3 papers
stat.AP2026
Scenario generation of intraday electricity price paths for optimal trading in continuous markets
Andrzej Puć, Joanna Janczura
Continuous intraday electricity markets play an increasingly important role in short-term trading and balancing, yet decision-making under rapidly evolving price dynamics remains c…
stat.AP2024
Corrected Support Vector Regression for intraday point forecasting of prices in the continuous power market
Andrzej Puć, Joanna Janczura
In this paper, we develop a new approach to the very short-term point forecasting of electricity prices in the continuous market. It is based on the Support Vector Regression with…
stat.ME2022
Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors
Joanna Janczura, Andrzej Puć, Łukasz Bielak +1
In this paper we analyze the product of bi-dimensional VAR(1) model components. For the introduced time series we derive general formulas for the autocovariance function and study…