4
H index
2
i10 index
66
Citations
Robert Ślepaczuk : Citation Profile
Uniwersytet Warszawski | RESEARCH PRODUCTION: 21 Articles 70 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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:
|
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 | 15 |
Recent works citing Robert Ślepaczuk (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets. (2024). Gavalakis, George ; Evangelidis, George ; Papaioannou, George P. In: Papers. RePEc:arx:papers:2410.07224. Full description at Econpapers || Download paper |
| 2025 | Comparative analysis of financial data differentiation techniques using LSTM neural network. (2025). Gajda, Janusz ; Stempie, Dominik. In: Papers. RePEc:arx:papers:2505.19243. Full description at Econpapers || Download paper |
| 2025 | Is attention truly all we need? An empirical study of asset pricing in pretrained RNN sparse and global attention models. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2508.19006. Full description at Econpapers || Download paper |
| 2025 | Do risk preferences drive momentum in cryptocurrencies?. (2025). Buchwalter, Bastien ; Schweizer, Denis ; Proelss, Juliane. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324015605. Full description at Econpapers || Download paper |
| 2025 | Institutional environment, credit risk expectations, and firms investment strategies. (2025). Li, Jian ; Wei, Xiaohui. In: Finance Research Letters. RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325006312. Full description at Econpapers || Download paper |
| 2025 | GHENet: Attention-based Hurst exponents for the forecasting of stock market indexes. (2025). Alves, Jerson Leite ; Dos, Francisco Alves ; Lima, Rene Rodrigues ; Florindo, Joao B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:667:y:2025:i:c:s037843712500192x. Full description at Econpapers || Download paper |
| 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 |
| 2025 | Collaboration and regulation: A dual regulatory game for the sustainable development of green housing. (2025). Qian, Tingyu ; Li, Qianwen ; Long, Ruyin ; Wang, Qingyuan ; Zhao, Yizhuo ; Min, Jialin ; Hua, Qian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004902. Full description at Econpapers || Download paper |
| 2024 | Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study. (2024). Borondo, Javier ; Losada, Juan Carlos ; Grande, Mar. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2911-:d:1480990. 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 |
| 2025 | Pairs trading in the German stock market: is there still life in the old dog?. (2025). Wilkens, Sascha. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-025-00467-8. Full description at Econpapers || Download paper |
| 2025 | Hybrid boosted attention-based LightGBM framework for enhanced credit risk assessment in digital finance. (2025). Li, Xiongyi ; Shi, Anlu ; Ying, Chengwei. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05230-y. Full description at Econpapers || Download paper |
| 2025 | Skew Index: a machine learning forecasting approach. (2025). Mora-Valencia, Andrés ; Vanegas, Esteban. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:1:d:10.1057_s41283-024-00152-6. Full description at Econpapers || Download paper |
| 2024 | The long-term memory of stock markets: unveiling patterns and predictability. (2024). Enow, Samuel Tabot. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:13:y:2024:i:4:p:286-291. 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 |
| 2025 | Unveiling the optimal factor model in Pakistan: a machine learning approach using support vector regression and extreme gradient boosting algorithms. (2025). Ullah, Rizwan ; Jan, Muhammad Naveed ; Tahir, Muhammad. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00560-4. 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 |
| 2025 | Random walks, Hurst exponent, and market efficiency. (2025). Pernagallo, Giuseppe. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:2:d:10.1007_s11135-025-02052-7. Full description at Econpapers || Download paper |
| 2024 | How can one improve SAW and max-min multi-criteria rankings based on uncertain decision rules?. (2024). Gaspars-Wieloch, Helena ; Gawroski, Dominik. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:1:p:131-148:id:7. 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 | 1 |
| 2024 | Supervised Autoencoder MLP for Financial Time Series Forecasting.(2024) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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 | 1 |
| 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: 1 | 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 | 1 |
| 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 |
| 2025 | Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Alternative Loss Function in Evaluation of Transformer Models 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 |
| 2025 | Systematic index option-writing strategies with Black-Scholes-Merton and Variance-Gamma Models In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2025 | The cointegration of Polish timber sales channels: Patterns and implications In: Forest Policy and Economics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Momentum and contrarian effects on the cryptocurrency market In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 13 |
| 2018 | Momentum and contrarian effects on the cryptocurrency market.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | 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 | 10 |
| 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 | 5 |
| 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 | |
| 2023 | Energy and cost efficiency of Bitcoin mining endeavor In: PLOS ONE. [Full Text][Citation analysis] | article | 0 |
| 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 |
| 2016 | Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices.(2016) In: Financial Internet Quarterly (formerly e-Finanse). [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 | 1 |
| 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 | 4 |
| 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: 4 | 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 | |
| 2018 | Investment Strategies that Beat the Market. What Can We Squeeze from the Market? In: Financial Internet Quarterly (formerly e-Finanse). [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 | 1 |
| 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 | 1 |
| 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 | Explaining and Forecasting Abnormal Returns and Volume by Investor Sentiment Indicators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team