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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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. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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
  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. 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
  13. 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
  14. 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
  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

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