1 citations · 1 across the 3 of their papers we have counts for
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…
q-fin.PR2012★ 1 cited
Pricing electricity derivatives within a Markov regime-switching model
Joanna Janczura
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with…
q-fin.ST2011
Black swans or dragon kings? A simple test for deviations from the power law
Joanna Janczura, Rafal Weron
We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the que…