activity
20182022
most citedEconometric modelling and forecasting of intraday electricity prices

111 citations · 392 across the 9 of their papers we have counts for

collaborators

9 papers

q-fin.ST2022★ 101 cited

Distributional neural networks for electricity price forecasting

Grzegorz Marcjasz, Michał Narajewski, Rafał Weron +1

We present a novel approach to probabilistic electricity price forecasting which utilizes distributional neural networks. The model structure is based on a deep neural network that…

q-fin.ST2022★ 2 cited

Probabilistic forecasting of German electricity imbalance prices

Michał Narajewski

The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchange…

cs.LG2022★ 14 cited

High-Resolution Peak Demand Estimation Using Generalized Additive Models and Deep Neural Networks

Jonathan Berrisch, Michał Narajewski, Florian Ziel

This paper covers predicting high-resolution electricity peak demand features given lower-resolution data. This is a relevant setup as it answers whether limited higher-resolution…

q-fin.ST2021★ 30 cited

Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs

Michał Narajewski, Florian Ziel

This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Au…

stat.ML2021★ 17 cited

tsrobprep - an R package for robust preprocessing of time series data

Michał Narajewski, Jens Kley-Holsteg, Florian Ziel

Data cleaning is a crucial part of every data analysis exercise. Yet, the currently available R packages do not provide fast and robust methods for cleaning and preparation of time…

physics.soc-ph2020★ 39 cited

Changes in electricity demand pattern in Europe due to COVID-19 shutdowns

Michał Narajewski, Florian Ziel

The article covers electricity demand shift effects due to COVID-19 shutdowns in various European countries. We utilize high-dimensional regression techniques to exploit the struct…