3
H index
1
i10 index
34
Citations
Robert Ślepaczuk : Citation Profile
Uniwersytet Warszawski | RESEARCH PRODUCTION: 16 Articles 48 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2004 - 2023). 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 | 4 |
| Ekonomia journal | 4 |
| Physica A: Statistical Mechanics and its Applications | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Faculty of Economic Sciences, University of Warsaw | 44 |
| Papers / arXiv.org | 3 |
Recent works citing Robert Ślepaczuk (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin. (2022). Herremans, Dorien ; Zou, Yanzhao. In: Papers. RePEc:arx:papers:2206.00648. Full description at Econpapers || Download paper |
| 2023 | Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy. RePEc:eee:energy:v:272:y:2023:i:c:s0360544223005078. Full description at Econpapers || Download paper |
| 2023 | Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?. (2023). Mangalagiri, Jayasree ; Rayadurgam, Vikram Chandramouli. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000818. Full description at Econpapers || Download paper |
| 2023 | Extrapolative beliefs about Bitcoin returns. (2023). Petkova, Ralitsa. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004415. Full description at Econpapers || Download paper |
| 2023 | Do Large Datasets or Hybrid Integrated Models Outperform Simple Ones in Predicting Commodity Prices and Foreign Exchange Rates?. (2023). Hamori, Shigeyuki ; Shang, Jin. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:6:p:298-:d:1167483. Full description at Econpapers || Download paper |
| 2023 | Forecasting realized volatility through financial turbulence and neural networks. (2023). Amir, Moradi ; Gobato, Souto Hugo. In: Economics and Business Review. RePEc:vrs:ecobur:v:9:y:2023:i:2:p:133-159:n:8. 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 | 0 |
| 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 | |
| 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 | 10 |
| 2018 | Momentum and contrarian effects on the cryptocurrency market.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | 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 | 1 |
| 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 | 0 |
| 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 |
| 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 |
| 2018 | Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market In: Central European Economic Journal. [Full Text][Citation analysis] | article | 1 |
| 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: 1 | 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 | 1 |
| 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: 1 | 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 ââ¬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 | 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 ââ¬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 | 0 |
| 2021 | Application of machine learning in quantitative investment strategies on global stock markets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 1 |
| 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 |
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