Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

Probabilistic forecasting of electricity prices and demand for risk management purposes

2015/17/B/HS4/00334

Keywords:

Probabilistic forecast Electricity market Risk management

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance

Panel:

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

Host institution :

Politechnika Wrocławska, Wydział Informatyki i Zarządzania

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Rafał Weron 

Number of co-investigators in the project: 3

Call: OPUS 9 - announced on 2015-03-16

Amount awarded: 398 400 PLN

Project start date (Y-m-d): 2016-02-15

Project end date (Y-m-d): 2019-10-14

Project duration:: 44 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Serwer PowerEdge R7425 (39 200 PLN)

Information in the final report

  • Publication in academic press/journals (16)
  • Book publications / chapters in book publications (2)
  1. Automated variable selection and shrinkage for day-ahead electricity price forecasting
    Authors:
    B. Uniejewski, J. Nowotarski, R. Weron
    Academic press:
    Energies (rok: 2016, tom: 9(8), strony: 621), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en9080621 - link to the publication
  2. Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting
    Authors:
    T. Serafin, B. Uniejewski, R. Weron
    Academic press:
    Energies (rok: 2019, tom: 12(13), strony: 2561), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en12132561 - link to the publication
  3. On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks
    Authors:
    G. Marcjasz, B. Uniejewski, R. Weron
    Academic press:
    International Journal of Forecasting (rok: 2019, tom: 35(4), strony: 1520-1532), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2017.11.009 - link to the publication
  4. Selection of calibration windows for day-ahead electricity price forecasting
    Authors:
    G. Marcjasz, T. Serafin, R. Weron
    Academic press:
    Energies (rok: 2018, tom: 11(9), strony: 2364), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en11092364 - link to the publication
  5. Carbon pricing and electricity markets – The case of the Australian Clean Energy Bill
    Authors:
    P. Maryniak, S. Trück, R. Weron
    Academic press:
    Energy Economics (rok: 2019, tom: 79, strony: 45-58), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2018.06.003 - link to the publication
  6. Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period
    Authors:
    S. Trueck, R. Weron
    Academic press:
    Journal of Futures Markets (rok: 2016, tom: 36(6), strony: 587-611), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1002/fut.21780 - link to the publication
  7. Day-ahead vs. intraday – Forecasting the price spread to maximize economic benefits
    Authors:
    K. Maciejowska, W. Nitka, T. Weron
    Academic press:
    Energies (rok: 2019, tom: 12(4), strony: 631), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en12040631 - link to the publication
  8. Efficient forecasting of electricity spot prices with expert and LASSO models
    Authors:
    B. Uniejewski, R. Weron
    Academic press:
    Energies (rok: 2018, tom: 11(8), strony: 2039), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en11082039 - link to the publication
  9. A note on averaging day-ahead electricity price forecasts across calibration windows
    Authors:
    K. Hubicka, G. Marcjasz, R. Weron
    Academic press:
    IEEE Transactions on Sustainable Energy (rok: 2019, tom: 10(1), strony: 321-323), Wydawca: IEEE
    Status:
    Published
    DOI:
    10.1109/TSTE.2018.2869557 - link to the publication
  10. Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?
    Authors:
    G. Marcjasz, B. Uniejewski, R. Weron
    Academic press:
    International Journal of Forecasting (rok: 2020, tom: -, strony: -), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2019.07.002 - link to the publication
  11. Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
    Authors:
    F. Ziel, R. Weron
    Academic press:
    Energy Economics (rok: 2018, tom: 70, strony: 396-420), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2017.12.016 - link to the publication
  12. On the importance of the long-term seasonal component in day-ahead electricity price forecasting
    Authors:
    J. Nowotarski, R. Weron
    Academic press:
    Energy Economics (rok: 2016, tom: 57, strony: 228-235), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2016.05.009 - link to the publication
  13. On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting
    Authors:
    B. Uniejewski, G. Marcjasz, R. Weron
    Academic press:
    Energy Economics (rok: 2019, tom: 79, strony: 171-182), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2018.02.007 - link to the publication
  14. Recent advances in electricity price forecasting: A review of probabilistic forecasting
    Authors:
    J. Nowotarski, R. Weron
    Academic press:
    Renewable and Sustainable Energy Reviews (rok: 2018, tom: 81(1), strony: 1548-1568), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.rser.2017.05.234 - link to the publication
  15. To combine or not to combine? Recent trends in electricity price forecasting
    Authors:
    J. Nowotarski, R. Weron
    Academic press:
    ARGO (rok: 2016, tom: 9, strony: 45487), Wydawca: Iason Ltd.
    Status:
    Published
    DOI:
    brak - link to the publication
  16. Variance stabilizing transformations for electricity spot price forecasting
    Authors:
    B. Uniejewski, R. Weron, F. Ziel
    Academic press:
    IEEE Transactions on Power Systems (rok: 2018, tom: 33(2), strony: 2219-2229), Wydawca: IEEE
    Status:
    Published
    DOI:
    10.1109/TPWRS.2017.2734563 - link to the publication
  1. Electricity price forecasting
    Authors:
    K. Maciejowska, R. Weron
    Book:
    Wiley StatsRef: Statistics Reference Online (rok: 2019, tom: -, strony: -), Wydawca: Wiley
    Status:
    Published
  2. What is the probability of an electricity price spike? Evidence from the UK power market
    Authors:
    P. Maryniak, R. Weron
    Book:
    Handbook of Energy Finance: Theories, Practices and Simulations (rok: 2020, tom: -, strony: 231-245), Wydawca: World Scientific
    Status:
    Published

O Narodowym Centrum Nauki

Finansowanie nauki

Współpraca zagraniczna

Centrum prasowe

Deklaracja dostępności
Przetwarzanie danych osobowych
Polityka cookies

Partnerzy