Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Robert Slepaczuk"'
Autor:
Małgorzata Jabłczyńska, Krzysztof Kosc, Przemysław Ryś, Paweł Sakowski, Robert Ślepaczuk, Grzegorz Zakrzewski
Publikováno v:
PLoS ONE, Vol 18, Iss 3, p e0283687 (2023)
The main aim of the study is to analyze BTC mining's efficiency under current market conditions (December 2021), including soaring energy prices produced from many different sources in different geographical locations. After a thorough analysis of in
Externí odkaz:
https://doaj.org/article/574e64f4a79e4cecb925fa1f20d11b42
Publikováno v:
Sensors, Vol 22, Iss 3, p 917 (2022)
We use LSTM networks to forecast the value of the BTC and S&P500 index, using data from 2013 to the end of 2020, with the following frequencies: daily, 1 h, and 15 min data. We introduce our innovative loss function, which improves the usefulness of
Externí odkaz:
https://doaj.org/article/1305766591094780941ffa683afbe355
Autor:
Nguyen Vo, Robert Ślepaczuk
Publikováno v:
Entropy, Vol 24, Iss 2, p 158 (2022)
This research aims to compare the performance of ARIMA as a linear model with that of the combination of ARIMA and GARCH family models to forecast S&P500 log returns in order to construct algorithmic investment strategies on this index. We used the d
Externí odkaz:
https://doaj.org/article/5c508e5baeea4f1ab70c0d0ed95d056a
Autor:
Maciej Wysocki, Robert Ślepaczuk
Publikováno v:
Entropy, Vol 24, Iss 1, p 35 (2021)
In this paper, the performance of artificial neural networks in option pricing was analyzed and compared with the results obtained from the Black–Scholes–Merton model, based on the historical volatility. The results were compared based on various
Externí odkaz:
https://doaj.org/article/23f0e389e20343df9094955e37f0a479
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a893c3b9779618e5fefc76294011fe6
https://doi.org/10.2139/ssrn.4384643
https://doi.org/10.2139/ssrn.4384643
Volatility derivatives are an important group of financial instruments and their list is much longer than volatility index futures and options. This book reviews methods used for measurement, estimation and forecasting volatility and presents major c
Autor:
Pawel STRAWINSKI, Robert SLEPACZUK
Publikováno v:
Journal of Applied Economic Sciences. 3(3(5)_Fall2008):306-319
This paper focuses on one of the heavily tested issue in the contemporary finance, i.e. efficient market hypothesis (EMH). However, we try to find the answers to some fundamental questions basing on the analysis of high frequency (HF) data from the W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::42e5695ea0bacd2881531e399df3c980
http://www.jaes.reprograph.ro/articles/11_AnalysisofHighFrequencyDataontheWarsawStockExchangeintheContextofEfficientMarketHypothesis.pdf
http://www.jaes.reprograph.ro/articles/11_AnalysisofHighFrequencyDataontheWarsawStockExchangeintheContextofEfficientMarketHypothesis.pdf
Publikováno v:
SSRN Electronic Journal.
This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::067f6903a41afade1f802da1d3f55d18
https://doi.org/10.2139/ssrn.2508643
https://doi.org/10.2139/ssrn.2508643
Publikováno v:
SSRN Electronic Journal.
The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::769ab62505754062fe4487a1772852f7
https://doi.org/10.2139/ssrn.2508639
https://doi.org/10.2139/ssrn.2508639
Publikováno v:
SSRN Electronic Journal.
The article presents a simple parameterization of the volatility surface for options on the SP (ii) VIX ATM implied volatility declines exponentially with options' time to expiry; (iii) a SABR-type model can be used to model the smile observed in VIX
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6122d536b9b8cdc2919245827c9ec1a7
https://doi.org/10.2139/ssrn.2508646
https://doi.org/10.2139/ssrn.2508646