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Resource type: source code

Matlab codes for constructing risk minimization trading strategy in electricity markets based on probabilistic price forecasts.

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Title Matlab codes for constructing risk minimization trading strategy in electricity markets based on probabilistic price forecasts.
Persons Authors: Edyta Wójcik, Joanna Janczura
Partner: Wrocław University of Science and Technology
Description Source codes for constructing risk minimization trading strategy in electricity markets based on probabilistic price forecasts.

Prepared for the article: J. Janczura, E. Wójcik (2022) Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study, Energy Economics 110, 106015, doi: 10.1016/j.eneco.2022.106015.

Work conducted within a National Science Center, Sonata, grant nr. 2019/35/D/HS4/00369, 2020-2023, „Probabilistic forecasting as a tool for the optimization of decision processes in electricity markets”. (English)
Keywords "risk management"@en, "strategy optimization"@en, "electricity trade"@en, "electricity spot prices"@en
Classification Resource type: source code
Scientific discipline: Dziedzina nauk społecznych / nauki o zarządzaniu i jakości (2018)
Destination group: scientists
Harmful content: No
Characteristics Programming language: MATLAB
License CC BY-SA 4.0
Technical information Submitter: Joanna Janczura
Availability date: 06-02-2025
Collections Kolekcja Politechniki Wrocławskiej

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Edyta Wójcik, Joanna Janczura. Matlab codes for constructing risk minimization trading strategy in electricity markets based on probabilistic price forecasts.. [source code] Available in Atlas of Open Science Resources, . License: CC BY-SA 4.0, https://creativecommons.org/licenses/by-sa/4.0/legalcode.pl. Date of access: DD.MM.RRRR.