Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Investigating Market Microstructure and shOrt-term pRice forecasTing in intrA-day eLectricity markets

2016/23/G/HS4/01005

Keywords:

Electricity market Market microstructure Price forecasting

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

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: BEETHOVEN 2 - announced on 2016-09-15

Amount awarded: 768 300 PLN

Project start date (Y-m-d): 2018-03-01

Project end date (Y-m-d): 2023-02-28

Project duration:: 60 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. Monitor (638 PLN)
  2. Zasilacz UPS (1 387 PLN)
  3. Serwer obliczeniowy (37 125 PLN)

Information in the final report

  • Publication in academic press/journals (18)
  • Book publications / chapters in book publications (2)
  1. 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
  2. Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices
    Authors:
    K. Maciejowska, W. Nitka, T. Weron
    Academic press:
    Energy Economics (rok: 2021, tom: 99, strony: 105273), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2021.105273 - link to the publication
  3. Estimation and simulation of the transaction arrival process in intraday electricity markets
    Authors:
    M. Narajewski, F. Ziel
    Academic press:
    Energies (rok: 2019, tom: 12(23), strony: 4518), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en12234518 - link to the publication
  4. PCA forecast averaging—Predicting day-ahead and intraday electricity prices
    Authors:
    K. Maciejowska, B. Uniejewski, T. Serafin
    Academic press:
    Energies (rok: 2020, tom: 13(14), strony: 3530), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en13143530 - link to the publication
  5. Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO
    Authors:
    B. Uniejewski, G. Marcjasz, R. Weron
    Academic press:
    International Journal of Forecasting (rok: 2019, tom: 35(4), strony: 1533-1547), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2019.02.001 - link to the publication
  6. Beating the naive – Combining LASSO with naive intraday electricity price forecasts
    Authors:
    G. Marcjasz, B. Uniejewski, R. Weron
    Academic press:
    Energies (rok: 2020, tom: 13(7), strony: 1667), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en13071667 - link to the publication
  7. Conformal prediction interval estimation and applications to day-ahead and intraday power markets
    Authors:
    C. Kath, F. Ziel
    Academic press:
    International Journal of Forecasting (rok: 2021, tom: 37(2), strony: 777-799), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2020.09.006 - link to the publication
  8. Exogenous factors for order arrivals on the intraday electricity market
    Authors:
    A. Kramer, R. Kiesel
    Academic press:
    Energy Economics (rok: 2021, tom: 97, strony: 105186), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2021.105186 - link to the publication
  9. 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: 36(2), strony: 466-479), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2019.07.002 - link to the publication
  10. 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
  11. Econometric modelling and forecasting of intraday electricity prices
    Authors:
    M. Narajewski, F. Ziel
    Academic press:
    Journal of Commodity Markets (rok: 2020, tom: 19, strony: 100107), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jcomm.2019.100107 - link to the publication
  12. 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
  13. tsrobprep — an R package for robust preprocessing of time series data
    Authors:
    M. Narajewski, J. Kley-Holsteg, F. Ziel
    Academic press:
    SoftwareX (rok: 2021, tom: 16, strony: 100809), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.softx.2021.100809 - link to the publication
  14. Balancing generation from renewable energy sources: Profitability of an energy trader
    Authors:
    C. Kath, W. Nitka, T. Serafin, T. Weron, P. Zaleski, R. Weron
    Academic press:
    Energies (rok: 2020, tom: 13(1), strony: 205), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en13010205 - link to the publication
  15. Ensemble forecasting for intraday electricity prices: Simulating trajectories
    Authors:
    M. Narajewski, F. Ziel
    Academic press:
    Applied Energy (rok: 2020, tom: 279, strony: 115801), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.apenergy.2020.115801 - link to the publication
  16. Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs
    Authors:
    M. Narajewski, F. Ziel
    Academic press:
    Energy Economics (rok: 2022, tom: 110, strony: 105974), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2022.105974 - link to the publication
  17. Probabilistic forecasting of German electricity imbalance prices
    Authors:
    M. Narajewski
    Academic press:
    Energies (rok: 2022, tom: 15, strony: 4976), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en15144976 - link to the publication
  18. Trading on short-term path forecasts of intraday electricity prices
    Authors:
    T. Serafin, G. Marcjasz, R. Weron
    Academic press:
    Energy Economics (rok: 2022, tom: 112, strony: 106125), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2022.106125 - link to the publication
  1. Electricity price forecasting
    Authors:
    R. Weron, F. Ziel
    Book:
    Routledge Handbook of Energy Economics (rok: 2020, tom: ---, strony: 506-521), Wydawca: Routledge
    Status:
    Published
  2. -
    Authors:
    A. Kramer
    Book:
    Random intensity models with an application to intraday electricity markets (PhD Dissertation) (rok: 2022, tom: -, strony: 1-194), Wydawca: DuEPublico (University of Duisburg-Essen)
    Status:
    Published

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