Robert Ślepaczuk
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Robert |
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Ślepaczuk |
Identifer
Contact
Affiliations
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Uniwersytet Warszawski
/ Wydział Nauk Ekonomicznych
Research profile
author of:
- Systemic risk indicator based on implied and realized volatility (RePEc:arx:papers:2307.05719)
by Pawe{l} Sakowski & Rafa{l} Sieradzki & Robert 'Slepaczuk - Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies (RePEc:arx:papers:2309.10546)
by Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk - Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices (RePEc:arx:papers:2309.15640)
by Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk - Supervised Autoencoder MLP for Financial Time Series Forecasting (RePEc:arx:papers:2404.01866)
by Bartosz Bieganowski & Robert Slepaczuk - Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market (RePEc:arx:papers:2406.10695)
by Adam Korniejczuk & Robert 'Slepaczuk - Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data (RePEc:arx:papers:2406.17308)
by Zuzanna Kostecka & Robert 'Slepaczuk - LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies (RePEc:arx:papers:2406.18206)
by Kamil Kashif & Robert 'Slepaczuk - Construction and Hedging of Equity Index Options Portfolios (RePEc:arx:papers:2407.13908)
by Maciej Wysocki & Robert 'Slepaczuk - The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models (RePEc:arx:papers:2407.16780)
by Natalia Roszyk & Robert 'Slepaczuk - Enhancing literature review with LLM and NLP methods. Algorithmic trading case (RePEc:arx:papers:2411.05013)
by Stanis{l}aw {L}aniewski & Robert 'Slepaczuk - Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data (RePEc:arx:papers:2411.12753)
by Bartosz Bieganowski & Robert 'Slepaczuk - Generalized Mean Absolute Directional Loss as a Solution to Overfitting and High Transaction Costs in Machine Learning Models Used in High-Frequency Algorithmic Investment Strategies (RePEc:arx:papers:2412.18405)
by Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk - Does historical VIX term structure contain valuable information for predicting VIX futures? (RePEc:cpn:umkdem:v:14:y:2014:p:5-28)
by Juliusz Jablecki & Robert Slepaczuk & Ryszard Kokoszczynski & Pawel Sakowski & Piotr Wojcik - Momentum and contrarian effects on the cryptocurrency market (RePEc:eee:phsmap:v:523:y:2019:i:c:p:691-701)
by Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert - Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index (RePEc:eee:phsmap:v:592:y:2022:i:c:s037843712100964x)
by Bui, Quynh & Ślepaczuk, Robert - Application of machine learning in algorithmic investment strategies on global stock markets (RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001782)
by Grudniewicz, Jan & Ślepaczuk, Robert - Efficiency of the Market of Derivative Instruments Listed on the Warsaw Stock Exchange (RePEc:eko:ekoeko:12_163)
by Robert Ślepaczuk - Volatility Measurement, Modeling and Forecasting—An Overview of the Literature (RePEc:eko:ekoeko:31_22)
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik - Wycena opcji na VIX – podejscie heurystyczne (RePEc:eko:ekoeko:38_75)
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik - Applying exogenous variables and regime switching to multi-factor models on equity indices (RePEc:eko:ekoeko:47_79)
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał - Analysis of HF data on the WSE in the context of EMH (RePEc:pra:mprapa:9532)
by Strawinski, Pawel & Slepaczuk, Robert - Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices (RePEc:rze:efinan:v:12:y:2016:i:2:p:23-35)
by Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³ - Analysis Of High Frequency Data On The Warsaw Stock Exchange In The Context Of Efficient Market Hypothesis (RePEc:ush:jaessh:v:3:y:2008:i:3(5)_fall2008:p:306-319)
by Pawel STRAWINSKI & Robert SLEPACZUK - Cross-Country Differences in Return and Volatility Metrics of World Equity Indices (RePEc:vrs:ceuecj:v:10:y:2023:i:57:p:91-115:n:3)
by Sheraliev Iskandar & Ślepaczuk Robert - Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options (RePEc:vrs:ceuecj:v:4:y:2017:i:51:p:18-39:n:1002)
by Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk - Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options (RePEc:vrs:ceuecj:v:4:y:2017:i:51:p:18-39:n:3)
by Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk - Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market (RePEc:vrs:ceuecj:v:5:y:2018:i:52:p:186-205:n:18)
by Ślepaczuk Robert & Zenkova Maryna - Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency (RePEc:vrs:ceuecj:v:5:y:2018:i:52:p:206-229:n:17)
by Ryś Przemysław & Ślepaczuk Robert - Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor (RePEc:vrs:ecobur:v:6:y:2020:i:1:p:46-81:n:3)
by Latoszek Michał & Ślepaczuk Robert - Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices (RePEc:vrs:finiqu:v:12:y:2016:i:2:p:23-35:n:1003)
by Sakowski Paweł & Ślepaczuk Robert & Wywiał Mateusz - Investment Strategies that Beat the Market. What Can We Squeeze from the Market? (RePEc:vrs:finiqu:v:14:y:2018:i:4:p:36-55:n:8)
by Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz - Analysis of HF data on the WSE in the context of EMH (RePEc:war:wpaper:2008-08)
by Paweł Strawiński & Robert Ślepaczuk - Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices (RePEc:war:wpaper:2009-11)
by Robert Ślepaczuk & Grzegorz Zakrzewski - High-Frequency and Model-Free Volatility Estimators (RePEc:war:wpaper:2009-13)
by Robert Ślepaczuk & Grzegorz Zakrzewski - Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures (RePEc:war:wpaper:2010-03)
by Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk - Midquotes or Transactional Data? The Comparison of Black Model on HF Data (RePEc:war:wpaper:2010-15)
by Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk - Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options (RePEc:war:wpaper:2010-16)
by Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk - Investment strategies beating the market. What can we squeeze from the market? (RePEc:war:wpaper:2012-04)
by Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski - Does historical volatility term structure contain valuable in-formation for predicting volatility index futures? (RePEc:war:wpaper:2014-18)
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik - Simple heuristics for pricing VIX options (RePEc:war:wpaper:2014-25)
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik - Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies (RePEc:war:wpaper:2014-26)
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik - Options delta hedging with no options at all (RePEc:war:wpaper:2014-27)
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik - Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices (RePEc:war:wpaper:2015-39)
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał - Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study (RePEc:war:wpaper:2016-08)
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał - Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models? (RePEc:war:wpaper:2016-09)
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał - Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices (RePEc:war:wpaper:2016-10)
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał - Momentum and contrarian effects on the cryptocurrency market (RePEc:war:wpaper:2018-09)
by Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk - Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions (RePEc:war:wpaper:2018-18)
by Małgorzata Jabłczyńska & Krzysztof Kosc & Przemysław Ryś & Robert Ślepaczuk & Paweł Sakowski & Grzegorz Zakrzewski - Machine learning in algorithmic trading strategy optimization - implementation and efficiency (RePEc:war:wpaper:2018-25)
by Przemysław Ryś & Robert Ślepaczuk - Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market (RePEc:war:wpaper:2019-02)
by Maryna Zenkova & Robert Ślepaczuk - Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor (RePEc:war:wpaper:2019-14)
by Michał Latoszek & Robert Ślepaczuk - Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach (RePEc:war:wpaper:2019-17)
by Kamil Korzeń & Robert Ślepaczuk - Investing in VIX futures based on rolling GARCH models forecasts (RePEc:war:wpaper:2020-10)
by Oleh Bilyk & Paweł Sakowski & Robert Ślepaczuk - Artificial Neural Networks Performance in WIG20 Index Options Pricing (RePEc:war:wpaper:2020-19)
by Maciej Wysocki & Robert Ślepaczuk - Predicting prices of S&P500 index using classical methods and recurrent neural networks (RePEc:war:wpaper:2020-27)
by Mateusz Kijewski & Robert Ślepaczuk - Value-at-risk — the comparison of state-of-the-art models on various assets (RePEc:war:wpaper:2020-28)
by Karol Kielak & Robert Ślepaczuk - Variance Gamma Model in Hedging Vanilla and Exotic Options (RePEc:war:wpaper:2020-31)
by Bartłomiej Bollin & Robert Ślepaczuk - The impact of the results of football matches on the stock prices of soccer clubs (RePEc:war:wpaper:2020-35)
by Robert Ślepaczuk & Igor Wabik - Applying Hurst Exponent in Pair Trading Strategies (RePEc:war:wpaper:2020-39)
by Quynh Bui & Robert Ślepaczuk - Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation (RePEc:war:wpaper:2021-18)
by Kamil Korzeń & Robert Ślepaczuk - Application of machine learning in quantitative investment strategies on global stock markets (RePEc:war:wpaper:2021-23)
by Jan Grudniewicz & Robert Ślepaczuk - Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index (RePEc:war:wpaper:2021-25)
by Nguyen Vo & Robert Ślepaczuk - Robust optimisation in algorithmic investment strategies (RePEc:war:wpaper:2021-27)
by Sergio Castellano Gómez & Robert Ślepaczuk - The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods (RePEc:war:wpaper:2022-02)
by Baiquan Ma & Robert Ślepaczuk - A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy (RePEc:war:wpaper:2022-21)
by Illia Baranochnikov & Robert Ślepaczuk - Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index (RePEc:war:wpaper:2022-25)
by Katarzyna Kryńska & Robert Ślepaczuk - The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index (RePEc:war:wpaper:2022-29)
by Thi Thu Giang Nguyen & Robert Ślepaczuk - Quantile regression analysis to predict GDP distribution using data from the US and UK (RePEc:war:wpaper:2022-30)
by Thi Huyen Tran & Robert Ślepaczuk - The performance of time series forecasting based on classical and machine learning methods for S&P 500 index (RePEc:war:wpaper:2023-05)
by Maudud Hassan Uzzal & Robert Ślepaczuk - The systemic risk approach based on implied and realized volatility (RePEc:war:wpaper:2023-07)
by Paweł Sakowski & Rafał Sieradzki & Robert Ślepaczuk - This study compares well-known tools of technical analysis (Moving Average Crossover MAC) with Machine Learning based strategies (LSTM and XGBoost) and Ensembled Machine Learning Strategies (LSTM ense (RePEc:war:wpaper:2023-15)
by Karol Chojnacki & Robert Ślepaczuk - Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models (RePEc:war:wpaper:2023-17)
by Damian Ślusarczyk & Robert Ślepaczuk - REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market (RePEc:war:wpaper:2023-20)
by Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski - Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies (RePEc:war:wpaper:2023-23)
by Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk - Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices (RePEc:war:wpaper:2023-25)
by Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk - Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models (RePEc:war:wpaper:2023-27)
by Sahil Teymurzade & Robert Ślepaczuk - Supervised Autoencoder MLP for Financial Time Series Forecasting (RePEc:war:wpaper:2024-03)
by Bartosz Bieganowski & Robert Ślepaczuk - LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies (RePEc:war:wpaper:2024-07)
by Kamil Kashif & Robert Ślepaczuk - Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market (RePEc:war:wpaper:2024-09)
by Adam Korniejczuk & Robert Ślepaczuk - Predictive modeling of foreign exchange trading signals using machine learning techniques (RePEc:war:wpaper:2024-10)
by Sugarbayar Enkhbayar & Robert Ślepaczuk - Improving Realized LGD approximation: A Novel Framework with XGBoost for handling missing cash-flow data (RePEc:war:wpaper:2024-12)
by Zuzanna Kostecka & Robert Ślepaczuk - The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models (RePEc:war:wpaper:2024-13)
by Natalia Roszyk & Robert Ślepaczuk - Construction and Hedging of Equity Index Options Portfolios (RePEc:war:wpaper:2024-14)
by Maciej Wysocki & Robert Ślepaczuk - Enhancing literature review with NLP methods Algorithmic investment strategies case (RePEc:war:wpaper:2024-16)
by Stanisław Łaniewski & Robert Ślepaczuk - This study investigates the impact of investor sentiment on stock returns and trading volume, challenging the efficient market hypothesis. Using CRSP data from May 1998 to March 2022, methods like Fam (RePEc:war:wpaper:2024-18)
by Szymon Lis & Robert Slepaczuk & Paweł Sakowski - Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data (RePEc:war:wpaper:2024-27)
by Filip Stefaniuk & Robert Ślepaczuk