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Research: Grants, projects and dissemination of knowledge


Grants and projects:

KBN/MNiSW/NCN grants

  1. Principal Investigator, Probabilistic forecasting of electricity prices and demand for risk management purposes, NCN 2015/17/B/HS4/00334, OPUS grant scheme, WIZ PWr, Wrocław, 2016-2018.
    [budget: 398 400 PLN]
  2. Principal Investigator, Economic consequences of consumer opinion formation and decision making: Agent-based modeling of innovation diffusion, NCN 2013/11/B/HS4/01061, OPUS grant scheme, WIZ PWr, Wrocław, 2014-2016.
    [budget: 499 700 PLN]
  3. Research supervisor, Averaging forecasts of wholesale electricity prices, NCN 2013/11/N/HS4/03649, PRELUDIUM grant scheme (PI - Jakub Nowotarski), WIZ PWr, Wrocław, 2014-2016.
    [budget: 115 500 PLN]
  4. Senior Investigator, The analysis and modelling of visual data processing in human - machine interaction, NCN 2011/03/B/ST8/06238, OPUS grant scheme, WIZ PWr, Wrocław, 2012-2015.
    [budget: 195 390 PLN]
  5. Research supervisor, A study on portfolio optimization in different time horizons using multivariate econometric models, evolutionary techniques and artificial intelligence, 0178/DIA/2012/41, MNiSW DIAMOND GRANT scheme (PI - Paweł Maryniak), WIZ PWr, Wrocław, 2012-2015.
    [budget: 142 221 PLN]
  6. Principal Investigator, Modeling and forecasting wholesale electricity prices using regime-switching models, NCN 2011/01/B/HS4/01077, OPUS grant scheme, WIZ PWr, Wrocław, 2011-2014.
    [budget: 329 600 PLN]
  7. Senior Investigator, Simple spin models in applications to social and commercial marketing, NCN 2011/01/B/ST3/00727, OPUS grant scheme, IFT UWr, Wrocław, 2011-2014.
    [budget: 248 100 PLN]
  8. Senior Investigator, Mathematical methods in the analysis of financial markets and instruments in Poland, Commissioned Grant PBZ-KBN 016/P03/99, Instytut Matematyczny PAN, Warszawa, 2001-2004.
  9. Investigator, Analysis and simulations of an economic game in power and services markets, KBN 8 T10B 03417, IASE, Wrocław, 1999-2001.

International grants

  1. Principal Investigator, Investigating Market Microstructure and shOrt-term pRice forecasTing in intrA-day eLectricity markets (IMMORTAL), DFG-NCN 2016/23/G/HS4/01005, BEETHOVEN grant scheme, University Duisburg-Essen and PWr, 2017-2020.
    [budget: 768 300 PLN + 239 000 EUR]
  2. Partner Investigator, Croatian Science Foundation HRZZ Research Project IP-11-2013, no. 2203 Economic and social effects of energy sector reforms on sustainable economic growth, University of Rijeka (Croatia) and PWr, 2014-2018.
    [budget: 548 400 HRK]
  3. Investigator, EU 7th Framework Programme, FP7-REGPOT-2012-2013-1, European research Centre of Network intelliGence for INnovation Enhancement - ENGINE, PWr (coordinator), 2013-2016.
  4. Partner Investigator, Australian Research Council (ARC) Discovery Project DP1096326 Managing the risk of price spikes, dependences and contagion effects in Australian electricity markets, Macquarie University (Sydney), Queensland University of Technology (Brisbane) and PWr, 2010-2012.
    [budget: 170 000 AUD]
  5. Principal Investigator, Developing Models for Pricing of CO2 Emission Rights Trading in Germany and Poland, international grant KBN-DAAD D/05/11810, Humboldt University (Berlin) and IASE (Wrocław) / PWr, 2006-2007.
  6. Investigator, Analysis of Polish and South African financial markets and instruments, international grant 009/2004-2005, University of the Witwatersrand (Johannesburg, South Africa) and PWr, 2004-2005.
  7. Principal Investigator, Measuring and managing extreme risks - quantitative methods in operational risk management, international grant KBN-DAAD, I-18/483487, University of Karlsruhe and PWr, 2004-2005.
  8. Investigator, Development of tools for efficient risk management on German and Polish electric energy markets, international grant KBN-DAAD, I-18/483067, Uniwersity of Karlsruhe (Niemcy) and PWr, 2002-2003.

International grants (teacher mobility)

  1. Coordinator and lecturer, ERASMUS Statistics of Finance, Univerzita Karlova v Praze (Czech Republic) and PWr, 2008-2013.
  2. Coordinator and lecturer, ERASMUS Risk Management, University of Karlsruhe (Germany) and PWr, 2008-2011.
  3. Coordinator and lecturer, ERASMUS-SOCRATES Advanced Methods in Finance / Statistics of Finance, Humboldt University (Berlin, Germany) and PWr, 2003-2010.

Projects from structural funds

  1. Investigator, Barrier materials of new generation, to protect the human against harmful effects of the environment, tasks 4, 5 & 9, POIG.01.03.01-00-006/08, PWr, 2009-2012.
  2. Investigator, A development strategy for the energy sector in Lower Silesia using foresight methods, task 3, POIG.01.01.01-02-005/08-00, PWr, 2009-2011.
  3. Investigator, Detectors and sensors for measuring factors hazardous to the environment - modeling and monitoring of threats, task 10, POIG.01.03.01-02-002/08, PWr, 2009-2012.

Externally funded projects

  1. Investigator, An analysis of changes in terms of: population, education, labor market and the development of stochastic models for the processes of evolution of human potential in the Wrocław agglomeration in the years 2007-2013, Urząd Miejski Wrocławia - PWr, 2006-2007.
  2. Investigator, Testing and an evaluation of the EPRI Electricity Book v. 0.75.1 software, PSE S.A. - PWr, 1999-2000.


Conferences and workshops:

(Co-)organized by the Department of Operations Research (formerly: Institute of Organization and Management)

Modern Electric Power Systems (MEPS'15) Symposium
("Energy Economics and Forecasting" Session: 6-7.07.2015)
Venue: Wrocław, 06-09.07.2015
Selected topics: Modeling and forecasting electricity prices, CO2 emissions trading, investments in the power sector, renewable energy
12th Workshop on Stochastic Models, Statistics and Their Applications (SMSA2015)
("Statistics in Energy" Session: 19-20.02.2015)
Venue: Wrocław, 16-20.02.2015
Selected topics: Statistical Inference, Time Series Analysis, Stochastic Models in Engineering, Statistical Computing and Simulation,
Statistics in Energy (modeling and forecasting electricity prices, CO2 emissions trading, quantitative techniques, renewable energy, electricity price spike forecasting)
CODYM Spring Workshop (CODYM-Spring'14)
Venue: Wrocław, 7-8.04.2014
Selected topics: Cultural and opinion dynamics, complex systems, innovation diffusion, language, linguistics and cognition, social systems and economics
The Energy Finance Christmas Workshop (EFC11)
Venue: Wrocław, 19-20.12.2011
Selected topics: CO2 emissions trading, power market data filtering and deseasonalizing, quantile regression applications, modeling with regime switching models, weather derivatives
Press coverage in Pryzmat [
Article, ca. 320KB]


Seminars:

The S3 Interdisciplinary Seminar - "Science meets Social Science"
"HSC Seminar on Stochastic and Numerical Methods"
Formerly: "Computational Statistics and Stochastic Modeling (SOMS)" Seminar (2008-2011), "Computational Statistics in Insurance and Finance (CompSIF)" (2003-2007)
and "Rockets for the Power Market" (2000-2002)
Seminar of the Complex Systems and Nonlinear Dynamics (CoSyNoDy) Division
Seminar "Analysis of discrete data"

(*) Click here to see what you should bring to the seminars


Selected talks:

"Importance of the long-term seasonal component in day-ahead electricity price forecasting: Regression vs. neural network models", Workshop on Electricity Markets, University of Bolzano, Italy, September 28, 2017 [hyperlinked- 2.5 MB]
"Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks", Department of Economics Seminar, University of Verona, Italy, September 27, 2017 [hyperlinked- 3.0 MB]
"Recent advances in electricity price forecasting (EPF)", International Symposium on Energy Analytics (ISEA2017), Cairns, June 22-23, 2017 [hyperlinked- 3.0 MB]
"Recent trends and advances in electricity price forecasting (EPF)", 4th Annual Electricity Price Modelling and Forecasting Forum, Berlin, March 2-3, 2017 [hyperlinked- 2.6 MB]
  "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models", Energy Finance Italia II, Padova, Italy, December 5-6, 2016 [ 1.2 MB]  
"Advances in forecasting of wholesale electricity prices", 11th International Summer School on "Risk Measurement and Control" (ISS2016), Rome, Italy, June 6-11, 2016 [ 6.5 MB; revised September 25, 2016]
"Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products", 80th Annual Meeting of the DPG and Spring Meeting, Regensburg, Germany, March 6-11, 2016 [ 1.4 MB]
"Advances in probabilistic forecasting of electricity loads and prices", 5th Energy Finance Christmas Workshop (EFC15), IHP, Paris, France, December 17-18, 2015 [ 3.8 MB]
"Probabilistyczne prognozowanie hurtowych cen energii elektrycznej", Posiedzenie Komitetu Statystyki i Ekonometrii (KSiE) PAN, Warszawa, 8 grudnia 2015 [ 3.0 MB]
"Probabilistic forecasting of wholesale electricity prices", 2nd International Conference on Forecasting Economic and Financial Systems (FEFS), CAS, Beijing, China, October 30-November 1, 2015 [ 3.5 MB]
"Probabilistic forecasting of wholesale electricity prices", 3rd International Workshop Advanced analytics and Data Science, SGH, Warszawa, October 20, 2015 [ 2.5 MB]
"Forecasting electricity loads and prices: Guidelines for practitioners", Energy and Commodity Finance Monthly Webinar, ESSEC, Paris (France), June 24, 2015 [ 2.7 MB]
"A look into the future of electricity price forecasting (EPF)", 4th Energy Finance Christmas Workshop (EFC14), St.Gallen (Switzerland), December 11-12, 2014[ 1.1 MB]
"A look into the future of electricity (spot) price forecasting", European workshop on 'Electricity price forecasting', Université Paris-Dauphine (France), April 28, 2014 [ 1 MB]
"Energy finance: Modeling electricity prices", POKL "Mathematics in Finance and Economics" Lectures, Politechnika Krakowska, November 20, 2013 [ 7.1 MB]
"Robust estimation and forecasting of the long-term seasonal component (LTSC) of electricity spot prices", Energy Economics and Finance Seminar, Reykjavik (Iceland), May 24-25, 2013 [ 0.45 MB]
"A guide to robust modeling of electricity spot prices", Conference on Energy Finance (EF2012), Trondheim (Norway), October 4-5, 2012 [ 2.2MB]
"Modelowanie spotowych cen energii elektrycznej", Seminarium SEFIN, Poznań, 20 kwietnia 2012
[
3.5MB]
English language version of this talk ("Inference for MRS models of electricity spot prices") presented at the
Department of Statistics and Applied Probability Seminar (organized jointly with the Risk Management Institute), National University of Singapore, on March 14, 2012 [ 3.4MB]
"Black swans or dragon kings? A simple test for deviations from the power law", the Centre for Financial Risk Seminar, Macquarie University (Sydney, Australia), March 21, 2012 [ 1.8MB]
Earlier version of this talk presented at the
47th Winter School of Theoretical Physics "Simple Models for Complex Systems", Lądek Zdrój (Poland), February 7-12, 2011.
"Wavelet-based modeling and forecasting of the seasonal component of spot electricity prices", The Energy Finance Christmas Workshop (EFC11), Wrocław, December 19-20, 2011 (with Jakub Nowotarski and Jakub Tomczyk) [ 2.2MB]
"The European CO2 emissions trading system (EU-ETS): The good, the bad and the interesting", Macromodels 2011, Poznań, November 30 - December 3, 2011 [ 6.1MB]
Second part of this talk presented at the
EEM12 Conference, Florence (Italy), May 10-12, 2012, as "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS".
"Ryzyko i CO2", Konferencja "Rynek energetyczny w Polsce", Szklarska Poręba (Poland), 14-15 października 2010 [1.9MB]
"Markov regime-switching models for electricity prices", Financial Mathematics Seminar, University of Sydney (Australia), August 24, 2010 [ 2.9MB]
Extended version of this talk presented at the
Centre for Financial Risk, Macquarie University (Sydney, Australia), on August 18, 2010.
"Heavy tails in energy prices", Conference on Latest Developments in Heavy-Tailed Distributions, Brussels (Belgium), March 26-27, 2010 [2.5MB]

"Regime-switching models for electricity spot prices: An empirical comparison", Conference on Energy Finance, University of Agder, Kristiansand (Norway), September 24-25, 2009 [2.6MB]
"Heavy tails and regime switching in electricity prices: Calibration and modeling issues", Energyforum conference "Modelling & Measuring Energy Risk", London, November 24-25, 2008 [ 2.5MB]
"Heavy tails and regime switching in electricity prices", ISBIS-2008 International Symposium on Business and Industrial Statistics, Invited Session 2j "Quantitative Finance in High Frequency and Low Temperature", Prague, July 1-4, 2008 [ 1.5MB]
"Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo", II Ogólnopolska Konferencja "Polska Elektroenergetyka - Realia, Problemy, Dylematy", Panel "Bezpieczeństwo elektroenergetyczne Polski", Warszawa, 28 maja 2008
[
0.8MB]
"Market price of risk implied by Asian-style electricity options and futures", 7th Annual International Conference 'Forecasting Financial Markets and Economic Decision-Making' - FindEcon'2008, Łódź, May 14-17, 2008 [ 1.6MB]
"Short-term forecasting of spot electricity prices: Do semi-parametric time series models forecast better?", IGSSE Workshop on Energy: Modelling and Pricing, Munich, November 26-27, 2007 [1.8MB]
"Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices", 56th Session of the International Statistical Institute, Invited Paper Meeting IPM71 "Statistics of risk aversion", Lisbon, Aug. 22-29, 2007 [ 0.8MB]
"Forecasting spot and forward electricity prices: Semi-parametric time series models", Energyforum conference "Modelling & Measuring Energy Risk", Lisbon, June 14-15, 2007
[
1.4MB]
"Modeling and forecasting electricity forward prices: A Dynamic Semiparametric Factor Model (DSFM) approach", 2nd AMaMeF Conference "Advances in Mathematics of Finance", Będlewo, Apr. 30 - May 5, 2007
[
1.3MB, 2.3MB]
"Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models", DIME WP 2.4 Workshop "Instituting the Market Process: Innovation, Market Architectures and Market Dynamics", Manchester, Dec. 7-8, 2006 [ 1.9MB]
"Risk management for energy companies", Modern Electric Power Systems MEPS'06, Wrocław, Sept. 6-8, 2006 [2.2MB]
"Visualization tools for insurance risk processes", Workshop on Data and Information Visualization, Berlin, Aug. 23-25, 2006 [ 1.2MB]
"Zarządzanie ryzykiem", "Psychologia Biznesu" (WSPiZ im. L. Koźmińskiego), Warszawa, 20 listopada 2005 [cz. I (1.9MB), cz. II (1.1MB)]
"Heavy tails and electricity prices", The Deutsche Bundesbank's 2005 Annual Fall Conference, Eltville, Nov. 10-12, 2005 [ 1.6MB]
"Forecasting spot electricity prices with time series models", The European Electricity Market EEM-05, Łódź, May 10-12, 2005 [0.9MB]
"Modelowanie i prognozowanie zapotrzebowania oraz cen energii elektrycznej w warunkach rynkowych", Seminarium Wydziału Elektrycznego Politechniki Wrocławskiej, Wrocław, 6 grudnia 2004 [1.4MB]
"Stochastic volatility model of Heston and the smile", The Third Nikkei Econophysics Symposium, Tokyo, Nov. 9-11, 2004 [0.6MB]
"Pricing derivatives in electricity markets", StochFin 2004 International Conference, Lisbon, Sept. 26-30, 2004
[
0.8MB]
"Modeling and forecasting electricity loads: A comparison", The European Electricity Market EEM-04, Łódź, Sept. 20-22, 2004 [0.7MB]
"Ryzyko, Czarne Poniedziałki i długie ogony", "Psychologia Biznesu" (WSPiZ im. L. Koźmińskiego) / "Ciekawe Wykłady" (SGGW), Warszawa, 6-8 maja 2004 [1.8MB]
"Periodically correlated processes", Hejnice Compact Seminar, Hejnice, Feb. 12-16, 2004
[
0.5MB]
"Energy price risk management ... from a three year perspective", XVIII Max Born Symposium, Lądek Zdrój, Sept. 22-25, 2003 [ 3.3MB]
"Everything you always wanted to know about the Levy-stable law, but were afraid to ask", The Second ISM/SOKENDAI ECONOMICS Meeting, Institute of Statistical Mathematics, Tokyo, Nov. 11, 2002 [0.9MB]


Last modified on 2017-10-10.