Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Probabilistic forecasting as a tool for the optimization of decision processes in electricity markets

2019/35/D/HS4/00369

Keywords:

energy market optimization forecasting risk strategy

Descriptors:

  • HS4_003:
  • HS4_009:
  • HS4_006:

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):

dr Joanna Barbara Janczura 

Number of co-investigators in the project: 2

Call: SONATA 15 - announced on 2019-09-16

Amount awarded: 237 120 PLN

Project start date (Y-m-d): 2020-06-25

Project end date (Y-m-d): 2024-02-24

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.

Information in the final report

  • Publication in academic press/journals (8)
  1. 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
    Authors:
    Joanna Janczura, Edyta Wójcik
    Academic press:
    Energy Economics (rok: 2022, tom: 110, strony: 106015), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2022.106015 - link to the publication
  2. Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
    Authors:
    Łukasz Bielak, Aleksandra Grzesiek, Joanna Janczura, Agnieszka Wyłomańska
    Academic press:
    Resources Policy (rok: 2021, tom: 74, strony: 102308), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.resourpol.2021.102308 - link to the publication
  3. Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
    Authors:
    Łukasz Bielak, Aleksandra Grzesiek, Joanna Janczura, Agnieszka Wyłomańska
    Academic press:
    Resources Policy (rok: 2021, tom: 74, strony: 102308), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.resourpol.2021.102308 - link to the publication
  4. Expectile regression averaging method for probabilistic forecasting of electricity prices
    Authors:
    Joanna Janczura
    Academic press:
    Computational Statistics (rok: 2024, ), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00180-024-01508-y - link to the publication
  5. From multi- to univariate: a product random variable with an application to electricity market transactions. Pareto and Student's t distribution case
    Authors:
    Julia Adamska, Łukasz Bielak, Joanna Janczura, Agnieszka Wyłomańska
    Academic press:
    Mathematics (rok: 2022, tom: 10, strony: 3371), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/math10183371 - link to the publication
  6. From multi- to univariate: a product random variable with an application to electricity market transactions. Pareto and Student's t distribution case
    Authors:
    Julia Adamska, Łukasz Bielak, Joanna Janczura, Agnieszka Wyłomańska
    Academic press:
    Mathematics (rok: 2022, tom: 10, strony: 3371), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/math10183371 - link to the publication
  7. Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors
    Authors:
    J. Janczura, A. Puć, Ł. Bielak, A. Wyłomańska
    Academic press:
    Statistics & Risk Modeling (rok: 2024, tom: 41, strony: 45683), Wydawca: De Gruyter
    Status:
    Published
    DOI:
    10.1515/strm-2022-0012 - link to the publication
  8. ARX-GARCH probabilistic price forecasts for diversification of trade in electricity markets - variance stabilizing transformation and financial risk-minimizing portfolio allocation
    Authors:
    Joanna Janczura, Andrzej Puć
    Academic press:
    Energies (rok: 2023, tom: 16, strony: 807), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en16020807 - link to the publication

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