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Publications

by members of

Politechnika Wrocławska → Hugo Steinhaus Center for Stochastic Methods

Wroclaw University of Science and Technology

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

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.

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.

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.

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. Katarzyna Maciejowska & Weronika Nitka & Tomasz Weron, 2019, "Enhancing load, wind and solar generation forecasts in day-ahead forecasting of spot and intraday electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/08, Dec.

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.

2017

  1. 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.

2013

  1. 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.
  2. 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.

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. 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.
  3. Janusz Gajda, 2012, "Modeling of short term interest rate based on tempered fractional Langevin equation," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/03.
  4. Joanna Janczura, 2012, "Pricing electricity derivatives within a Markov regime-switching model," Papers, arXiv.org, number 1203.5442, Mar.
  5. 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.
  6. 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.
  7. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012, "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/06.

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. 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. 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.
  11. 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.
  12. 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. Sebastian Orzel & Aleksander Weron, 2009, "Calibration of the subdiffusive Black–Scholes model," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/09/02.

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. 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. Zbigniew Michna & Aleksander Weron, 2007, "Asymptotic behavior of the finite time ruin probability of a gamma Levy process," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/07/01.

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. 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. Ewa Broszkiewicz-Suwaj & Aleksander Weron, 2005, "Calibration of the multifactor HJM model for energy market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/05/03.
  4. 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.

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. 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.
  3. 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. 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.

2001

  1. Joanna Nowicka-Zagrajek & Aleksander Weron, 2001, "Dependence structure of stable R-GARCH processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/01/02.

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.

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. 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.

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.

1996

  1. Aleksander Janicki & Zbigniew Michna & Aleksander Weron, 1996, "Approximation of stochastic differential equations driven by alpha-stable Levy motion," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/96/02.

1994

  1. Aleksander Janicki & Aleksander Weron, 1994, "Can One See Alpha-stable Variables and Processes?," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/94/01.

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.

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.

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.

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.

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. Sznajd-Weron, Katarzyna & Sznajd, Józef & Weron, Tomasz, 2021, "A review on the Sznajd model — 20 years after," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 565, issue C, DOI: 10.1016/j.physa.2020.125537.
  5. Maciejowska, Katarzyna & Nitka, Weronika & Weron, Tomasz, 2021, "Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices," Energy Economics, Elsevier, volume 99, issue C, DOI: 10.1016/j.eneco.2021.105273.

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. 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.
  5. 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.

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. Katarzyna Maciejowska & Weronika Nitka & Tomasz Weron, 2019, "Day-Ahead vs. Intraday—Forecasting the Price Spread to Maximize Economic Benefits," Energies, MDPI, volume 12, issue 4, pages 1-15, February.

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. 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.

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. 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.
  2. Patryk Siedlecki & Janusz Szwabiński & Tomasz Weron, 2016, "The Interplay Between Conformity and Anticonformity and its Polarizing Effect on Society," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, volume 19, issue 4, pages 1-9.

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.

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.

2013

  1. Gajda, Janusz & Wyłomańska, Agnieszka, 2013, "Tempered stable Lévy motion driven by stable subordinator," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 392, issue 15, pages 3168-3176, DOI: 10.1016/j.physa.2013.03.018.
  2. 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.
  3. Joanna Janczura & Rafał Weron, 2013, "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 97, issue 3, pages 239-270, July, DOI: 10.1007/s10182-012-0202-9.

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. Magdalena Borgosz-Koczwara & Aleksander Weron & Agnieszka Wyłomańska, 2009, "Stochastic models for bidding strategies on oligopoly electricity market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 69, issue 3, pages 579-592, July, DOI: 10.1007/s00186-008-0252-7.
  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. 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.

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.

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.

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.

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.

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.

1997

  1. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997, "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, volume 20, issue 2, pages 97-114, September.

1995

  1. Janicki, Aleksander & Weron, Aleksander, 1995, "Computer simulation of attractors in stochastic models with α-stable noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 39, issue 1, pages 9-19, DOI: 10.1016/0378-4754(95)00132-H.

1992

  1. Leskow, Jacek & Weron, Aleksander, 1992, "Ergodic behavior and estimation for periodically correlated processes," Statistics & Probability Letters, Elsevier, volume 15, issue 4, pages 299-304, November.

1990

  1. Suchanecki, Zdzisław & Weron, Aleksander, 1990, "Characterizations of intrinsically random dynamical systems," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 166, issue 2, pages 220-228, DOI: 10.1016/0378-4371(90)90014-J.

1987

  1. Cambanis, Stamatis & Hardin, Clyde D. & Weron, Aleksander, 1987, "Ergodic properties of stationary stable processes," Stochastic Processes and their Applications, Elsevier, volume 24, issue 1, pages 1-18, February.

1981

  1. Chobanjan, S. A. & Weron, A., 1981, "Existence of the linear prediction for Banach space valued Gaussian processes," Journal of Multivariate Analysis, Elsevier, volume 11, issue 1, pages 69-80, March.
  2. Mandrekar, V. & Weron, A., 1981, "[alpha]-Stable characterization of Banach spaces (1," Journal of Multivariate Analysis, Elsevier, volume 11, issue 4, pages 572-580, December.

1976

  1. Makagon, A. & Weron, A., 1976, "Wold-Cramér concordance theorems for interpolation of q-variate stationary processes over locally compact Abelian groups," Journal of Multivariate Analysis, Elsevier, volume 6, issue 1, pages 123-137, March.

Books

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.

1994

  1. Aleksander Janicki & Aleksander Weron, 1994, "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook9401.

Chapters

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.

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.

Software components

2013

  1. 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 .
  2. 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 .
  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 .

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 .

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 .

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 .

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