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[2017-10-19: 2009 citations (w/o self citations), H-index 23 (w/o self citations: 21)]
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[2017-10-19: 6824 citations, H-index 39]
based on Google Scholar Citations [Citations and H-index updated daily]
WoS automated report citations
[2017-10-19: 1431 citations (w/o self citations), H-index 22]
"Author search" - reflects citations only to items indexed within WoS, not to books or research papers
Web of Science (WoS) citations
[2016-12-31: 1734 citations (w/o self citations), H-index 21 (w/o self citations)]
"Cited Reference Search" - includes citiations to books and research papers
IDEAS/RePEc ranking of economists in Poland [Updated monthly]
Impact Factors and Polish Ministry (MNiSW) rankings for selected journals (2017 edition)
JCR subject categories for selected journals

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).

Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1607.html





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).

"I think this is the longest paper we have ever published but it was so good, I didn't want to cut it back in size and risk reducing its value. I think it will be the standard reference on electricity price forecasting for a long time." - Rob J. Hyndman, Editor-in-Chief, International Journal of Forecasting [from IIF Blog, October 8, 2014]

Selected for the 2017 edition of the Emerald Citations of Excellence

2nd most cited article published in the International Journal of Forecasting since 2011

Top downloaded open access article on Science Direct published since January 2014 in Decision Sciences journals

Winner of the first IIF Tao Hong Award for the best International Journal of Forecasting paper on energy forecasting

"Weron's article is encyclopaedic. It covers the entirety of electricity price forecasting and systematizes a wide field of very disparate models, from statistical models across machine learning to agent models. However, the paper is not only a review; it also presents much needed guidelines for the rigorous use of methods, measures and tests, and it looks ahead and speculates on the directions electricity price forecasting will take in the next decade or so. The paper also has applications beyond electricity price forecasting, and is of particular interest to people in electric load forecasting and call centre forecasting." - Rob J. Hyndman, Editor-in-Chief, International Journal of Forecasting [full text]

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.

TOC, Preface, Errata and a sample chapter available from RePEc. Pre-publication limited edition released in January 2006 as: Modeling and Forecasting Loads and Prices in Deregulated Electricity Markets, ARE, Warszawa.
Matlab codes available from: https://ideas.repec.org/c/wuu/hscode/zip00001.html

"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 [from back cover]

P.Cizek, W.Härdle, R.Weron, eds. (2005) Statistical Tools for Finance and Insurance, Springer-Verlag, Berlin.

Available also in HTML from RePEc.

"The book (...) is worth having for the range of topics and the references alone" - N.H.Bingham [Full text]

A. Weron, R. Weron (2000) Giełda Energii: Strategie zarządzania ryzykiem [Power Exchange: Risk management strategies], CIRE, Wrocław.

TOC, Preface and a sample chapter available from RePEc.

A. Weron, R. Weron (1998, 1999, 2005, 2009) Inżynieria finansowa: Wycena instrumentów pochodnych, Symulacje komputerowe, Statystyka rynku [Financial Engineering: Derivatives pricing, Computer simulations, Market statistics], WNT, Warszawa.

TOC, Preface and sample chapters available from RePEc.

Special Award for the best academic book in the area of finance, 5th Fair of the Academic Book ATENA'98.


Peer-reviewed articles in JCR-listed journals (*)
(including extensive research articles, listed under
Monographs and reviews above)

2018 (1+), 2017 (2+), 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)

  1. 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

  2. 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
  3. B. Uniejewski, R. Weron, F. Ziel (2017) Variance stabilizing transformations for electricity spot price forecasting, IEEE Transactions on Power Systems (doi: 10.1109/TPWRS.2017.2734563). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1701.html

  4. 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
  5. 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)
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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
  11. 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
  12. 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

  13. 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
  14. 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
  15. 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

  16. 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
  17. 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
  18. 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
  19. 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)
  20. 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
  21. 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.
  22. 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

  23. 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
  24. 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/
  25. 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/
  26. 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).

  27. 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
  28. 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
  29. 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 


  30. 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

  31. 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. Full text PDF (260 KB)
  32. 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. Full text PDF (330 KB)
  33. 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/ Full text PDF (1.1 MB)

  34. 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/ Full text PDF (760 KB)
  35. 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). Full text PDF (930 KB), Matlab codes ZIP (55 KB)
  36. 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/ Full text PDF (920 KB)

  37. 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. Full text PDF (380 KB)

  38. 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. Full text PDF (230 KB)
  39. 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). Full text PDF (610 KB)
    Matlab codes and data available from RePEc: https://ideas.repec.org/c/wuu/hscode/zip06001.html

  40. E. Broszkiewicz-Suwaj, A. Makagon, R. Weron, A. Wyłomańska (2004) On detecting and modeling periodic correlation in financial data, Physica A 336, 196-205. Full text PDF (326 KB)
  41. R. Weron, M. Bierbrauer, S. Trück (2004) Modeling electricity prices: jump diffusion and regime switching, Physica A 336, 39-48. Full text PDF (237 KB)

  42. K. Sznajd-Weron, R. Weron (2003) How effective is advertising in duopoly markets?, Physica A 324, 437-444. Full text PDF (138 KB)

  43. J. Nowicka-Zagrajek, R. Weron (2002) Modeling electricity loads in California: ARMA models with hyperbolic noise, Signal Processing 82, 1903-1915. Full text PDF (284 KB)
  44. K. Sznajd-Weron, R.Weron (2002) A simple model of price formation, International Journal of Modern Physics C 13, 115-123. Full text PDF (288 KB)
  45. R. Weron (2002) Estimating long range dependence: finite sample properties and confidence intervals, Physica A 312, 285-299. Full text PDF (141 KB)
  46. 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). Full text PDF (151 KB)

  47. K. Sznajd-Weron, R. Weron (2001) A new model of mass extinctions, Physica A 293, 559-565. Full text PDF (121 KB)
  48. 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. Full text PDF (413 KB)
  49. R. Weron, B. Kozłowska, J. Nowicka-Zagrajek (2001) Modeling electricity loads in California: a continuous-time approach, Physica A 299, 344-350. Full text PDF (150 KB)

  50. K. Burnecki, G. Kukla, R. Weron (2000) Property insurance loss distributions, Physica A 287, 269-278. Full text PDF (236 KB)
  51. A. Weron, R. Weron (2000) Fractal Market Hypothesis and two power-laws, Chaos, Solitons & Fractals 11, 289-296. Full text PDF (162 KB)
  52. R. Weron (2000) Energy price risk management, Physica A 285, 127-134. Full text PDF (212 KB)
  53. R. Weron, B. Przybyłowicz (2000) Hurst analysis of electricity price dynamics, Physica A 283, 462-468. Full text PDF (151 KB)

  54. Sz. Mercik, R. Weron (1999) Scalling in currency exchange: A Conditionally Exponential Decay approach, Physica A 267, 239-250. Full text PDF (169 KB)
  55. Z. Rachev, A. Weron, R. Weron (1999) CED model for asset returns and Fractal Market HypothesisMathematical and Computer Modelling 29, 23-36. Full text PDF (748 KB)
  56. A. Weron, Sz. Mercik, R. Weron (1999) Origins of the scaling behaviour in the dynamics of financial data, Physica A 264, 562-569. Full text PDF (147 KB)
  57. R. Weron, K. Weron, A. Weron (1999) A Conditionally Exponential Decay approach to scaling in finance, Physica A 264, 551-561. Full text PDF (113 KB)

  58. 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.
  59. R. Weron (1996) On the Chambers-Mallows-Stuck method for simulating skewed stable random variables, Statistics and Probability Letters 28, 165-171. Full text PDF (1.04 MB)


Peer-reviewed articles in non JCR-listed journals

2016 (1+), 2015 (0), 2014 (0), 2013 (0), 2012 (0), 2011 (0), 2010 (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 Full text PDF (2.7 MB)

  2. P. Zielonka, P. Sawicki, R. Weron (2009) Rzecz o dyskontowaniu odroczonych wypłat [Discounting of delayed payoffs], Decyzje 11, 49-70. Full text PDF (170 KB)

  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/ Full text PDF (1.1 MB)

  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. Full text PDF (490 KB)

  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. Full text PDF (505 KB)

  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. Full text PDF (390 KB)

  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

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. Full text PDF (1.2 MB)

  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. Full text PDF (670 KB)

  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. Full text PDF (2770 KB)
  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

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). Full text PDF (200 KB)
  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/ Full text PDF (320 KB)

  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/ Full text PDF (510 KB)

  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/ Full text PDF (640 KB).
  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/ Full text PDF (310 KB)

  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. Full text PDF (290 KB)
  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/ Full text PDF (270 KB)
  16. R. Weron, I. Simonsen (2006) Blackouts, risk and fat-tailed distributions, in "Practical Fruits of Econophysics", ed. H. Takayasu, Springer, Tokyo, 215-219. Full text PDF (210 KB)

  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. Full text PDF (335 KB)

  20. M. Bierbrauer, S. Trück, R. Weron (2004) Modeling Electricity Prices with Regime Switching Models, Lecture Notes in Computer Science 3039, 859-867. Full text PDF (172 KB)
  21. K. Burnecki, R. Weron (2004) Modeling the Risk Process in the XploRe Computing Environment, Lecture Notes in Computer Science 3039, 868-875. Full text PDF (216 KB)
  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. Full text PDF (320 KB)
  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. Full text PDF (255 KB)
  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. Full text PDF (158 KB)
  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. Full text PDF (380 KB)

  27. R. Weron (2002) Measuring long-range dependence in electricity prices, in "Empirical Science of Financial Fluctuations", ed. H. Takayasu, Springer, Tokyo, 110-119. Full text PDF (270 KB)

  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. Full text PDF (810 KB)


Popular science and other papers

2016 (0+), 2015 (0), 2014 (0), 2013 (0), 2012 (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. Full text PDF (280 KB)

  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. Full text PDF (65 KB)

  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. Full text PDF (2690 KB)
  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. Full text PDF (2301 KB)
  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. Full text PDF (2086 KB)

  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. 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, forthcoming. Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1703.html
  2. 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


  3. P. Maryniak, S. Trück, R. Weron (2017) Carbon premiums and pass-through rates in Australian electricity futures markets, submitted. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1610.html
  4. B. Uniejewski, G. Marcjasz, R. Weron (2017) On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II - Probabilistic forecasting, submitted. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1702.html
  5. F. Ziel, R. Weron (2017) Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models, submitted. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1608.html

  6. P. Maryniak, A. Chmiel, R. Weron (2017) On the connectivity premium, work in progress.
  7. P. Maryniak, R. Weron (2017) Habitat momentum, work in progress.
  8. K. Sznajd-Weron, R. Weron (2017) Delayed take-offs and saddles in a modified Bass model, work in progress.
  9. K. Sznajd-Weron, R. Weron (2017) Pulsing advertising in a modified Bass model, work in progress.
  10. R. Weron, F. Ziel (2017) Forecasting Electricity Prices: A Guide to Robust Modeling (monograph), work in progress.


Theses


(*) JCR-listed journals are underlined.

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Last modified on 2017-11-23