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Modeling and forecasting wholesale electricity prices using regime-switching models

2011/01/B/HS4/01077

Keywords

Descriptors

  • HS4_3: Ekonometria i metody statystyczne
  • HS4_6: Rynki finansowe, bankowość, finanse przedsiębiorstw

Panel

HS4 – Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution

Politechnika Wrocławska

Voivodeship: dolnośląskie

Other projects carried out by the institution »

Principal investigator (from the host institution)

dr hab. Rafał Weron

Number of co-investigators in the project: 4

Call

OPUS 1 – announced on 2011-03-15

Amount awarded
329 600 PLN
Project start date
2011-12-01
Project end date
2014-11-30
Project duration
36 months (the same as in the proposal)
Project status
Project settled

Equipment purchased [PL]

  1. Komputer Notebook Sony. Cost: 8 800 PLN
  2. Komputer stacjonarny z monitorem I-23/T/569 (2 pcs). Cost: 14 000 PLN

Information in the final report

Publication in academic press/journals (14)

  1. Computing electricity spot price prediction intervals using quantile regression and forecast averaging

    Authors:
    J. Nowotarski, R. Weron
    Academic press:
    Computational Statistics (year: 2015, volume: 30(3), pages: 791-803), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00180-014-0523-0 – link to the publication

  2. Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships

    Authors:
    K. Maciejowska, R. Weron
    Academic press:
    Computational Statistics (year: 2015, volume: 30(3), pages: 805-819), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00180-014-0531-0 – link to the publication

  3. Efficient estimation of Markov regime-switching models: An application to electricity spot prices

    Authors:
    Joanna Janczura, Rafał Weron
    Academic press:
    AStA - Advances in Statistical Analysis (year: 2012, volume: 96(3), pages: 385-407), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s10182-011-0181-2 – link to the publication

  4. An empirical comparison of alternate schemes for combining electricity spot price forecasts

    Authors:
    J. Nowotarski, E. Raviv, S. Trück, R. Weron
    Academic press:
    Energy Economics (year: 2014, volume: 46, pages: 395-412), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2014.07.014 – link to the publication

  5. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs

    Authors:
    A. Kowalska-Pyzalska, K. Maciejowska, K. Suszczyński, K. Sznajd-Weron, R.Weron
    Academic press:
    Energy Policy (year: 2014, volume: 72, pages: 164-174), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.enpol.2014.04.021 – link to the publication

  6. Black swans or dragon kings? A simple test for deviations from the power law

    Authors:
    Joanna Janczura, Rafał Weron
    Academic press:
    European Physical Journal - Special Topics (year: 2012, volume: 205, pages: 79-93), Publisher: Springer
    Status:
    Published
    DOI:
    10.1140/epjst/e2012-01563-9 – link to the publication

  7. Electricity price forecasting: A review of the state-of-the-art with a look into the future

    Authors:
    R. Weron
    Academic press:
    International Journal of Forecasting (year: 2014, volume: 30, pages: 1030-1081), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2014.08.008 – link to the publication

  8. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling

    Authors:
    Joanna Janczura, Stefan Trueck, Rafał Weron, Rodney Wolff
    Academic press:
    Energy Economics (year: 2013, volume: 38, pages: 96-110), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2013.03.013 – link to the publication

  9. Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices

    Authors:
    Joanna Janczura, Rafał Weron
    Academic press:
    AStA - Advances in Statistical Analysis (year: 2013, volume: 97(3), pages: 239-270), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s10182-012-0202-9 – link to the publication

  10. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices

    Authors:
    Jakub Nowotarski, Jakub Tomczyk, Rafał Weron
    Academic press:
    Energy Economics (year: 2013, volume: 39, pages: 13-27), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2013.04.004 – link to the publication

  11. Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach

    Authors:
    J. Janczura
    Academic press:
    Mathematical Methods of Operations Research (year: 2014, volume: 79, pages: 46052), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00186-013-0451-8 – link to the publication

  12. A note on using the Hodrick-Prescott filter in electricity markets

    Authors:
    R. Weron, M. Zator
    Academic press:
    Energy Economics (year: 2015, volume: 48, pages: 46028), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2014.11.014 – link to the publication

  13. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market

    Authors:
    R. Weron, M. Zator
    Academic press:
    Energy Economics (year: 2014, volume: 44, pages: 178-190), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2014.03.007 – link to the publication

  14. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging

    Authors:
    K. Maciejowska, J. Nowotarski, R. Weron
    Status:
    Accepted for publication

Articles in post-conference publications (4)

  1. Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market

    Authors:
    K. Maciejowska, R. Weron
    Conference:
    10th International Conference on the European Energy Market (EEM'13) (year: 2014, pages: ---), Publisher: IEEE Conference Proceedings
    Date:
    conference 28-30 May 2013, Stockholm, Sweden
    Status:
    Published
    DOI:
    link to the publication

  2. Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices

    Authors:
    J. Nowotarski, J. Tomczyk, R. Weron
    Conference:
    10th International Conference on the European Energy Market (EEM'13) (year: 2014, pages: ---), Publisher: IEEE Conference Proceedings
    Date:
    conference 28-30 May 2013, Stockholm, Sweden
    Status:
    Published
    DOI:
    link to the publication

  3. Fundamental and speculative shocks, what drives electricity prices?

    Authors:
    K. Maciejowska
    Conference:
    11th International Conference on the European Energy Market (EEM'14) (year: 2014, pages: ---), Publisher: IEEE Conference Proceedings
    Date:
    conference 28-30 May 2014, Kraków, Poland
    Status:
    Published
    DOI:
    link to the publication

  4. Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices

    Authors:
    J. Nowotarski, R. Weron
    Conference:
    11th International Conference on the European Energy Market (EEM'14) (year: 2014, pages: ---), Publisher: IEEE Conference Proceedings
    Date:
    conference 28-30 May 2014, Kraków, Poland
    Status:
    Published
    DOI:
    link to the publication

Book publications / chapters in book publications (2)

  1. Modelling price spikes in electricity markets - the impact of load, weather and capacity

    Authors:
    R. Handika, C. Truong, S. Trück, R. Weron
    Book:
    Energy Pricing Models: Recent Advances, Methods, and Tools, ed. M. Prokopczuk (year: 2014, volume: I, pages: 195-221), Publisher: Palgrave Macmillan
    Status:
    Published

  2. Inference for Markov-regime switching models of electricity spot prices

    Authors:
    Joanna Janczura, Rafał Weron
    Book:
    Quantitative Energy Finance, eds. F.E. Benth, P. Laurence, V. Kholodnyi (year: 2014, volume: I, pages: 137-155), Publisher: Springer, Berlin
    Status:
    Published
    DOI:
    link to the publication

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Graphic design and implementation: Jakub Piotrowski