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Kostrzewski, Maciej

doi:10.5506/aphyspolb.43.2001

Cited by 8 publications

(11 citation statements)

References 16 publications

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“…A natural question is how such anomalies might arise. That structure could and should form at an accelerated pace was anticipated well in advance by Sanders (1998), McGaugh (1999a, Stachniewicz & Kutschera (2001), Sanders (2008), and others -see Mc-Gaugh (2015) and references therein. The new physics driving the prediction of early structure formation is MOND (Milgrom 1983).…”

Section: Accelerated Structure Formationmentioning

confidence: 92%

Presence of a fundamental acceleration scale in galaxies

McGaugh

Lelli

et al. 2018

Nat Astron

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Galaxies in the early universe appear to have grown too big too fast, assembling into massive, monolithic objects more rapidly than anticipated in the hierarchical ΛCDM structure formation paradigm. The available data are consistent with there being a population of massive galaxies that form early (z ≳ 10) and follow an approximately exponential star formation history with a short (≲ 1 Gyr) efolding timescale on the way to becoming massive (M * ≈ 10 11 M ⊙ ) galaxies by z = 0, consistent with the traditional picture for the evolution of giant elliptical galaxies. Observations of the kinematics of spiral galaxies as a function of redshift similarly show that massive disks and their scaling relations were in place at early times, indicating a genuine effect in mass that cannot be explained as a quirk of luminosity evolution. That massive galaxies could form by z = 10 was explicitly predicted in advance by MOND. We discuss some further predictions of MOND, such as the early emergence of clusters of galaxies and the cosmic web.

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Section: Accelerated Structure Formationmentioning

confidence: 92%

Presence of a fundamental acceleration scale in galaxies

McGaugh

Lelli

et al. 2018

Nat Astron

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“…Nieparametryczna metoda wykrywania skoków została oparta na pracach [Ané, Métais 2010;Barndorff-Nielsen, Shephard 2004;2006a;2006b], a także [Kostrzewski 2012]. W technice tej identyfikacja skoków opiera na spostrzeżeniu, że w szeregu cen można zaobserwować małe zmiany cen w czasie, zwane zmianami ciągłymi, jak również sporadyczne gwałtowne zmiany -skoki.…”

Section: Dane I Metody Wykrywania Skokówunclassified

Some Methods of Electricity Price Jump Detection

Kostrzewska¹,

Kostrzewski²

2018

PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU

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Streszczenie: Ważną cechą rynków energii jest występowanie gwałtownych zmian cen. Skoki cen są zwyczajnym zjawiskiem na rynkach energii, przy tym ich występowanie jest częstsze, a zmiany wartości są gwałtowniejsze niż na innych rynkach towarowych czy finansowych. W artykule w celu identyfikacji skoków wykorzystano metody oparte na: analizie kwantylowej, kryterium Tukeya, rekurencyjnym filtrze cen oraz nieparametrycznej technice Barndorffa-Nielsena i Shepharda. Przeprowadzono analizę sezonowości skoków cen energii elektrycznej w okresie zimowym/letnim, dniach tygodnia oraz godzinach doby. Za pomocą procesu Hawkesa wskazano na występowanie grupowania skoków cen. Analizę przeprowadzono na podstawie danych pochodzących z rynku dnia następnego giełdy Nord Pool. Wyniki pracy pozwalają lepiej zrozumieć mechanizm powstawania skoków cen oraz dostarczają cennych wskazówek pomocnych w konstrukcji zaawansowanych struktur stochastycznych wykorzystywanych w prognozowaniu skoków oraz cen energii elektrycznej.

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“…Modelling and/or forecasting occurrences of price jumps was analysed in several papers (e.g., [32][33][34][35][36][37][38][39]). For example, in order to forecast upward jumps/spikes of electricity prices (0-1 dependent variable), Christensen et al [32], Eichler et al [33,34] employed the dynamic logit models, the ACH models and their modifications; Kostrzewska and Kostrzewski [39] used the logit model; while Hellström et al [35] considered modelling positive (upward) and negative (downward) jumps of daily electricity prices by means of the ordered probit model.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Forecasting Jumps on Forecasting Electricity Prices

Kostrzewski

Kostrzewska

2021

Energies

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The paper is devoted to forecasting hourly day-ahead electricity prices from the perspective of the existence of jumps. We compare the results of different jump detection techniques and identify common features of electricity price jumps. We apply the jump-diffusion model with a double exponential distribution of jump sizes and explanatory variables. In order to improve the accuracy of electricity price forecasts, we take into account the time-varying intensity of price jump occurrences. We forecast moments of jump occurrences depending on several factors, including seasonality and weather conditions, by means of the generalised ordered logit model. The study is conducted on the basis of data from the Nord Pool power market. The empirical results indicate that the model with the time-varying intensity of jumps and a mechanism of jump prediction is useful in forecasting electricity prices for peak hours, i.e., including the probabilities of downward, no or upward jump occurrences into the model improves the forecasts of electricity prices.

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Untitled

Cited by 8 publications

References 16 publications

Presence of a fundamental acceleration scale in galaxies

Presence of a fundamental acceleration scale in galaxies

Some Methods of Electricity Price Jump Detection

The Impact of Forecasting Jumps on Forecasting Electricity Prices

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