, "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and 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 Science and 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 Science and 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, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Stéphane Goutte & Duc Khuong Nguyen, "HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations".

2011

  1. Krzysztof Burnecki & Marek Teuerle, 2011, "Ruin probability in finite time," Springer Books, Springer, chapter 10, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_10.
  2. Krzysztof Burnecki & Joanna Janczura & Rafał Weron, 2011, "Building loss models," Springer Books, Springer, chapter 9, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_9.
  3. Szymon Borak & Adam Misiorek & Rafał Weron, 2011, "Models for heavy-tailed asset returns," Springer Books, Springer, chapter 1, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_1.
  4. Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2011, "FX smile in the Heston model," Springer Books, Springer, chapter 4, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_4.

2006

  1. Rafał Weron & Ingve Simonsen, 2006, "Blackouts, risk, and fat-tailed distributions," Springer Books, Springer, in: Hideki Takayasu, "Practical Fruits of Econophysics", DOI: 10.1007/4-431-28915-1_39.

2005

  1. Krzysztof Burnecki & Adam Misiorek & Rafał Weron, 2005, "Loss Distributions," Springer Books, Springer, chapter 13, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_13.
    • Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010, "Loss Distributions," MPRA Paper, University Library of Munich, Germany, number 22163.
  2. Krzysztof Burnecki & Rafał Weron, 2005, "Modeling of the Risk Process," Springer Books, Springer, chapter 14, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_14.
  3. Krzysztof Burnecki & Paweł Miśta & Aleksander Weron, 2005, "Ruin Probabilities in Finite and Infinite Time," Springer Books, Springer, chapter 15, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_15.
  4. Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Agnieszka Wyłomańska, 2005, "Pure Risk Premiums under Deductibles," Springer Books, Springer, chapter 19, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_19.
  5. Krzysztof Burnecki & Grzegorz Kukla & David Taylor, 2005, "Pricing of Catastrophe Bonds," Springer Books, Springer, chapter 4, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_4.
    • Krzysztof Burnecki & Grzegorz Kukla & David Taylor, 2011, "Pricing of catastrophe bonds," Springer Books, Springer, chapter 12, in: Pavel Cizek & Wolfgang Karl Härdle & Rafał Weron, "Statistical Tools for Finance and Insurance", DOI: 10.1007/978-3-642-18062-0_12.
  6. Szymon Borak & Wolfgang Härdle & Rafał Weron, 2005, "Stable Distributions," Springer Books, Springer, chapter 1, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_1.
  7. Rafał Weron & Uwe Wystup, 2005, "Heston's Model and the Smile," Springer Books, Springer, chapter 7, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_7.

Software components

2023

  1. Weronika Nitka & Rafal Weron, 2023, "ORD_33_103_R_Data: R notebook and data to replicate the results presented in Nitka and Weron (2023) Operations Research and Decisions 33(3), 105-118," WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/C/23/01, revised .

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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/C/21/01, revised .
  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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/C/21/02, revised .
  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), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/C/21/03, revised .

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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number ZIP18001, revised .
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number ZIP18002, revised .

2017

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

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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M16001, revised .
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number ZIP16002, revised .

2014

  1. Rafal Weron, 2014, "DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M013004, revised .
  2. Rafal Weron, 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 Science and Technology, number M14002, revised .

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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M13001, revised .
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M13002, revised .
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M13003, revised .
  4. Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron, 2013, "The World According to Spinson (WAS): Standalone application for simulating agent-based models," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number ZIP13001, revised .
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number ZIP13002, revised .

2012

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

2011

  1. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11004, revised .
  2. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11005, revised .
  3. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11006, revised .
  4. Joanna Janczura & Rafal Weron, 2011, "PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11007, revised .
  5. Joanna Janczura & Rafal Weron, 2011, "PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11008, revised .
  6. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11009, revised .
  7. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11010, revised .
  8. 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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11011, revised .
  9. Rafal Weron, 2011, "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 Science and Technology, number M11001, revised .
  10. Rafal Weron, 2011, "DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11002, revised .
  11. Rafal Weron, 2011, "HURST: MATLAB function to compute the Hurst exponent using R/S Analysis," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M11003, revised .

2010

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

2008

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

2007

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

2006

  1. Rafal Weron, 2006, "PERIODOG: MATLAB function to compute and plot the periodogram of a time series," HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number M06001, revised .
  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, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number ZIP06001, revised .

1998

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

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