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 - 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