Rafał Weron: Publications

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Monographs and reviews

J. Nowotarski, R. Weron (2018) Recent advances in electricity price forecasting: A review of probabilistic forecasting, Renewable and Sustainable Energy Reviews 81(1), 1548-1568 (doi: 10.1016/j.rser.2017.05.234).
R. Weron (2014) Electricity price forecasting: A review of the state-of-the-art with a look into the future, International Journal of Forecasting 30(4), 1030-1081 (Invited Paper; doi: 10.1016/j.ijforecast.2014.08.008).

P. Cizek, W.Härdle, R. Weron, eds. (2011) Statistical Tools for Finance and Insurance (2nd edition), Springer-Verlag, Berlin. Extended and revised edition with codes in Matlab and R.
R. Weron (2006) Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach, Wiley, Chichester + CD-ROM. Pre-publication limited edition released in January 2006 as: Modeling and Forecasting Loads and Prices in Deregulated Electricity Markets, ARE, Warszawa.

“Dr. Weron’s book provides an in-depth, up-to-date and very well organized review (…) and is highly recommended to any practitioner of the modern electricity markets” – Vince Kaminski (Citigroup & Rice University) [from back cover]
P. Cizek, W. Härdle, R. Weron, eds. (2005) Statistical Tools for Finance and Insurance, Springer-Verlag, Berlin. Available also in HTML.

“The book (…) is worth having for the range of topics and the references alone” – Nicholas H. Bingham (University of Sheffield) [Full text]
A. Weron, R. Weron (2000) Giełda Energii: Strategie zarządzania ryzykiem, CIRE, Wrocław.
A. Weron, R. Weron (1998, 1999, 2005, 2009) Inżynieria finansowa: Wycena instrumentów pochodnych, Symulacje komputerowe, Statystyka rynku, WNT, Warszawa. Nagroda Specjalna za najlepszą książkę akademicką z dziedziny finansów, V Targi Książki Akademickiej ATENA’98.

Peer-reviewed articles in JCR-listed journals

2018 (10+), 2017 (1), 2016 (9), 2015 (3), 2014 (7), 2013 (4), 2012 (3), 2011 (0), 2010 (1), 2009 (3), 2008 (3), 2007 (1), 2006 (2), 2005 (0), 2004 (2), 2003 (1), 2002 (4), 2001 (3), 2000 (4), 1999 (4), Pre-PhD (2)
Including review articles, listed under “Monographs and reviews” above

  1. K. Hubicka, G. Marcjasz, R. Weron (2018) A note on averaging day-ahead electricity price forecasts across calibration windows, IEEE Transactions on Sustainable Energy (doi: 10.1109/TSTE.2018.2869557). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1803.html
  2. G. Marcjasz, T. Serafin, R. Weron (2018) Selection of calibration windows for day-ahead electricity price forecasting, Energies 11(9), 2364 (doi: 10.3390/en11092364). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1806.html
  3. G. Marcjasz, B. Uniejewski, R. Weron (2018) Importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks, International Journal of Forecasting (doi: 10.1016/j.ijforecast.2017.11.009). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1703.html
  4. P. Maryniak, S. Trück, R. Weron (2018) Carbon pricing and electricity markets – The case of the Australian Clean Energy Bill, Energy Economics (doi: 10.1016/j.eneco.2018.06.003). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1610.html
  5. J. Nowotarski, R. Weron (2018) Recent advances in electricity price forecasting: A review of probabilistic forecasting, Renewable and Sustainable Energy Reviews 81(1), 1548-1568 (doi: 10.1016/j.rser.2017.05.234). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1607.html
  6. B. Uniejewski, G. Marcjasz, R. Weron (2018) On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting, Energy Economics (doi: 10.1016/j.eneco.2018.02.007). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1702.html
  7. B. Uniejewski, R. Weron (2018) Efficient forecasting of electricity spot prices with expert and LASSO models, Energies 11(8), 2039  (doi: 10.3390/en11082039)
  8. B. Uniejewski, R. Weron, F. Ziel (2018) Variance stabilizing transformations for electricity spot price forecasting, IEEE Transactions on Power Systems 33(2), 2219-2229 (doi: 10.1109/TPWRS.2017.2734563). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1701.html
  9. T. Weron, A. Kowalska-Pyzalska, R. Weron (2018) The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach, Physica A 505, 591-600 (doi: 10.1016/j.physa.2018.03.086). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1704.html
  10. F. Ziel, R. Weron (2018) Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks, Energy Economics 70, 396-420 (doi: 10.1016/j.eneco.2017.12.016). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1608.html
  11. B. Liu, J. Nowotarski, T. Hong, R. Weron (2017) Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts, IEEE Transactions on Smart Grid 8(2), 730-737 (doi: 10.1109/TSG.2015.2437877). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1501.html
  12. K. Byrka, A. Jędrzejewski, K. Sznajd-Weron, R. Weron (2016) Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices, Renewable and Sustainable Energy Reviews 62, 723-735 (doi: 10.1016/j.rser.2016.04.063). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1510.html
  13. R. Gawda, T. Czarnik, R. Weron, J. Nowotarski (2016) A new infraclavicular landmark-based approach to the axillary vein as an alternative method of central venous cannulation, Journal of Vascular Access 17(3), 273-278 (doi: 10.5301/jva.5000504)
  14. K. Maciejowska, A. Jędrzejewski, A. Kowalska-Pyzalska, R. Weron (2016) Impact of social interactions on demand curves for innovative products, Acta Physica Polonica A 129(5), 1045-1049  (doi:  10.12693/APhysPolA.129.1045). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1604.html
  15. K. Maciejowska, J. Nowotarski, R. Weron (2016) Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging, International Journal of Forecasting 32, 957-965 (doi: 10.1016/j.ijforecast.2014.12.004). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1409.html
  16. K. Maciejowska, R. Weron (2016) Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals, IEEE Transactions on Power Systems 31(2), 994-1005 (doi: 10.1109/TPWRS.2015.2416433). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1504.html
  17. J. Nowotarski, B. Liu, R. Weron, T. Hong (2016) Improving short term load forecast accuracy via combining sister forecasts, Energy 98, 40-49 (doi: 10.1016/j.energy.2015.12.142). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1505.html
  18. J. Nowotarski, R. Weron (2016) On the importance of the long-term seasonal component in day-ahead electricity price forecasting, Energy Economics 57, 228-235 (doi: 10.1016/j.eneco.2016.05.009). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1605.html Matlab codes and data available from RePEc: https://ideas.repec.org/c/wuu/hscode/z16002.html
  19. S. Trück, R. Weron (2016) Convenience yields and risk premiums in the EU-ETS – Evidence from the Kyoto commitment period, Journal of Futures Markets 36(6), 587-611 (doi: 10.1002/fut.21780). Earlier working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1503.html
  20. B. Uniejewski, J. Nowotarski, R. Weron (2016) Automated variable selection and shrinkage for day-ahead electricity price forecasting, Energies 9(8), 621  (doi: 10.3390/en9080621). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1606.html
  21. K. Maciejowska, R. Weron (2015) Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships, Computational Statistics 30(3), 805-819  (doi:10.1007/s00180-014-0531-0). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1311.html
  22. J. Nowotarski, R. Weron (2015) Computing electricity spot price prediction intervals using quantile regression and forecast averaging, Computational Statistics 30(3), 791-803 (doi: 10.1007/s00180-014-0523-0). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1312.html Matlab code available from RePEc: https://ideas.repec.org/c/wuu/hscode/m14003.html
  23. R. Weron, M. Zator (2015) A note on using the Hodrick-Prescott filter in electricity markets, Energy Economics 48, 1-6 (doi: 10.1016/j.eneco.2014.11.014). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1404.html
  24. A. Kowalska-Pyzalska, K. Maciejowska, K. Suszczyński, K. Sznajd-Weron, R.Weron (2014) Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs, Energy Policy 72, 164-174 (doi:10.1016/j.enpol.2014.04.021). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1310.html
  25. J. Nowotarski, E. Raviv, S. Trück, R. Weron (2014) An empirical comparison of alternate schemes for combining electricity spot price forecasts, Energy Economics 46, 395-412 (doi: 10.1016/j.eneco.2014.07.014). Earlier working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1307.html
  26. P. Przybyła, K. Sznajd-Weron, R. Weron (2014) Diffusion of innovation within an agent-based model: Spinsons, independence and advertising, Advances in Complex Systems 17(1), 1450004 (doi: 10.1142/S0219525914500040). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1304.html
  27. K. Sznajd-Weron, J. Szwabiński, R. Weron (2014) Is the person-situation debate important for agent-based modeling and vice versa?, PLoS ONE 9(11), e112203  (doi: 10.1371/journal.pone.0112203)
  28. K. Sznajd-Weron, J. Szwabiński, R. Weron, T. Weron (2014) Rewiring the network. What helps an innovation to diffuse?, Journal of Statistical Mechanics P03007 (doi:10.1088/1742-5468/2014/03/P03007). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1309.html
  29. R. Weron (2014) Electricity price forecasting: A review of the state-of-the-art with a look into the future, International Journal of Forecasting 30(4), 1030-1081 (Invited Paper; doi: 10.1016/j.ijforecast.2014.08.008). See also Monographs and reviews above.
  30. R. Weron, M. Zator (2014) Revisiting the relationship between spot and futures prices in the Nord Pool electricity market, Energy Economics 44, 178-190 (doi:10.1016/j.eneco.2014.03.007). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1308.html
  31. J. Nowotarski, J. Tomczyk, R. Weron (2013) Robust estimation and forecasting of the long-term seasonal component of electricity spot prices, Energy Economics 39, 13-27 (doi:10.1016/j.eneco.2013.04.004). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1206.html Matlab codes available from RePEc: http://ideas.repec.org/s/wuu/hscode.html
  32. J. Janczura, S. Trück, R. Weron, R. Wolff (2013) Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling, Energy Economics 38, 96-110 (doi:10.1016/j.eneco.2013.03.013). Working paper version available from MPRA: http://mpra.ub.uni-muenchen.de/39277/
  33. J. Janczura, R. Weron (2013) Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices, AStA – Advances in Statistical Analysis 97(3), 239-270  (doi:10.1007/s10182-012-0202-9). Working paper version available from MPRA: http://mpra.ub.uni-muenchen.de/36461/
  34. R. Weron, J. Taylor (2013) Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’, Applied Stochastic Models in Business and Industry 29, 648-651 (doi:10.1002/asmb.1996).
  35. P. Bieńkowski, K. Burnecki, J. Janczura, R. Weron, B. Zubrzak (2012) A new method for automated noise cancellation in electromagnetic field measurement, Journal of Electromagnetic Waves and Applications 26(8-9), 1226-1236. Matlab code available from RePEc: https://ideas.repec.org/c/wuu/hscode/m12005.html
  36. J. Janczura, R. Weron (2012) Efficient estimation of Markov regime-switching models: An application to electricity spot prices, AStA – Advances in Statistical Analysis 96(3), 385-407  (doi:10.1007/s10182-011-0181-2). Earlier Working Paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1102.html. Matlab codes available from RePEc: http://ideas.repec.org/s/wuu/hscode.html
  37. J. Janczura, R. Weron (2012) Black swans or dragon kings? A simple test for deviations from the power law, European Physical Journal – Special Topics (EPJ ST) 205, 79-93 (doi: 10.1140/epjst/e2012-01563-9). Working paper versions available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1101.html, MPRA: http://mpra.ub.uni-muenchen.de/32489/, arXiv.org: http://arxiv.org/abs/1102.3712v1. Matlab codes available from RePEc: https://ideas.repec.org/c/wuu/hscode/m12001.html, https://ideas.repec.org/c/wuu/hscode/m12002.html
  38. J. Janczura, R. Weron (2010) An empirical comparison of alternate regime-switching models for electricity spot prices, Energy Economics 32, 1059-1073 (doi:10.1016/j.eneco.2010.05.008). Working paper version available from MPRA: http://mpra.ub.uni-muenchen.de/22876
  39. T. Czarnik, R. Gawda, W. Kołodziej, D. Łątka, K. Sznajd-Weron, R. Weron (2009) Associations between intracranial pressure, intraocular pressure and mean arterial pressure in patients with traumatic and non-traumatic brain injuries, Injury 40, 33-39.
  40. T. Czarnik, R. Gawda, T. Perkowski, R. Weron (2009) Supraclavicular approach is an easy and safe method of subclavian vein catheterization even in mechanically ventilated patients, Anesthesiology 111, 334-339.
  41. R. Weron (2009) Heavy-tails and regime-switching in electricity prices, Mathematical Methods of Operations Research 69(3), 457-473 (doi: 10.1007/s00186-008-0247-4). Available from MPRA: http://mpra.ub.uni-muenchen.de/10424/
  42. K. Sznajd-Weron, R. Weron, M. Włoszczowska (2008) Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland, Journal of Statistical Mechanics P11018 (doi: 10.1088/1742-5468/2008/11/P11018). Available from MPRA: http://mpra.ub.uni-muenchen.de/10422/
  43. R. Weron (2008) Market price of risk implied by Asian-style electricity options and futures, Energy Economics 30, 1098-1115 (doi:10.1016/j.eneco.2007.05.004).
  44. R. Weron, A. Misiorek (2008) Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models, International Journal of Forecasting 24, 744-763 (doi:10.1016/j.ijforecast.2008.08.004). Available from MPRA: http://mpra.ub.uni-muenchen.de/10428/
  45. T. Czarnik, R. Gawda, D. Łątka, W. Kołodziej, K. Sznajd-Weron, R. Weron (2007) Noninvasive measurement of intracranial pressure: Is it possible?, The Journal of Trauma: Injury, Infection and Critical Care 62(1), 207-211.
  46. A. Chernobai, K. Burnecki, S.T. Rachev, S. Trück, R. Weron (2006) Modelling catastrophe claims with left-truncated severity distributions, Computational Statistics 21(3-4); 537-555.
  47. A. Misiorek, S. Trück, R. Weron (2006) Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models, Studies in Nonlinear Dynamics and Econometrics 10(3), Article 2 (doi: 10.2202/1558-3708.1362). Matlab codes and data available from RePEc: https://ideas.repec.org/c/wuu/hscode/zip06001.html
  48. E. Broszkiewicz-Suwaj, A. Makagon, R. Weron, A. Wyłomańska (2004) On detecting and modeling periodic correlation in financial data, Physica A 336, 196-205.
  49. R. Weron, M. Bierbrauer, S. Trück (2004) Modeling electricity prices: jump diffusion and regime switching, Physica A 336, 39-48.
  50. K. Sznajd-Weron, R. Weron (2003) How effective is advertising in duopoly markets?, Physica A 324, 437-444.
  51. J. Nowicka-Zagrajek, R. Weron (2002) Modeling electricity loads in California: ARMA models with hyperbolic noise, Signal Processing 82, 1903-1915.
  52. K. Sznajd-Weron, R.Weron (2002) A simple model of price formation, International Journal of Modern Physics C 13, 115-123.
  53. R. Weron (2002) Estimating long range dependence: finite sample properties and confidence intervals, Physica A 312, 285-299.
  54. R. Weron (2002) Pricing European options on instruments with a constant dividend yield: the randomized discrete-time approach, Probability and Mathematical Statistics 22.2, 417-430  (URL: PMS.22.2.15).
  55. K. Sznajd-Weron, R. Weron (2001) A new model of mass extinctions, Physica A 293, 559-565.
  56. R. Weron (2001) Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime, International Journal of Modern Physics C 12 (2), 209-223.
  57. R. Weron, B. Kozłowska, J. Nowicka-Zagrajek (2001) Modeling electricity loads in California: a continuous-time approach, Physica A 299, 344-350.
  58. K. Burnecki, G. Kukla, R. Weron (2000) Property insurance loss distributions, Physica A 287, 269-278.
  59. A. Weron, R. Weron (2000) Fractal Market Hypothesis and two power-laws, Chaos, Solitons & Fractals 11, 289-296.
  60. R. Weron (2000) Energy price risk management, Physica A 285, 127-134.
  61. R. Weron, B. Przybyłowicz (2000) Hurst analysis of electricity price dynamics, Physica A 283, 462-468.
  62. Sz. Mercik, R. Weron (1999) Scalling in currency exchange: A Conditionally Exponential Decay approach, Physica A 267, 239-250.
  63. Z. Rachev, A. Weron, R. Weron (1999) CED model for asset returns and Fractal Market Hypothesis,  Mathematical and Computer Modelling 29, 23-36.
  64. A. Weron, Sz. Mercik, R. Weron (1999) Origins of the scaling behaviour in the dynamics of financial data, Physica A 264, 562-569.
  65. R. Weron, K. Weron, A. Weron (1999) A Conditionally Exponential Decay approach to scaling in finance, Physica A 264, 551-561.
  66. A. Rejman, A. Weron, R. Weron (1997) Some option pricing proposals: A comparison under the generalized hyperbolic model, Communications in Statistics – Stochastic Models 13, 867-885.
  67. R. Weron (1996) On the Chambers-Mallows-Stuck method for simulating skewed stable random variables, Statistics and Probability Letters 28, 165-171.

Peer-reviewed articles in non JCR-listed journals

2018 (0+), 2017 (0), 2016 (1), 2010-2015 (0), 2009 (1), 2008 (1), 2007 (0), 2006 (1), 2005 (1), 2004 (1), 2003 (0), 2002 (0), 2001 (1), 2000 (1)

  1. J. Nowotarski, R. Weron (2016) To combine or not to combine? Recent trends in electricity price forecasting, ARGO 9, 7-14.  Available from ARGO Website. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1601.html
  2. P. Zielonka, P. Sawicki, R. Weron (2009) Rzecz o dyskontowaniu odroczonych wypłat [Discounting of delayed payoffs], Decyzje 11, 49-70.
  3. S. Borak, R. Weron (2008) A semiparametric factor model for electricity forward curve dynamics, Journal of Energy Markets 1(3), 3-16. Available from MPRA: http://mpra.ub.uni-muenchen.de/10421/
  4. A. Misiorek, R. Weron (2006) Zwiększenie dokładności prognoz ceny energii poprzez zastosowanie preprocessingu oraz modeli nieliniowych [Improving accuracy of electricity spot price forecasts by applying preprocessing and nonlinear time series models], Przegląd Elektrotechniczny LXXXII, vol. 9, 44-46.
  5. R. Weron, S. Wójcik (2005) Analiza składowych głównych w modelowaniu powierzchni implikowanej zmienności. Wprowadzenie [Principal components analysis in modeling implied volatility surfaces: An introduction], Rynek Terminowy 27, 103-108.
  6. A. Misiorek, R. Weron (2004)  Modelowanie sezonowości a prognozowanie zapotrzebowania na energię elektryczną [Modeling seasonality and electric load forecasting], Energetyka 12/2004, 794-799.
  7. J. Nowicka-Zagrajek, R. Weron (2001) Modelowanie cen i zapotrzebowania na energię elektryczną: szeregi czasowe z szumem hiperbolicznym [Modeling electricity loads and prices: time series models with hiperbolic noise], Rynek Terminowy 14 (4/01), 96-100.
  8. R. Weron, S. Staśkiewicz, P. Talar (2000) Zastosowanie VaR na rynku energii [Using VaR on the power market], Rynek Terminowy 9 (3/00), 66-69.

Book chapters

2018 (0+), 2017 (0), 2016 (0), 2015 (1), 2014 (2), 2013 (0), 2012 (1), 2011 (3), 2010 (0), 2009 (0), 2008 (1), 2007 (0), 2006 (1), 2005 (4), 2004 (2)

  1. S. Trück, W. Härdle, R. Weron (2015) The relationship between spot and futures CO2 emission allowance prices in the EU-ETS, in “Emissions Trading as a Policy Instrument”, eds. M. Gronwald, B. Hintermann, MIT Press, 183-212. Earlier working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1202.html
  2. R. Handika, C. Truong, S. Trück, R. Weron (2014) Modelling price spikes in electricity markets – the impact of load, weather and capacity, in “Energy Pricing Models: Recent Advances, Methods, and Tools”, ed. M. Prokopczuk, Palgrave Macmillan, 195-221. Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1408.html
  3. J. Janczura, R. Weron (2014) Inference for Markov-regime switching models of electricity spot prices, in: “Quantitative Energy Finance”, eds. F.E. Benth, P. Laurence, V. Kholodnyi, Springer, 137-155 (doi: 10.1007/978-1-4614-7248-3_5). Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1201.html
  4. A. Misiorek, R. Weron (2012) Heavy-tailed distributions in VaR calculations, in “Handbook of Computational Statistics: Concepts and Methods (2nd ed)”, eds. J.E. Gentle, W. Härdle, Y. Mori, Springer, 1025-1059. Available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1005.html
  5. Sz. Borak, A. Misiorek, R. Weron (2011) Models for heavy-tailed asset returns, in “Statistical Tools for Finance and Insurance (2nd ed)”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 21-56. Preprint version Available from MPRA: http://mpra.ub.uni-muenchen.de/25494/
  6. K. Burnecki, J. Janczura, R. Weron (2011) Building loss models, in “Statistical Tools for Finance and Insurance (2nd ed)”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 293-328. Preprint version Available from MPRA: http://mpra.ub.uni-muenchen.de/25492/
  7. A. Janek, T. Kluge, R. Weron, U. Wystup (2011) FX smile in the Heston model, in “Statistical Tools for Finance and Insurance (2nd ed)”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 133-162. Preprint version Available from MPRA: http://mpra.ub.uni-muenchen.de/25491/, arXiv.org: http://arxiv.org/abs/1010.1617
  8. K. Burnecki, R. Weron (2008) Visualization Tools for Insurance Risk Processes, in “Handbook of Data Visualization”, eds. Ch. Chen, W. Härdle, A. Unwin, Springer, Berlin, 899-920.
  9. R. Weron, A. Misiorek (2006) Short-term Electricity Price Forecasting with Time Series Models: A Review and Evaluation, in “Complex Electricity Markets”, ed. W. Mielczarski, SEP Łódź, 231-254.
  10. Sz. Borak, W. Härdle, R. Weron (2005) Stable distributions, in “Statistical Tools for Finance and Insurance”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 21-44.
  11. K. Burnecki, A. Misiorek, R. Weron (2005) Loss distributions, in “Statistical Tools for Finance and Insurance”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 289-317. Revised version available from MPRA: http://mpra.ub.uni-muenchen.de/22163/
  12. K. Burnecki, R. Weron (2005) Modeling of the Risk Process, in “Statistical Tools for Finance and Insurance”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 319-339. Revised version available from MPRA: http://mpra.ub.uni-muenchen.de/25444/
  13. R. Weron, U. Wystup (2005) Heston’s model and the smile, in “Statistical Tools for Finance and Insurance”, eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 161-181.
  14. K. Burnecki, W. Härdle, R. Weron (2004) Simulation of risk processes, in “Encyclopedia of Actuarial Science”, eds. J. Teugels, B. Sundt, Wiley, Chichester, 1564-1570.
  15. R. Weron (2004) Computationally intensive Value at Risk calculations, in “Handbook of Computational Statistics: Concepts and Methods”, eds. J.E. Gentle, W. Härdle, Y. Mori, Springer, Heidelberg, 911-950.

Conference papers

2018 (0+), 2017 (0), 2016 (0), 2015 (3), 2014 (2), 2013 (2), 2012 (0), 2011 (0), 2010 (1), 2009 (2), 2008 (1), 2007 (2), 2006 (3), 2005 (3), 2004 (7), 2003 (0), 2002 (1), 2001 (0), 2000 (4), 1999 (0), Pre-PhD (2)

  1. J. Grobelny, R. Michalski, R. Weron (2015) Is human visual activity in simple human-computer interaction search tasks a Lévy flight? PhyCS 2015 Conference Proceedings, 67-71.
  2. A. Kowalska-Pyzalska, K. Maciejowska, K. Sznajd-Weron, R.Weron (2015) Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach, Proceedings of 2015 IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining (ASONAM’15), 1277-1283, DOI 10.1145/2808797.2808859. Earlier working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1401.html
  3. S. Zikovic, R. Weron, I. Tomas Zikovic (2015) Evaluating the performance of VaR models in energy markets, Springer Proceedings in Mathematics and Statistics, vol. 122, 479-487 . Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1412.html
  4. A. Kowalska-Pyzalska, K. Maciejowska, K. Sznajd-Weron, R.Weron (2014) Modeling consumer opinions towards dynamic pricing: An agent-based approach, IEEE Conference Proceedings, 11th International Conference on the European Energy Market (EEM’14), 28-30 May 2014, Kraków, Poland, DOI 10.1109/EEM.2014.6861272. Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1406.html
  5. J. Nowotarski, R. Weron (2014) Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices, IEEE Conference Proceedings, 11th International Conference on the European Energy Market (EEM’14), 28-30 May 2014, Kraków, Poland, DOI 10.1109/EEM.2014.6861285. Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1403.html
  6. K. Maciejowska, R. Weron (2013) Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market, IEEE Conference Proceedings, 10th International Conference on the European Energy Market (EEM’13), 28-30 May 2013, Stockholm, Sweden, DOI 10.1109/EEM.2013.6607314. Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1301.html
  7. J. Nowotarski, J. Tomczyk, R. Weron (2013) Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices, IEEE Conference Proceedings, 10th International Conference on the European Energy Market (EEM’13), 28-30 May 2013, Stockholm, Sweden, DOI 10.1109/EEM.2013.6607301. Working paper version available from RePEc: http://ideas.repec.org/p/wuu/wpaper/hsc1302.html
  8. J. Janczura, R. Weron (2010) Modeling electricity spot prices: Regime switching models with price-capped spike distributions, IEEE Xplore: MEPS’10 Proceedings, paper 02.3. Available also at MPRA: http://mpra.ub.uni-muenchen.de/23296/
  9. J. Janczura, R. Weron (2009) Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions, IEEE Conference Proceedings, 6th International Conference on the European Energy Market (EEM’09), 27-29 May 2009, Leuven, Belgium (doi 10.1109/EEM.2009.5207175).
  10. R. Weron (2009) Forecasting wholesale electricity prices: A review of time series models, in “Financial Markets: Principles of Modelling, Forecasting and Decision-Making”, eds. W. Milo, P. Wdowiński, FindEcon Monograph Series, WUŁ, Łódź, 71-82. Available from MPRA: http://mpra.ub.uni-muenchen.de/21299/
  11. R. Weron (2008) Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo [Power security: Risk > Risk management > Security], Materiały II Ogólnopolskiej Konferencji “Polska Elektroenergetyka – Realia, Problemy, Dylematy”, Warszawa, 28 maja 2008. Dostępny na MPRA: http://mpra.ub.uni-muenchen.de/18786/
  12. S. Trück, R. Weron, R. Wolff (2007) Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices, Bulletin of the International Statistical Institute 62, 1524 (Proceedings of the 56th Session, Invited Paper Meeting IPM71 “Statistics of risk aversion”, Aug. 22-29, 2007, Lisbon, Portugal). Available from MPRA: http://mpra.ub.uni-muenchen.de/4711/
  13. R. Weron, A. Misiorek (2007) Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?, Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1076, 472-480. Available from MPRA: http://mpra.ub.uni-muenchen.de/2292/
  14. A. Misiorek, R. Weron (2006) Interval forecasting of spot electricity prices, Proceedings of the International Conference “The European Electricity Market EEM-06”, May 24-26, 2006, Warsaw, Poland, 305-312.
  15. R. Weron, A. Misiorek (2006) Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market, Proceedings of the Modern Electric Power Systems MEPS’06 International Symposium, September 6-8, 2006, Wrocław, Poland, 34-38. Available from MPRA: http://mpra.ub.uni-muenchen.de/1363/
  16. R. Weron, I. Simonsen (2006) Blackouts, risk and fat-tailed distributions, in “Practical Fruits of Econophysics”, ed. H. Takayasu, Springer, Tokyo, 215-219.
  17. A. Misiorek, R. Weron (2005) Prognozowanie spotowych cen energii elektrycznej z wykorzystaniem czynników fundamentalnych [Forecasting spot electricity prices using fundamental factors], Materiały konferencyjne REE’2005 (Kazimierz Dolny, 25-27 kwietnia 2005), vol. 2, 277-284.
  18. A. Misiorek, R. Weron (2005) Zastosowanie zmiennych zewnętrznych w celu zwiększenia dokładności prognoz zapotrzebowania na energię elektryczną [Application of external variables to increase accuracy of system load forecasts], “Aktualne Problemy w Elektroenergetyce” APE05 materiały konferencyjne (Jurata, 8-10 czerwca 2005).
  19. R. Weron, A. Misiorek (2005) Forecasting spot electricity prices with time series models, Proceedings of the International Conference “The European Electricity Market EEM-05”, May 10-12, 2005, Łódź, Poland, 133-141.
  20. M. Bierbrauer, S. Trück, R. Weron (2004) Modeling Electricity Prices with Regime Switching Models, Lecture Notes in Computer Science 3039, 859-867.
  21. K. Burnecki, R. Weron (2004) Modeling the Risk Process in the XploRe Computing Environment, Lecture Notes in Computer Science 3039, 868-875.
  22. R. Weron (2004) Rynki energii elektrycznej w Polsce i na świecie [Power markets in Poland and worldwide], Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1037, 325-333.
  23. R. Weron (2004) Pricing derivatives in electricity markets: The market price of risk implied by Asian options, Proceedings of the International Conference “Stochastic Finance 2004” (Lisbon, Portugal, Sept. 26-30, 2004), Thematic Session 2, Paper 7.
  24. R. Weron, A. Misiorek (2004) Modeling and forecasting electricity loads: A comparison, International Conference “The European Electricity Market EEM-04” proceedings (Łódź, 20-22 września 2004), 135-142.
  25. R. Weron, I. Simonsen, P. Wilman (2004) Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market, in “The Application of Econophysics”, ed. H. Takayasu, Springer, Tokyo, 182-191.
  26. R. Weron, S. Wójcik (2004) Analiza Składowych Głównych w modelowaniu implikowanej zmienności [Principal components analysis in implied volatility modeling], Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1037, 315-324.
  27. R. Weron (2002) Measuring long-range dependence in electricity prices, in “Empirical Science of Financial Fluctuations”, ed. H. Takayasu, Springer, Tokyo, 110-119.
  28. J. Bujko, J. Malko, A. Weron, R. Weron (2000) Electricity market and tools for risk management in Poland: A case study, Conseil International des Grands Réseaux Électriques (CIGRE) International Conference (Paris, France, Aug. 27 – Sept. 2, 2000), Group 38: Power System Analysis and Techniques, 38-206.
  29. A. Weron, J. Malko, R. Weron (2000) Polish power sector transitioning to the energy market, “Towards an Integrated European Energy Market”, Annual European Energy Conference (Bergen, Norway, Aug. 31 – Sept. 1, 2000).
  30. A. Weron, R. Weron (2000) CED model III: Scaling law for high-frequency financial data, The 20th International Seminar on Stability Problems for Stochastic Models (Lublin – Nałęczów, 5-11.09.1999), Theory of Probability and its Applications 45(4), 800-802.
  31. A. Weron, R. Weron (2000) Mechanizmy finansowe w elektroenergetyce: Rynek terminowy i strategie zarządzania ryzykiem [Financial mechanisms in the power sector: Forward market and risk management strategies], “Rynek Energii Elektrycznej: Rozwój i Harmonizacja Struktur”, VII Konferencja Naukowo-Techniczna (Kazimierz Dolny, 27-28 kwietnia 2000), 79-90.
  32. W. Śliwa, R. Weron (1997) Program SPINE do diagnozowania wad postawy i krzywizn kręgosłupa dzieci i młodzieży [SPINE software for diagnosing posture defects and spinal cord curvatures in children and youth], IV Krajowa Konferencja KOWBAN (Świeradów Zdrój, 16-18 października 1997), 201-205.
  33. A. Weron, R. Weron (1995) Computer simulation of Levy stable variables and processes, Lecture Notes in Physics 457, 379-392, Springer-Verlag.

Popular science and other papers

2018 (0+), 2012-2017 (0), 2011 (1), 2010 (0), 2009 (0), 2008 (1), 2007 (1), 2006 (0), 2005 (0), 2004 (3), 2003 (1), 2002 (0), 2001 (1), 2000 (4), 1999 (2), Pre-PhD (1)

  1. R. Weron (2011) Ekonomiczne aspekty związane z potencjalnymi zmianami technologicznymi w sektorze elektroenergetycznym, ze szczególnym uwzględnieniem Dolnego Śląska [Economic aspects related to potential technological changes in the power sector, with special emphasis on Lower Silesia], in “Strategia rozwoju energetyki na Dolnym Śląsku na podstawie metody foresightowej Delphi”, eds. E.Ropuszyńska-Surma, Z.Szalbierz, Oficyna Wydawnicza Politechniki Wrocławskiej, załącznik nr 36.
  2. R. Weron (2008) Korporacyjne spojrzenie na zarządzanie ryzykiem [A corporate view on risk management], Energetyka Cieplna i Zawodowa 4/2008, 46-48.
  3. R. Weron (2007) Hugo Steinhaus – matematyk, humanista i … popularyzator sprawiedliwego podziału tortu [Hugo Steinhaus – a mathematician, a humanist and … an advocate of fair division of a cake], Decyzje 6, 113-118.
  4. S.T. Rachev, S. Trück, R. Weron (2004) Risikomanagement in Energiemärkten (Teil III): Fortgeschrittene Spotpreismodelle und VaR-Ansätze [Risk management in power markets (Part III): Advanced spot price models and VaR approaches], RISKNEWS 05/2004, 67-71.
  5. S. Trück, R. Weron (2004) Risikomanagement in Energiemärkten (Teil I): Stromhandel in Deutschland und Besonderheiten des Energiemarktes [Risk management in power markets (Part I): Electricity trading in Germany and special market features], RISKNEWS 03/2004, 65-69.
  6. S. Trück, R. Weron (2004) Risikomanagement in Energiemärkten (Teil II): Modellierung von Strompreisen [Risk management in power markets (Part II): Modeling of electricity prices], RISKNEWS 04/2004, 67-71.
  7. R. Weron (2003) Matematyka finansowa [Financial mathematics], Wielka Encyklopedia PWN, tom. 17, PWN, Warszawa, 124-125.
  8. M. Kozłowski, T. Piesiewicz, R. Weron (2001) Zarządzanie ryzykiem finansowym: Symulator Rynku Instrumentów Pochodnych [Managing financial risk: Derivatives market simulator], Rynek Terminowy 13 (3/01), 31-34.
  9. A. Weron, R. Weron (2000) Zarządzanie ryzykiem na rynku energii elektrycznej [Risk management in the power market], Biuletyn Miesięczny PSE S.A. 5-6/00, 105-110.
  10. A. Weron, R. Weron (2000) Zmienność a ryzyko na rynku energii [Volatility and risk on the power market], Rynek Terminowy 10 (4/00), 68-70.
  11. A. Weron, R. Weron (2000) Programy do zarządzania ryzykiem: EPRI Electricity Book v. 0.75.1 [Risk management software: EPRI Electricity Book v. 0.75.1], Biuletyn Miesięczny PSE S.A. 4/00, 11-24.
  12. R. Weron (2000) Rynek terminowy energii i strategie zarządzania ryzykiem [Energy forward market and risk management strategies], Rynek Terminowy 7 (1/00), 27-36.
  13. T. Garlinski, R. Weron (1999) Krótka historia VOLAX-u – czyli jak próbowano handlować implikowaną zmiennością [A short history of the VOLAX – or how we tried to trade implied volatility], Rynek Terminowy 6 (4/99), 52-56.
  14. T. Garlinski, R. Weron (1999) Eurex – giełda przyszłości [Eurex – the exchange of the future], Rynek Terminowy 5 (3/99), 81-86.
  15. A. Weron, R. Weron (1996) Fischer Black i matematyka finansowa [Fisher Black and financial mathematics], Wiadomości Matematyczne 32, 51-74.

Forthcoming publications, submitted papers and work in progress

  1. P. Maryniak, R. Weron (2018) What is the probability of an electricity price spike? Evidence from the UK power market, in “Handbook of Energy Finance: Theories, Practices and Simulations”, eds. S. Goutte, D.K. Nguyen, World Scientific, forthcoming. Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1411.html
  2. G. Marcjasz, B. Uniejewski, R. Weron (2018) Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?, International Journal of Forecasting, submitted. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1805.html
  3. B. Uniejewski, G. Marcjasz, R. Weron (2018) Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO, International Journal of Forecasting, submitted. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1807.html
  4. R. Weron, F. Ziel (2018) Electricity Price Forecasting, in “Handbook of Energy Economics”, eds. U. Soytas, R. Sari, Routledge, submitted. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1808.html
  5. Y. Chen, R. Weron (2018) Local ARX models for electricity price forecasting, work in progress.
  6. P. Maryniak, R. Weron (2018) Habitat momentum, work in progress. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1705.html
  7. R. Weron, F. Ziel (2018) Forecasting Electricity Prices: A Guide to Robust Modeling (monograph), work in progress.

Theses