Domowa - Publikacje - S3 - Badania - Studenci

 

Badania: Granty, projekty i rozpowszechnianie wiedzy


Granty i projekty:

Granty KBN/MNiSW/NCN

  1. Kierownik, Ekonomiczne konsekwencje kształtowania się opinii i podejmowania decyzji przez konsumentów: Modelowanie agentowe dyfuzji innowacji, grant NCN nr NCN 2013/11/B/HS4/01061, konkurs OPUS, IOZ PWr, Wrocław, 2014-2016.
    [budżet: 499 700 PLN]
  2. Opiekun naukowy, Uśrednianie prognoz hurtowych cen energii elektrycznej, grant NCN nr 2013/11/N/HS4/03649, konkurs PRELUDIUM (kierownik - Jakub Nowotarski), IOZ PWr, Wrocław, 2014-2016.
    [budżet: 115 500 PLN]
  3. Główny wykonawca, Analiza i modelowanie procesu przetwarzania informacji wzrokowej w układzie człowiek - maszyna, grant NCN 2011/03/B/ST8/06238, konkurs OPUS, IOZ PWr, Wrocław, 2012-2015.
    [budżet: 195 390 PLN]
  4. Opiekun naukowy, Badanie nad zagadnieniem optymalizacji portfela w różnych horyzontach czasowych z wykorzystaniem wielowymiarowych modeli ekonometrycznych, metod ewolucyjnych oraz sztucznej inteligencji, DIAMENTOWY GRANT 0178/DIA/2012/41 MNiSW (kierownik - Paweł Maryniak), IOZ PWr, Wrocław, 2012-2015.
    [budżet: 142 221 PLN]
  5. Kierownik, Modelowanie i prognozowanie hurtowych cen energii elektrycznej z wykorzystaniem modeli przełącznikowych, grant NCN 2011/01/B/HS4/01077, konkurs OPUS, IOZ PWr, Wrocław, 2011-2014.
    [budżet: 329 600 PLN]
  6. Główny wykonawca, Zastosowanie prostych modeli spinowych w marketingu społecznym i komercyjnym, grant NCN 2011/01/B/ST3/00727, konkurs OPUS, IFT UWr, Wrocław, 2011-2014.
    [budżet: 248 100 PLN]
  7. Główny wykonawca, Metody matematyczne w analizie rynków i instrumentów finansowych w Polsce, grant zamawiany PBZ-KBN 016/P03/99, Instytut Matematyczny PAN, Warszawa, 2001-2004.
  8. Wykonawca, Analiza i symulacje gry ekonomicznej na rynkach energii elektrycznej i usług, grant KBN 8 T10B 03417, IASE, Wrocław, 1999-2001.

Granty międzynarodowe

  1. Wiodący partner zagraniczny (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 (Chorwacja) oraz PWr, 2014-2018.
    [budżet: 548 400 HRK]
  2. Wykonawca, 7 Program Ramowy UE, FP7-REGPOT-2012-2013-1, European research Centre of Network intelliGence for INnovation Enhancement - ENGINE, PWr (koordynator), 2013-2016.
  3. Wiodący partner zagraniczny (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) oraz PWr, 2010-2012.
    [budżet: 170 000 AUD]
  4. Kierownik, Developing Models for Pricing of CO2 Emission Rights Trading in Germany and Poland, grant międzynarodowy KBN-DAAD D/05/11810, Humboldt University (Berlin, Niemcy) oraz IASE (Wrocław) / PWr, 2006-2007.
  5. Wykonawca, Analysis of Polish and South African financial markets and instruments, grant międzynarodowy 009/2004-2005, University of the Witwatersrand (RPA) oraz PWr, 2004-2005.
  6. Kierownik, Measuring and managing extreme risks - quantitative methods in operational risk management, grant międzynarodowy KBN-DAAD, zlecenie I-18/483487, Uniwersytet w Karlsruhe (Niemcy) oraz PWr, 2004-2005.
  7. Wykonawca, Development of tools for efficient risk management on German and Polish electric energy markets, grant międzynarodowy KBN-DAAD, zlecenie I-18/483067, Uniwersytet w Karlsruhe (Niemcy) oraz Politechnika Wrocławska (PWr), 2002-2003.

Granty międzynarodowe (dydaktyczne)

  1. Kierownik i wykładowca, program ERASMUS Statistics of Finance, Univerzita Karlova v Praze (Czechy) oraz PWr, 2008-2013.
  2. Kierownik i wykładowca, program ERASMUS Risk Management, University of Karlsruhe (Niemcy) oraz PWr, 2008-2011.
  3. Kierownik i wykładowca, program ERASMUS-SOCRATES Advanced Methods in Finance / Statistics of Finance, Humboldt University (Berlin, Niemcy) oraz PWr, 2003-2010.

Projekty z funduszy strukturalnych

  1. Wykonawca, Barierowe materiały nowej generacji, chroniące człowieka przed szkodliwym działaniem środowiska, zadania 4, 5 i 9, Projekt Kluczowy POIG.01.03.01-00-006/08, PWr, 2009-2012.
  2. Wykonawca, Strategia rozwoju energetyki na Dolnym Śląsku metodami foresightowymi, zadanie 3, Projekt POIG.01.01.01-02-005/08-00, PWr, 2009-2011.
  3. Wykonawca, Czujniki i sensory do pomiarów czynników stanowiących zagrożenia w środowisku - modelowanie i monitoring zagrożeń, zadanie 10, Projekt Kluczowy POIG.01.03.01-02-002/08, PWr, 2009-2012.

Na rzecz innych jednostek

  1. Wykonawca, Analiza zmian w kategoriach: populacja, edukacja, rynek pracy oraz opracowanie modeli stochastycznych procesów ewolucji potencjału ludzkiego w powiecie wrocławskim grodzkim i powiecie wrocławskim ziemskim w latach 2007-2013, umowa Urząd Miejski Wrocławia - PWr, 2006-2007.
  2. Wykonawca, Testowanie i ocena pakietu EPRI Electricity Book v. 0.75.1, umowa PSE S.A. - PWr, 1999-2000.


Konferencje:

Modern Electric Power Systems (MEPS'15) Symposium (*)
Venue: Wrocław, 06-09.07.2015
Selected topics: Modeling and forecasting electricity prices, CO2 emissions trading, investments in the power sector, renewable energy
12th International Conference European Energy Market (EEM15)
Venue: Lisbon, 20-22.05.2015
Selected topics: Electricity market policies, structures and rules; transmission and distribution systems; power generation and renewable energies; towards a fully functioning IEM; gas, carbon and financial markets; competition law, institutional analysis of energy rules and institutions; energy economics, energy management studies
12th Workshop on Stochastic Models, Statistics and Their Applications (SMSA2015)
Venue: Wrocław, 16-20.02.2015
("Statistics in Energy" Session: 19-20.02.2015)
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)
4th Energy Finance Christmas Workshop (EFC14)
Venue: St.Gallen, 11-12.12.2014
Selected topics: Modeling and forecasting electricity prices, CO2 emissions trading, energy and commodity markets, carbon tax, quantitative techniques, weather derivatives, renewable energy
Conference on Energy Finance (EF2014)
Venue: Erice, 24-26.09.2014
Selected topics: Analysis of oil, gasoil, natural gas, coal, carbon, electricity and related energy markets, Pricing and hedging of energy derivatives, Real options, Corporate finance for energy companies, Investment and financing of renewable energy projects
11th International Conference European Energy Market (EEM14)
Venue: Kraków, 28-30.05.2014
Selected topics: Electricity market policies, structures and rules; transmission and distribution systems; power generation and renewable energies; towards a fully functioning IEM; gas, carbon and financial markets; competition law, institutional analysis of energy rules and institutions; energy economics, energy management studies
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
3rd Energy Finance Christmas Workshop (EFC13)
Venue: Oslo, 12-13.12.2013
Selected topics: Modelling of electricity spot prices, CO2 emissions trading, energy and commodity markets, carbon tax, quantitative techniques, weather derivatives, renewable energy, electricity price spike forecasting, the econometrics of oil and gas markets, power market data filtering and deseasonalising
Conference on Energy Finance (EF2013)
Venue: Essen, 9-11.10.2013
Selected topics: Analysis of oil, gasoil, natural gas, coal, carbon, electricity and related energy markets, Pricing and hedging of energy derivatives, Real options, Corporate finance for energy companies, Investment and financing of renewable energy projects
European Conference on Complex Systems (ECCS'13)
Venue: Barcelona, 16-20.09.2013
Selected topics: Foundations of complex systems, information and communication technologies, infrastructures, planning and environment, biological complexity, language, linguistics and cognition, social systems, economics and finance
10th International Conference European Energy Market (EEM13)
Venue: Stockholm, 28-30.05.2013
Selected topics: Electricity market policies, structures and rules; transmission and distribution systems; power generation and renewable energies; towards a fully functioning IEM; gas, carbon and financial markets; competition law, institutional analysis of energy rules and institutions; energy economics, energy management studies
Energy Economics and Finance Seminar
Venue: Reykjavik, 24-25.05.2013
Selected topics: Modelling of electricity spot prices, quantitative techniques, electricity price spike forecasting, the econometrics of oil and gas markets, risk premia, renewable energy, CO2 emissions trading

'Econometrics, Energy and Finance' Workshop
Venue: London, 08.04.2013
Selected topics: Modelling of electricity spot prices, quantitative techniques, electricity price spike forecasting, the econometrics of oil and gas markets, risk premia
2nd Energy Finance Christmas Workshop (EFC12)
Venue: Sydney, 13-14.12.2012
Selected topics: Modelling of electricity spot prices, CO2 emissions trading, energy and commodity markets, carbon tax, quantitative techniques, weather derivatives, renewable energy, electricity price spike forecasting, the econometrics of oil and gas markets, power market data filtering and deseasonalising
Conference on Energy Finance (EF2012)
Venue: Trondheim, 4-5.10.2012
Selected topics: Analysis of oil, gasoil, natural gas, coal, carbon, electricity and related energy markets, Pricing and hedging of energy derivatives, Real options, Corporate finance for energy companies, Investment and financing of renewable energy projects
9th International Conference European Energy Market (EEM12)
Venue: Florence, 10-12.05.2012
Selected topics: Electricity market policies, structures and rules; transmission and distribution systems; power generation and renewable energies; towards a fully functioning IEM; gas, carbon and financial markets; competition law, institutional analysis of energy rules and institutions; energy economics, energy management studies
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
47th Winter School in Theoretical Physics "Simple Models for Complex Systems"
Venue: Lądek Zdrój, 7-12.02.2011
Selected topics: Statistical physics of social and economic systems, The physics of pedestrian dynamics and evacuation processes
Modern Electric Power Systems (MEPS'10) Symposium (*)
Venue: Wrocław, 20-22.09.2010
Selected topics: Modeling electricity prices, Emissions market, Investments in the power sector

(*) Współorganizowane przez Instytut Organizacji i Zarządzania


Seminaria:

Seminarium interdyscyplinarne S3 - "Science meets Social Science"
"Seminarium z Metod Stochastycznych i Numerycznych"
Dawniej: "Statystyka Obliczeniowa i Modelowanie Stochastyczne (SOMS)" (2008-2011),
"Statystyka Obliczeniowa w Ubezpieczeniach i Finansach (CompSIF)" (2003-2007) oraz "Rakiety dla Rynku Energii" (2000-2002)
Seminarium Zakładu Dynamiki Nieliniowej i Układów Złożonych (CoSyNoDy)
Seminarium "Analiza danych dyskretnych"

(*) Naciśnij tutaj aby zobaczyć co powinnaś/powinieneś zabrać ze sobą na seminarium


Wybrane wykłady:

"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. Część I: Narzędzia", "Psychologia Biznesu" (WSPiZ im. L. Koźmińskiego), Warszawa, 20 listopada 2005
[
1.9MB]
"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 2014-12-13.