Artykuły
  1. J. Janczura, A. Puć, Ł. Bielak, A. Wyłomańska (2024) Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors, Statistics & Risk Modeling 41(1-2), 1-26 doi: 10.1515/strm-2022-0012.

  2. J. Janczura, M. Magdziarz, R. Metlzer (2023) Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation, Chaos 33, 103125 , doi: 10.1063/5.0158843.

  3. J. Janczura, T. Barszcz, R. Zimroz, A. Wyłomańska (2023) Early fault detection with data segmentation based on a three-regime, alpha-stable Hidden Markov Model, Measurement 202, 113399, doi: 10.1016/j.measurement.2023.113399.

  4. M. Muszkieta, J. Janczura (2023) A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking, Applied Mathematics and Computation 446, 127900, doi: 10.1016/j.amc.2023.127900 .

  5. J. Janczura, A. Puć (2023) ARX-GARCH probabilistic price forecasts for diversification of trade in electricity markets - variance stabilizing transformation and financial risk-minimizing portfolio allocation, Energies 16(2), 807, doi: 10.3390/en16020807 .

  6. J. Adamska, Ł. Bielak, J. Janczura, A. Wyłomańska (2022) From multi- to univariate: a product random variable with an application to electricity market transactions. Pareto and Student's t distribution case, Mathematics 10(18), 3371, doi: 10.3390/math10183371 .

  7. 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.

  8. J. Janczura, K. Burnecki, M. Muszkieta, A. Stanislavsky, A. Weron (2022) Classification of random trajectories resembling fractional Levy stable motion, Chaos, Solitons & Fractals, 154, 111606, doi: 10.1016/j.chaos.2021.111606.

  9. Ł. Bielak, A. Grzesiek, J. Janczura, A. Wyłomańska (2021) Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling, Resources Policy 74, 102308, doi: 10.1016/j.resourpol.2021.102308.

  10. J. Janczura, M. Balcerek, K. Burnecki, A. Sabri, M. Weiss, D. Krapf (2021) Identifying heterogeneous diffusion states in the cytoplasm by a hidden Markov model, New Journal of Physics 23, 053018, doi: 10.1088/1367-2630/abf204

  11. M. Muszkieta, J. Janczura, A. Weron (2021) Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach, Applied Mathematics and Computation 396, 125902, doi: 10.1016/j.amc.2020.125902.

  12. J. Janczura, P. Kowalek, H. Loch-Olszewska, J. Szwabiński, A. Weron (2020), Classification of particle trajectories in living cells: machine learning versus statistical testing hypothesis for fractional anomalous diffusion, Physical Review E 102, 032402, doi: 10.1103/PhysRevE.102.032402.

  13. A. Stanislavsky, K. Burnecki, M. Malek, W. Nitka, J. Janczura (2020), Prediction performance of Hidden Markov modelling for solar flares, Journal of Atmospheric and Solar-Terrestrial Physics 208, 105407, doi: 10.1016/j.jastp.2020.105407.

  14. J. Janczura, A. Michalak (2020), Optimization of electric energy sales strategy based on probabilistic forecasts, Energies 13(5), 1045, doi: 10.3390/en13051045.

  15. K. Hubicka, J. Janczura (2020), Time-dependent classification of protein diffusion types: A statistical detection of mean-squared-displacement exponent transitions, Physical Review E 101, 022107, doi: 10.1103/PhysRevE.101.022107.

  16. A. Weron, J. Janczura, E. Boryczka, T. Sungkaworn, D. Calebiro (2019) Statistical testing approach for fractional anomalous diffusion classification , Physical Review E 99, 042149, doi: 10.1103/PhysRevE.99.042149.

  17. A.Stanislavsky, K. Burnecki, J. Janczura, K. Niczyj, A. Weron (2019) Solar X-ray variability in terms of a fractional heteroskedastic time series model, Monthly Notices of the Royal Astronomical Society 485, 3970-3980, doi: 10.1093/mnras/stz656.

  18. Hanna Loch-Olszewska, Grzegorz Sikora, Joanna Janczura, A. Weron (2016) Identifying ergodicity breaking for fractional anomalous diffusion: Criteria for minimal trajectory length, Physical Review E 93, 043317, doi: 10.1103/PhysRevE.94.052136.

  19. A. Wyłomańska, R. Zimroz, J. Janczura, J. Obuchowski (2016) Impulsive noise cancellation method for copper ore crusher vibration signals enhancement. IEEE Transactions on Industrial Electronics 63 (9), 5612-5621, doi: 10.1109/TIE.2016.2564342.

  20. H. Loch, J. Janczura, A. Weron (2016) Ergodicity testing using an analytical formula for a dynamical functional of alpha-stable autoregressive fractionally integrated moving average processes. Physical Review E 93, 043317, doi: 10.1103/PhysRevE.93.043317.

  21. J. Janczura, A. Weron (2015) Ergodicity testing for anomalous diffusion: Small sample statistics, Journal of Chemical Physics 142(14), doi: 10.1063/1.4916912 .

  22. J. Janczura (2014) Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach, Mathematical Methods for Operations Research 79(1),1-30. doi:10.1007/s00186-013-0451-8 . Preprint

  23. J. Janczura, M. Maciejewska, A. Szczurek, A. Wyłomańska (2013) Stochastic modeling of indoor air temperature, Journal of Statistical Physics 152 (5), 979-994, doi:10.1007/s10955-013-0794-9 .

  24. J. Janczura, S. Trück, R. Weron, R. Wolff (2013) Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling, Energy Economics 38, 96-110, doi:10.1016/j.eneco.2013.03.013 . Preprint

  25. J. Janczura, R. Weron (2013) Goodness-of-fit testing for the marginal distributions of regime-switching models, AStA - Advances in Statistical Analysis 97(3), 239-279, doi:10.1007/s10182-012-0202-9. Preprint

  26. K. Burnecki, E. Kepten, J. Janczura, I. Bronstein, Y. Garini, A. Weron (2012) Universal algorithm for identification of fractional Brownian motion. A case of telomere subdiffusion, Biophysical Journal 103(9), 1839-1847.

  27. P. Bieńkowski, K. Burnecki, J. Janczura, R. Weron, B. Zubrzak (2012) A new method for automated signal noise cancelation in electromagnetic field measurement, Journal of Electromagnetic Waves and Applications 26(8-9), 1226-1236. Preprint

  28. J. Janczura, A. Wyłomańska (2012) Anomalous diffusion models: different types of subordinator distribution, Acta Physica Polonica B 43(5), 1001-1016. PDF

  29. J. Janczura, R. Weron (2012) Black swans or dragon kings? A simple test for deviations from the power law, European Physical Journal - Special Topics (EPJ ST) 205, 79-93. Preprint

  30. J. Janczura, R. Weron (2012) Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices, AStA - Advances in Statistical Analysis 96(3), 385-407. PDF.

  31. J. Janczura, S. Orzeł, A. Wyłomańska (2011) Subordinated α-stable Ornstein-Uhlenbeck process as a tool for financial data description, Physica A 390, 4379–4387. PDF

  32. J. Janczura, R. Weron (2010) An empirical comparison of alternate regime-switching models for electricity spot prices. Energy Economics 32 (5), 1059-1073. PDF

  33. J. Trzmiel, K. Weron, J. Janczura, E. Placzek-Popko (2009) Properties of the relaxation time distribution underlying the Kohlrausch–Williams–Watts photoionization of the DX centers in Cd1-xMnxTe mixed crystals. Journal of Physics: Condensed Matter 21, 345801. PDF

  34. J. Janczura, A. Wyłomańska (2009) Subdynamics of financial data from fractional Fokker-Planck equation. Acta Physica Polonica B 40 (5), 1341-1351. PDF

  35. K. Burnecki, J. Janczura, M. Magdziarz, A. Weron (2008) Can one see a competition between subdiffusion and Levy flights? A case of geometric-stable noise. Acta Physica Polonica B, 39 (5), 1043-1054. PDF


Rozdziały w książkach
  1. J. Janczura, R. Weron (2014) Inference for Markov-regime switching models of electricity spot prices, w "Quantitative Energy Finance", red. F.E. Benth, P. Laurence, V. Kholdnyi, Springer, New York. Preprint

  2. J. Janczura, M. Teuerle, A. Wyłomańska (2013), Analiza jakości powietrza wewnętrznego z wykorzystaniem metod szeregów czasowych, w "Czujniki i Sensory do Pomiarów Czynników Stanowiących Zagrożenia w Środowisku, cz. 2", red. Waldemar Grzebyk, Wrocław.

  3. K. Burnecki, J. Janczura, R. Weron (2011) Building loss models w "Statistical Tools for Finance and Insurance, vol 2", red. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin. Preprint

Opublikowane referaty konferencyjne
  1. A. Wyłomańska, R. Zimroz, J. Janczura (2015) Identification and stochastic modelling of sources in copper ore crusher vibrations , 11th International Conference on Damage Assessment of Structures (DAMAS 2015), 24-26 August 2015, Ghent, Belgium, Journal of Physics: Conference Series, 628 012125, doi:10.1088/1742-6596/628/1/012125.

  2. J. Janczura, R. Weron (2010) Modeling electricity spot prices: Regime switching models with price-capped spike distributions. IEEE Conference Proceedings, Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wrocław, Poland, paper 02.3. PDF

  3. J. Janczura, R. Weron (2009) Regime switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions. IEEE Conference Proceedings, 6th International Conference on the European Energy Market EEM09, May 27-29, 2009, Leuven, Belgium, doi:10.1109/EEM.2009.5207175.

  4. J. Janczura, A. Weron (2008) Modelling energy forward prices. IEEE Conference Proceedings, 5th International Conference on the European Electricity Market, EEM08, May 28-30, 2008, Lisbon, doi:10.1109/EEM.2008.4579020.

  5. J. Janczura (Gaj) (2007) Wykorzystanie modelu HJM do zarządzania ryzykiem na rynku energii elektrycznej. V Konferencja Naukowa Studentów, Politechnika Wrocławska, 21-23 Maj 2007.


Prace w przygotowaniu lub w recenzji
  1. K. Burnecki, J. Janczura, W. Nitka, A. Stanislavsky (2023) Prediction of solar flares. A statistical analysis, w przygotowaniu.

  2. J. Janczura (2024) Expectile regression averaging method for probabilistic forecasting of electricity prices, wysłana.

  3. J. Janczura, W. Żuławiński, H. Shiri, T. Barszcz, R. Zimroz, A. Wyłomańska (2023) Prediction of machine state for non-Gaussian degradation model using Hidden Markov Model approach, wysłana.

  4. A. Puć, J. Janczura (2023) Machine learning approach to very short-term forecasting for German continuous intraday power market, w przygotowaniu.


Cytowania

Granty, projekty naukowe, stypendia

  • „Prognozowanie probabilistyczne jako narzędzie optymalizacji decyzji uczestników rynku energii elektrycznej”, Narodowe Centrum Nauki, Sonata nr 2019/35/D/HS4/00369, 2020-2023, kierownik.

    Opublikowane artykuły:
    • J. Janczura (2024) Expectile regression averaging method for probabilistic forecasting of electricity prices, wysłana, Computional Statistics, preprint: arXiv:2402.07559; Matlab codes .
    • J. Janczura, A. Puć, Ł. Bielak, A. Wyłomańska (2023) Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors, accepted, Statistics & Risk Modeling, doi: 10.1515/strm-2022-0012.
    • J. Janczura, A. Puć (2023) ARX-GARCH probabilistic price forecasts for diversification of trade in electricity markets - variance stabilizing transformation and financial risk-minimizing portfolio allocation, Energies 16(2), 807, doi: 10.3390/en16020807 ; Matlab codes .
    • J. Adamska, Ł. Bielak, J. Janczura, A. Wyłomańska (2022) From multi- to univariate: a product random variable with an application to electricity market transactions. Pareto and Student's t distribution case, Mathematics 10(18), 3371, doi: 10.3390/math10183371 .
    • 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; Matlab codes .
    • Ł. Bielak, A. Grzesiek, J. Janczura, A. Wyłomańska (2021) Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling, Resources Policy 74, 102308, doi: 10.1016/j.resourpol.2021.102308.

  • „Uniwersalny moduł diagnostyczno-prognostyczny dla systemów monitorowania stanu złożonych struktur mechanicznych pracujących w obecności zakłóceń o charakterze niegaussowskim oraz zmiennych warunkach eksploatacyjnych”, NCBiR, 2022-2023, wykonawca

  • „Analiza probabilistyczna, numeryczna i statystyczna procesów sub- i superdyfuzji”, NCN Sonata Bis, 2020-2023, wykonawca

  • Projekt badawczy z Nokia Solutions and Networks, 2022, wykonawca

  • Stypendium Ministra dla wybitnych młodych naukowców, 2018-2021

  • Stypendium START, FNP, 2015

  • „Modelowanie i prognozowanie hurtowych cen energii elektrycznej z wykorzystaniem modeli przełącznikowych”, NCN Opus, 2011-2013, wykonawca

  • Stypendium „Przedsiębiorczy doktorant - inwestycja w innowacyjny rozwój regionu”, ESF, 2010-2012

  • Stypendium Młoda Kadra, PWr, ESF, 2010, 2012

  • Stypendium „GRANT - wsparcie prac badawczych poprzez stypendia naukowe dla doktorantów”, ESF, 2009-2010

  • „Czujniki i sensory do pomiarów czynników stanowiących zagrożenia w środowisku - modelowanie i monitoring zagrożeń”, POIG, 2008-2013, wykonawca

  • „Strategia rozwoju energetyki na Dolnym Śląsku metodami foresightowymi”, POIG, 2008-2009, wykonawca


Inne

Prace mgr/dr
  • Praca magisterska (MFU, WPPT, PWr): The application of the HJM model to the electric energy options market, 2007. Promotor: prof. A. Weron
  • Praca magisterska (ECMI, WPPT, PWr): Subdynamics of financial data from Fractional Fokker-Planck equation, 2009. Promotor: dr hab. R. Weron
  • Praca doktorska (IMiI, PWr): Stochastic modeling of prices in the energy market, 2011. Promotor: dr hab. R. Weron