Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A new method for automated noise cancellation in electromagnetic field measurement |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
126 |
A note on averaging day-ahead electricity price forecasts across calibration windows |
1 |
4 |
15 |
118 |
1 |
5 |
25 |
181 |
A note on using the Hodrick-Prescott filter in electricity markets |
0 |
1 |
3 |
107 |
1 |
2 |
17 |
261 |
A review of electricity price forecasting: The past, the present and the future |
1 |
1 |
3 |
238 |
3 |
4 |
16 |
316 |
A semiparametric factor model for electricity forward curve dynamics |
0 |
1 |
3 |
104 |
0 |
2 |
5 |
244 |
A semiparametric factor model for electricity forward curve dynamics |
0 |
0 |
0 |
68 |
0 |
0 |
0 |
172 |
A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) |
0 |
1 |
2 |
16 |
0 |
2 |
10 |
124 |
A simple model of price formation |
0 |
1 |
1 |
31 |
0 |
1 |
4 |
114 |
An empirical comparison of alternate regime-switching models or electricity spot prices |
0 |
0 |
0 |
164 |
0 |
0 |
3 |
375 |
An empirical comparison of alternate schemes for combining electricity spot price forecasts |
0 |
1 |
5 |
155 |
0 |
2 |
30 |
395 |
An introduction to simulation of risk processes |
0 |
0 |
3 |
43 |
2 |
2 |
12 |
205 |
Analysis of ROBECO data by neural networks |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
75 |
Automated variable selection and shrinkage for day-ahead electricity price forecasting |
0 |
0 |
4 |
154 |
0 |
1 |
16 |
300 |
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting |
0 |
0 |
4 |
13 |
0 |
1 |
11 |
29 |
Balancing RES generation: Profitability of an energy trader |
1 |
2 |
8 |
66 |
1 |
4 |
24 |
115 |
Beating the naive: Combining LASSO with naive intraday electricity price forecasts |
1 |
1 |
5 |
67 |
1 |
2 |
11 |
99 |
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo |
0 |
0 |
1 |
29 |
0 |
0 |
4 |
244 |
Black swans or dragon kings? A simple test for deviations from the power law |
0 |
0 |
0 |
112 |
1 |
1 |
1 |
383 |
Black swans or dragon kings? A simple test for deviations from the power law |
1 |
1 |
1 |
42 |
1 |
1 |
3 |
126 |
Black swans or dragon kings? A simple test for deviations from the power law |
0 |
0 |
1 |
68 |
0 |
0 |
1 |
171 |
Blackouts, risk, and fat-tailed distributions |
0 |
0 |
1 |
198 |
0 |
1 |
7 |
590 |
Building Loss Models |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
167 |
Building Loss Models |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
46 |
Building Loss Models |
0 |
0 |
5 |
318 |
2 |
5 |
55 |
1,420 |
Calibration window selection based on change-point detection for forecasting electricity prices |
1 |
1 |
1 |
1 |
3 |
3 |
3 |
3 |
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets |
0 |
0 |
1 |
72 |
0 |
0 |
3 |
136 |
Computationally intensive Value at Risk calculations |
0 |
0 |
0 |
25 |
0 |
1 |
3 |
131 |
Computing electricity spot price prediction intervals using quantile regression and forecast averaging |
0 |
1 |
3 |
216 |
1 |
2 |
14 |
386 |
Convenience Yields for CO2 Emission Allowance Futures Contracts |
0 |
0 |
0 |
324 |
0 |
1 |
16 |
994 |
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period |
0 |
2 |
5 |
69 |
1 |
3 |
15 |
170 |
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" |
0 |
0 |
3 |
103 |
0 |
1 |
7 |
374 |
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" |
1 |
1 |
1 |
79 |
1 |
5 |
12 |
270 |
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations |
0 |
0 |
6 |
27 |
2 |
5 |
17 |
89 |
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks |
0 |
0 |
1 |
50 |
0 |
2 |
9 |
66 |
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models |
1 |
2 |
13 |
215 |
3 |
7 |
30 |
407 |
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices |
0 |
0 |
0 |
54 |
0 |
0 |
3 |
159 |
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach |
0 |
0 |
1 |
75 |
0 |
1 |
3 |
152 |
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising |
1 |
1 |
5 |
182 |
1 |
1 |
9 |
427 |
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) |
0 |
0 |
0 |
9 |
0 |
0 |
3 |
74 |
Efficient estimation of Markov regime-switching models: An application to electricity spot prices |
0 |
2 |
2 |
363 |
1 |
5 |
16 |
809 |
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices |
0 |
0 |
0 |
171 |
0 |
0 |
2 |
334 |
Efficient forecasting of electricity spot prices with expert and LASSO models |
0 |
0 |
2 |
50 |
1 |
1 |
8 |
76 |
Electricity Price Forecasting: The Dawn of Machine Learning |
111 |
111 |
111 |
111 |
211 |
211 |
211 |
211 |
Electricity price forecasting |
3 |
4 |
12 |
133 |
3 |
5 |
54 |
282 |
Electricity price forecasting |
3 |
7 |
73 |
462 |
8 |
34 |
394 |
1,406 |
Electricity price forecasting: A review of the state-of-the-art with a look into the future |
1 |
4 |
8 |
341 |
2 |
9 |
40 |
770 |
Energy forecasting: A review and outlook |
2 |
2 |
13 |
284 |
4 |
5 |
96 |
736 |
Energy price risk management |
0 |
0 |
0 |
56 |
0 |
0 |
1 |
212 |
Erratum to 'Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark' [Appl. Energy 293 (2021) 116983] |
1 |
3 |
13 |
13 |
5 |
10 |
33 |
33 |
Estimating long range dependence: finite sample properties and confidence intervals |
0 |
1 |
2 |
87 |
0 |
1 |
6 |
326 |
Evaluating the performance of VaR models in energy markets |
0 |
0 |
0 |
149 |
0 |
0 |
0 |
226 |
Evolution in a changing environment |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
109 |
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS |
0 |
2 |
6 |
1,254 |
2 |
4 |
22 |
2,443 |
FX Smile in the Heston Model |
0 |
0 |
1 |
33 |
0 |
1 |
4 |
174 |
FX Smile in the Heston Model |
0 |
1 |
3 |
99 |
0 |
2 |
12 |
298 |
FX Smile in the Heston Model |
0 |
0 |
0 |
57 |
0 |
2 |
2 |
197 |
FX Smile in the Heston Model |
0 |
1 |
1 |
141 |
0 |
2 |
3 |
422 |
Forecasting Electricity Prices |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark |
1 |
2 |
7 |
37 |
1 |
3 |
19 |
68 |
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships |
0 |
0 |
2 |
114 |
0 |
0 |
3 |
176 |
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market |
0 |
0 |
2 |
174 |
0 |
1 |
5 |
352 |
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models |
0 |
0 |
7 |
225 |
3 |
8 |
24 |
554 |
Forecasting the occurrence of electricity price spikes in the UK power market |
1 |
4 |
14 |
206 |
2 |
5 |
20 |
429 |
Forecasting wholesale electricity prices: A review of time series models |
0 |
0 |
0 |
126 |
0 |
0 |
0 |
298 |
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs |
0 |
0 |
2 |
132 |
3 |
4 |
19 |
247 |
Goodness-of-fit testing for regime-switching models |
0 |
1 |
4 |
140 |
0 |
1 |
8 |
231 |
Goodness-of-fit testing for the marginal distribution of regime-switching models |
0 |
0 |
1 |
53 |
0 |
0 |
1 |
154 |
Habitat momentum |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
63 |
Heavy tails and electricity prices |
1 |
2 |
3 |
26 |
1 |
2 |
9 |
144 |
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? |
0 |
0 |
1 |
226 |
0 |
1 |
5 |
504 |
Heavy-tailed distributions in VaR calculations |
0 |
3 |
9 |
298 |
1 |
9 |
27 |
835 |
Heavy-tails and regime-switching in electricity prices |
0 |
0 |
0 |
78 |
0 |
0 |
3 |
164 |
How effective is advertising in duopoly markets? |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
76 |
How effective is advertising in duopoly markets? |
0 |
0 |
0 |
284 |
0 |
0 |
10 |
1,047 |
Hurst analysis of electricity price dynamics |
0 |
0 |
2 |
58 |
0 |
1 |
5 |
183 |
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling |
0 |
0 |
1 |
119 |
0 |
1 |
5 |
219 |
Impact of social interactions on demand curves for innovative products |
0 |
0 |
0 |
69 |
0 |
0 |
3 |
95 |
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models |
0 |
1 |
3 |
154 |
0 |
4 |
12 |
290 |
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO |
1 |
1 |
15 |
44 |
4 |
7 |
51 |
89 |
Improving short term load forecast accuracy via combining sister forecasts |
0 |
0 |
1 |
228 |
0 |
0 |
9 |
425 |
Inference for Markov-regime switching models of electricity spot prices |
0 |
2 |
3 |
215 |
3 |
5 |
14 |
464 |
Interval forecasting of spot electricity prices |
0 |
0 |
0 |
31 |
0 |
1 |
8 |
110 |
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? |
0 |
0 |
0 |
0 |
0 |
0 |
30 |
30 |
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime |
0 |
0 |
1 |
104 |
1 |
1 |
9 |
520 |
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime |
0 |
0 |
2 |
618 |
0 |
0 |
3 |
1,445 |
Loss Distributions |
0 |
0 |
3 |
166 |
1 |
5 |
17 |
473 |
Market price of risk implied by Asian-style electricity options |
0 |
0 |
0 |
629 |
0 |
0 |
3 |
1,421 |
Measuring long-range dependence in electricity prices |
0 |
2 |
3 |
48 |
0 |
2 |
6 |
129 |
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices |
0 |
1 |
6 |
133 |
2 |
5 |
17 |
223 |
Modeling and forecasting electricity loads: A comparison |
0 |
0 |
1 |
1,262 |
0 |
1 |
10 |
2,846 |
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices |
0 |
0 |
0 |
146 |
0 |
0 |
4 |
306 |
Modeling catastrophe claims with left-truncated severity distributions (extended version) |
0 |
1 |
1 |
28 |
0 |
1 |
1 |
181 |
Modeling consumer opinions towards dynamic pricing: An agent-based approach |
0 |
0 |
4 |
76 |
0 |
0 |
7 |
194 |
Modeling electricity loads in California: ARMA models with hyperbolic noise |
0 |
0 |
1 |
51 |
0 |
0 |
3 |
185 |
Modeling electricity prices with regime switching models |
1 |
1 |
4 |
1,027 |
1 |
1 |
15 |
1,874 |
Modeling electricity prices: jump diffusion and regime switching |
2 |
2 |
6 |
214 |
5 |
7 |
18 |
588 |
Modeling electricity spot prices: Regime switching models with price-capped spike distributions |
0 |
0 |
1 |
106 |
0 |
1 |
4 |
199 |
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market |
0 |
2 |
3 |
673 |
0 |
3 |
10 |
1,234 |
Modeling the risk process in the XploRe computing environment |
0 |
0 |
0 |
131 |
0 |
0 |
6 |
358 |
Modeling the risk process in the XploRe computing environment |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
52 |
Modelling catastrophe claims with left-truncated severity distributions (extended version) |
0 |
0 |
0 |
44 |
0 |
0 |
0 |
236 |
Modelling price spikes in electricity markets - the impact of load, weather and capacity |
1 |
2 |
12 |
188 |
2 |
5 |
34 |
421 |
Models for Heavy-tailed Asset Returns |
0 |
0 |
0 |
38 |
0 |
3 |
13 |
188 |
Models for Heavy-tailed Asset Returns |
0 |
0 |
2 |
68 |
0 |
0 |
5 |
200 |
Models for Heavy-tailed Asset Returns |
0 |
0 |
1 |
198 |
2 |
2 |
10 |
391 |
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx |
5 |
6 |
28 |
42 |
9 |
10 |
66 |
70 |
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs |
0 |
0 |
5 |
38 |
1 |
1 |
16 |
50 |
On detecting and modeling periodic correlation in financial data |
1 |
1 |
1 |
274 |
2 |
4 |
6 |
625 |
On the importance of the long-term seasonal component in day-ahead electricity price forecasting |
0 |
0 |
1 |
111 |
0 |
0 |
5 |
192 |
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting |
0 |
0 |
7 |
119 |
2 |
4 |
19 |
256 |
Origins of scaling in FX markets |
0 |
0 |
1 |
35 |
0 |
0 |
3 |
152 |
Origins of the scaling behaviour in the dynamics of financial data |
0 |
0 |
0 |
18 |
0 |
0 |
4 |
124 |
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland |
0 |
0 |
0 |
22 |
0 |
0 |
4 |
94 |
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland |
0 |
0 |
1 |
54 |
0 |
0 |
4 |
194 |
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices |
0 |
1 |
9 |
231 |
0 |
1 |
26 |
658 |
Performance of the estimators of stable law parameters |
0 |
0 |
1 |
28 |
1 |
1 |
4 |
122 |
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market |
0 |
1 |
1 |
194 |
0 |
1 |
2 |
641 |
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) |
0 |
0 |
0 |
12 |
0 |
0 |
7 |
124 |
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
132 |
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) |
0 |
0 |
0 |
49 |
0 |
0 |
4 |
243 |
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? |
1 |
3 |
11 |
141 |
2 |
7 |
34 |
258 |
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging |
0 |
4 |
11 |
254 |
0 |
8 |
34 |
537 |
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts |
0 |
0 |
2 |
175 |
0 |
1 |
34 |
341 |
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts |
0 |
2 |
10 |
489 |
1 |
8 |
38 |
1,021 |
Property insurance loss distributions |
0 |
0 |
4 |
109 |
0 |
1 |
13 |
433 |
Recent advances in electricity price forecasting: A review of probabilistic forecasting |
3 |
7 |
21 |
413 |
3 |
9 |
49 |
855 |
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions |
0 |
0 |
0 |
118 |
0 |
1 |
2 |
284 |
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting |
2 |
5 |
27 |
129 |
5 |
11 |
51 |
132 |
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market |
0 |
1 |
4 |
395 |
0 |
3 |
21 |
380 |
Rewiring the network. What helps an innovation to diffuse? |
0 |
0 |
0 |
111 |
0 |
0 |
3 |
96 |
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices |
0 |
1 |
10 |
265 |
0 |
5 |
25 |
579 |
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
118 |
Scaling in currency exchange: A Conditionally Exponential Decay approach |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
108 |
Selection of calibration windows for day-ahead electricity price forecasting |
0 |
0 |
6 |
63 |
0 |
2 |
12 |
83 |
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals |
0 |
0 |
8 |
142 |
1 |
3 |
35 |
281 |
Short-term electricity price forecasting with time series models: A review and evaluation |
4 |
13 |
42 |
418 |
11 |
33 |
99 |
1,100 |
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design |
2 |
9 |
31 |
42 |
7 |
18 |
91 |
112 |
Simulation of Risk Processes |
0 |
0 |
2 |
97 |
0 |
0 |
6 |
293 |
Simulation of risk processes |
0 |
0 |
1 |
26 |
0 |
0 |
7 |
133 |
Stable Distributions |
1 |
2 |
4 |
230 |
2 |
4 |
15 |
434 |
Structure and stylized facts of a deregulated power market |
0 |
0 |
0 |
109 |
0 |
0 |
5 |
372 |
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS |
1 |
3 |
48 |
316 |
7 |
23 |
245 |
1,324 |
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach |
0 |
0 |
1 |
32 |
0 |
1 |
10 |
82 |
To combine or not to combine? Recent trends in electricity price forecasting |
2 |
3 |
11 |
171 |
2 |
4 |
35 |
319 |
Trading on short-term path forecasts of intraday electricity prices |
5 |
10 |
22 |
52 |
6 |
14 |
49 |
113 |
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs |
0 |
0 |
0 |
97 |
0 |
0 |
1 |
212 |
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products |
0 |
0 |
3 |
43 |
0 |
1 |
16 |
170 |
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO |
0 |
1 |
3 |
151 |
0 |
4 |
14 |
262 |
Variance stabilizing transformations for electricity spot price forecasting |
1 |
3 |
15 |
168 |
3 |
14 |
74 |
621 |
Visualization tools for insurance risk processes |
0 |
0 |
5 |
30 |
0 |
0 |
14 |
153 |
Total Working Papers |
166 |
263 |
837 |
22,592 |
360 |
648 |
3,009 |
54,974 |
Software Item |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method |
3 |
12 |
61 |
851 |
6 |
25 |
122 |
1,865 |
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage |
0 |
2 |
17 |
1,042 |
4 |
12 |
48 |
2,599 |
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' |
0 |
0 |
3 |
180 |
0 |
1 |
17 |
520 |
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails |
0 |
0 |
2 |
154 |
0 |
0 |
75 |
580 |
COR: MATLAB function to compute the correlation coefficients |
0 |
1 |
7 |
798 |
4 |
14 |
85 |
6,546 |
DESEASONALIZE: MATLAB function to remove short and long term seasonal components |
1 |
8 |
47 |
1,629 |
11 |
25 |
163 |
4,443 |
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) |
3 |
6 |
16 |
452 |
4 |
8 |
36 |
925 |
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) |
10 |
21 |
129 |
2,767 |
17 |
66 |
446 |
7,232 |
ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 |
0 |
2 |
12 |
12 |
2 |
6 |
39 |
39 |
ENERGIES_14_3249_PYTHON: Market data and PYTHON codes for computing electricity spot price forecasts using LASSO-estimated AR (LEAR) models as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 |
4 |
9 |
25 |
25 |
8 |
18 |
64 |
64 |
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" |
1 |
3 |
37 |
233 |
2 |
11 |
89 |
517 |
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" |
0 |
2 |
26 |
141 |
2 |
9 |
73 |
412 |
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) |
4 |
13 |
49 |
49 |
17 |
58 |
216 |
216 |
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter |
0 |
0 |
7 |
169 |
0 |
2 |
17 |
691 |
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB |
1 |
24 |
41 |
159 |
2 |
40 |
114 |
459 |
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model |
0 |
1 |
3 |
230 |
0 |
3 |
16 |
866 |
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) |
1 |
10 |
40 |
796 |
1 |
14 |
74 |
1,981 |
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) |
2 |
2 |
7 |
313 |
2 |
2 |
12 |
687 |
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model |
0 |
0 |
2 |
144 |
0 |
0 |
3 |
404 |
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile |
0 |
0 |
0 |
175 |
0 |
0 |
3 |
532 |
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) |
0 |
0 |
1 |
99 |
0 |
1 |
4 |
369 |
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model |
3 |
6 |
13 |
365 |
3 |
12 |
44 |
1,056 |
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model |
13 |
26 |
110 |
868 |
43 |
92 |
416 |
2,570 |
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis |
11 |
41 |
256 |
5,086 |
44 |
136 |
811 |
12,609 |
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods |
0 |
0 |
5 |
215 |
0 |
1 |
13 |
478 |
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods |
0 |
0 |
3 |
165 |
0 |
0 |
14 |
371 |
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods |
2 |
2 |
9 |
203 |
3 |
3 |
16 |
398 |
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" |
0 |
1 |
7 |
235 |
0 |
1 |
16 |
512 |
MFE Toolbox ver. 1.0.1 for MATLAB |
5 |
12 |
36 |
1,222 |
12 |
27 |
169 |
2,970 |
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood |
2 |
8 |
50 |
1,566 |
5 |
19 |
140 |
3,599 |
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process |
1 |
1 |
5 |
258 |
1 |
3 |
16 |
706 |
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process |
0 |
2 |
16 |
1,021 |
3 |
9 |
57 |
2,639 |
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes |
2 |
3 |
18 |
630 |
2 |
4 |
37 |
1,528 |
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes |
1 |
1 |
9 |
293 |
1 |
2 |
24 |
667 |
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes |
2 |
3 |
10 |
221 |
2 |
4 |
26 |
559 |
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes |
3 |
3 |
11 |
402 |
3 |
4 |
20 |
803 |
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes |
1 |
1 |
9 |
340 |
1 |
2 |
14 |
694 |
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes |
1 |
1 |
6 |
258 |
1 |
1 |
12 |
651 |
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model |
0 |
0 |
2 |
205 |
0 |
2 |
10 |
525 |
PERIODOG: MATLAB function to compute and plot the periodogram of a time series |
2 |
4 |
22 |
905 |
5 |
15 |
86 |
2,736 |
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model |
0 |
0 |
11 |
243 |
0 |
0 |
16 |
514 |
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model |
1 |
1 |
9 |
169 |
1 |
1 |
16 |
440 |
REMST: MATLAB function to remove trend and seasonal component using the moving average method |
1 |
2 |
11 |
1,277 |
4 |
15 |
55 |
3,555 |
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series |
2 |
5 |
8 |
257 |
4 |
10 |
33 |
1,006 |
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model |
1 |
4 |
11 |
160 |
1 |
4 |
32 |
339 |
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" |
0 |
2 |
40 |
234 |
2 |
6 |
57 |
415 |
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) |
2 |
8 |
28 |
740 |
11 |
39 |
153 |
2,632 |
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) |
0 |
1 |
5 |
390 |
2 |
8 |
22 |
1,324 |
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model |
0 |
0 |
2 |
508 |
0 |
1 |
5 |
1,189 |
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" |
2 |
4 |
15 |
127 |
2 |
4 |
23 |
245 |
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch |
0 |
0 |
3 |
310 |
1 |
4 |
14 |
664 |
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT |
0 |
1 |
6 |
611 |
1 |
2 |
41 |
1,897 |
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis |
0 |
0 |
4 |
306 |
0 |
3 |
11 |
809 |
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams |
0 |
4 |
14 |
392 |
1 |
5 |
41 |
948 |
STABLERND: MATLAB function to generate random numbers from the stable distribution |
3 |
3 |
11 |
523 |
4 |
14 |
34 |
1,444 |
STF2HES: MATLAB functions for "FX smile in the Heston model" |
0 |
0 |
4 |
233 |
0 |
1 |
8 |
646 |
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" |
0 |
0 |
3 |
126 |
0 |
0 |
13 |
458 |
The World According to Spinson (WAS): Standalone application for simulating agent-based models |
0 |
1 |
4 |
122 |
1 |
5 |
55 |
423 |
Total Software Items |
91 |
267 |
1,318 |
31,604 |
246 |
774 |
4,286 |
86,966 |