4
H index
1
i10 index
51
Citations
Robert Ślepaczuk : Citation Profile
Uniwersytet Warszawski | RESEARCH PRODUCTION: 18 Articles 68 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2004 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Ślepaczuk. | Is cited by:
| Cites to:
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Main data
Where Robert Ślepaczuk has published?
| Journals with more than one article published | # docs |
|---|---|
| Central European Economic Journal | 5 |
| Ekonomia journal | 4 |
| Physica A: Statistical Mechanics and its Applications | 2 |
| Financial Internet Quarterly (formerly e-Finanse) | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Faculty of Economic Sciences, University of Warsaw | 54 |
| Papers / arXiv.org | 13 |
Recent works citing Robert Ślepaczuk (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | Identifying contextual content-based risk drivers for advanced risk management strategies. (2025). Hsu, Ming-Fu ; Hu, Guo-Hsin ; Huang, Shirley Hsueh-Li. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004367. Full description at Econpapers || Download paper |
| 2024 | The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins. (2024). Kiran, Seluk ; Soylu, Pinar Kaya ; Baci, Mahmut. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10532-x. Full description at Econpapers || Download paper |
| 2024 | Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm. (2024). Soylu, Pinar Kaya ; Baci, Mahmut. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00590-3. Full description at Econpapers || Download paper |
| 2024 | Application of Portfolio Optimization to Achieve Persistent Time Series. (2024). Telcs, Andras ; Zlatniczki, Adam. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:201:y:2024:i:2:d:10.1007_s10957-024-02426-1. Full description at Econpapers || Download paper |
Works by Robert Ślepaczuk:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2023 | Systemic risk indicator based on implied and realized volatility In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies.(2023) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices.(2023) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Supervised Autoencoder MLP for Financial Time Series Forecasting In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Supervised Autoencoder MLP for Financial Time Series Forecasting.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Improving Realized LGD approximation: A Novel Framework with XGBoost for handling missing cash-flow data.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Construction and Hedging of Equity Index Options Portfolios In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Construction and Hedging of Equity Index Options Portfolios.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Enhancing literature review with LLM and NLP methods. Algorithmic trading case In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | 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 In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Does historical VIX term structure contain valuable information for predicting VIX futures? In: Dynamic Econometric Models. [Full Text][Citation analysis] | article | 2 |
| 2019 | Momentum and contrarian effects on the cryptocurrency market In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 12 |
| 2018 | Momentum and contrarian effects on the cryptocurrency market.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2022 | Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 6 |
| 2023 | Application of machine learning in algorithmic investment strategies on global stock markets In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 2 |
| 2004 | Efficiency of the Market of Derivative Instruments Listed on the Warsaw Stock Exchange In: Ekonomia journal. [Full Text][Citation analysis] | article | 0 |
| 2012 | Volatility Measurement, Modeling and ForecastingâAn Overview of the Literature In: Ekonomia journal. [Full Text][Citation analysis] | article | 0 |
| 2014 | Wycena opcji na VIX â podejscie heurystyczne In: Ekonomia journal. [Full Text][Citation analysis] | article | 0 |
| 2016 | Applying exogenous variables and regime switching to multi-factor models on equity indices In: Ekonomia journal. [Full Text][Citation analysis] | article | 0 |
| 2016 | Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | Analysis of HF data on the WSE in the context of EMH In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Analysis of HF data on the WSE in the context of EMH.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | CROSS-SECTIONAL RETURNS WITH VOLATILITY REGIMES FROM A DIVERSE PORTFOLIO OF EMERGING AND DEVELOPED EQUITY INDICES In: e-Finanse. [Full Text][Citation analysis] | article | 0 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
| 2015 | Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS In: Journal of Applied Economic Sciences. [Full Text][Citation analysis] | article | 6 |
| 2023 | Cross-Country Differences in Return and Volatility Metrics of World Equity Indices In: Central European Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2017 | Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options In: Central European Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2017 | Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options.(2017) In: Central European Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market In: Central European Economic Journal. [Full Text][Citation analysis] | article | 3 |
| 2019 | Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | Machine Learning Methods in Algorithmic Trading Strategy Optimization â Design and Time Efficiency In: Central European Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2020 | Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor In: Economics and Business Review. [Full Text][Citation analysis] | article | 2 |
| 2019 | Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor..(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2009 | Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | High-Frequency and Model-Free Volatility Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Option Pricing Models with HF Data â a Comparative Study. The Properties of Black Model with Different Volatility Measures In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Midquotes or Transactional Data? The Comparison of Black Model on HF Data In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Investment strategies beating the market. What can we squeeze from the market? In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Does historical volatility term structure contain valuable in-formation for predicting volatility index futures? In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Simple heuristics for pricing VIX options In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Options delta hedging with no options at all In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Machine learning in algorithmic trading strategy optimization - implementation and efficiency In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Investing in VIX futures based on rolling GARCH models forecasts In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Artificial Neural Networks Performance in WIG20 Index Options Pricing In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Predicting prices of S&P500 index using classical methods and recurrent neural networks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Value-at-risk â the comparison of state-of-the-art models on various assets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Variance Gamma Model in Hedging Vanilla and Exotic Options In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | The impact of the results of football matches on the stock prices of soccer clubs In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Applying Hurst Exponent in Pair Trading Strategies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Application of machine learning in quantitative investment strategies on global stock markets In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Robust optimisation in algorithmic investment strategies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Quantile regression analysis to predict GDP distribution using data from the US and UK In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | The performance of time series forecasting based on classical and machine learning methods for S&P 500 index In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | The systemic risk approach based on implied and realized volatility In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Ensembled LSTM with Walk Forward Optimization in Algorithmic Trading In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Predictive modeling of foreign exchange trading signals using machine learning techniques In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Enhancing literature review with NLP methods Algorithmic investment strategies case In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | 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 Fama-MacBeth and quantile regression were applied to analyze sentiment indicators such as the VIX, AAII Investor Sentiment Survey, Consumer Confidence, and Baker-Wurgler Index. The findings reveal that investor sentiment significantly influences stock returns and trading volume, especially during uncertain times. Sentiment also affects financial metrics like SMB, HML, RMW, and CMA uniquely. This research provides new insights and practical implications for investors and analysts, emphasizing the importance of considering sentiment in investment strategies to better anticipate market movements and manage risks. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team