Details about Robert Ślepaczuk

Access statistics for papers by Robert Ślepaczuk.

Last updated 2025-04-06. Update your information in the RePEc Author Service.

Short-id: ple519

Working Papers

2025

1. Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data
   Papers, arXiv.org

2024

2. Construction and Hedging of Equity Index Options Portfolios
   Papers, arXiv.org
   Also in Working Papers, Faculty of Economic Sciences, University of Warsaw (2024)
3. Enhancing literature review with LLM and NLP methods. Algorithmic trading case
   Papers, arXiv.org
4. Enhancing literature review with NLP methods Algorithmic investment strategies case
   Working Papers, Faculty of Economic Sciences, University of Warsaw
5. 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
   Papers, arXiv.org
6. Improving Realized LGD Approximation: A Novel Framework with XGBoost for Handling Missing Cash-Flow Data
   Papers, arXiv.org
   Also in Working Papers, Faculty of Economic Sciences, University of Warsaw (2024)
7. LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies
   Papers, arXiv.org View citations (1)
   Also in Working Papers, Faculty of Economic Sciences, University of Warsaw (2024) View citations (1)
8. Predictive modeling of foreign exchange trading signals using machine learning techniques
   Working Papers, Faculty of Economic Sciences, University of Warsaw
9. Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
   Working Papers, Faculty of Economic Sciences, University of Warsaw
   Also in Papers, arXiv.org (2024)
10. Supervised Autoencoder MLP for Financial Time Series Forecasting
    Working Papers, Faculty of Economic Sciences, University of Warsaw
    Also in Papers, arXiv.org (2024)
11. Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data
    Papers, arXiv.org
12. The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models
    Papers, arXiv.org
    Also in Working Papers, Faculty of Economic Sciences, University of Warsaw (2024)
13. The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functions: Root Mean Squared Error (RMSE), Generalized Mean Absolute Directional Loss (GMADL) and Quantile loss, are proposed and evaluated against the Buy and Hold benchmark and two benchmark strategies based on technical indicators. The evaluation is conducted using data of various frequencies: 5 minute, 15 minute, and 30 minute intervals, over the 6 different periods. Although the Informer-based model with Quantile loss did not outperform the benchmark, two other models achieved better results. The performance of the model using RMSE loss worsens when used with higher frequency data while the model that uses novel GMADL loss function is benefiting from higher frequency data and when trained on 5 minute interval it beat all the other strategies on most of the testing periods. The primary contribution of this study is the application and assessment of the RMSE, GMADL and Quantile loss functions with the Informer model to forecast future returns, subsequently using these forecasts to develop automated trading strategies. The research provides evidence that employing an Informer model trained with the GMADL loss function can result in superior trading outcomes compared to the buy-and-hold approach
    Working Papers, Faculty of Economic Sciences, University of Warsaw
14. 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
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2023

15. Ensembled LSTM with Walk Forward Optimization in Algorithmic Trading
    Working Papers, Faculty of Economic Sciences, University of Warsaw
16. Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices
    Papers, arXiv.org
    Also in Working Papers, Faculty of Economic Sciences, University of Warsaw (2023)
17. Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies
    Working Papers, Faculty of Economic Sciences, University of Warsaw
    Also in Papers, arXiv.org (2023)
18. Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models
    Working Papers, Faculty of Economic Sciences, University of Warsaw
19. Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models
    Working Papers, Faculty of Economic Sciences, University of Warsaw
20. REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market
    Working Papers, Faculty of Economic Sciences, University of Warsaw
21. Systemic risk indicator based on implied and realized volatility
    Papers, arXiv.org View citations (1)
22. The performance of time series forecasting based on classical and machine learning methods for S&P 500 index
    Working Papers, Faculty of Economic Sciences, University of Warsaw
23. The systemic risk approach based on implied and realized volatility
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2022

24. A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (4)
25. Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (3)
26. Quantile regression analysis to predict GDP distribution using data from the US and UK
    Working Papers, Faculty of Economic Sciences, University of Warsaw
27. The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
28. The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2021

29. Application of machine learning in quantitative investment strategies on global stock markets
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (2)
30. Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index
    Working Papers, Faculty of Economic Sciences, University of Warsaw
31. Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
32. Robust optimisation in algorithmic investment strategies
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (3)

2020

33. Applying Hurst Exponent in Pair Trading Strategies
    Working Papers, Faculty of Economic Sciences, University of Warsaw
34. Artificial Neural Networks Performance in WIG20 Index Options Pricing
    Working Papers, Faculty of Economic Sciences, University of Warsaw
35. Investing in VIX futures based on rolling GARCH models forecasts
    Working Papers, Faculty of Economic Sciences, University of Warsaw
36. Predicting prices of S&P500 index using classical methods and recurrent neural networks
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (6)
37. The impact of the results of football matches on the stock prices of soccer clubs
    Working Papers, Faculty of Economic Sciences, University of Warsaw
38. Value-at-risk — the comparison of state-of-the-art models on various assets
    Working Papers, Faculty of Economic Sciences, University of Warsaw
39. Variance Gamma Model in Hedging Vanilla and Exotic Options
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)

2019

40. Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor
    Working Papers, Faculty of Economic Sciences, University of Warsaw
    See also Journal Article Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor, Economics and Business Review, Sciendo (2020) View citations (4) (2020)
41. Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach
    Working Papers, Faculty of Economic Sciences, University of Warsaw
42. Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (3)
    See also Journal Article Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market, Central European Economic Journal, Sciendo (2018) View citations (3) (2018)

2018

43. Machine learning in algorithmic trading strategy optimization - implementation and efficiency
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
44. Momentum and contrarian effects on the cryptocurrency market
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
    See also Journal Article Momentum and contrarian effects on the cryptocurrency market, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (14) (2019)
45. Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2016

46. Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
    See also Journal Article Applying exogenous variables and regime switching to multi-factor models on equity indices, Ekonomia journal, Faculty of Economic Sciences, University of Warsaw (2016) (2016)
47. Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (2)
48. Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2015

49. Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
    See also Journal Article CROSS-SECTIONAL RETURNS WITH VOLATILITY REGIMES FROM A DIVERSE PORTFOLIO OF EMERGING AND DEVELOPED EQUITY INDICES, "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis (2016) (2016)

2014

50. Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
51. Options delta hedging with no options at all
    Working Papers, Faculty of Economic Sciences, University of Warsaw
52. Simple heuristics for pricing VIX options
    Working Papers, Faculty of Economic Sciences, University of Warsaw
53. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2012

54. Investment strategies beating the market. What can we squeeze from the market?
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (3)

2010

55. Midquotes or Transactional Data? The Comparison of Black Model on HF Data
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (2)
56. Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
57. Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
    Working Papers, Faculty of Economic Sciences, University of Warsaw

2009

58. Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (1)
59. High-Frequency and Model-Free Volatility Estimators
    Working Papers, Faculty of Economic Sciences, University of Warsaw View citations (8)

2008

60. Analysis of HF data on the WSE in the context of EMH
    Working Papers, Faculty of Economic Sciences, University of Warsaw
    Also in MPRA Paper, University Library of Munich, Germany (2008)

Journal Articles

2023

1. Application of machine learning in algorithmic investment strategies on global stock markets
   Research in International Business and Finance, 2023, 66, (C) View citations (1)
2. Cross-Country Differences in Return and Volatility Metrics of World Equity Indices
   Central European Economic Journal, 2023, 10, (57), 90-115

2022

3. Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index
   Physica A: Statistical Mechanics and its Applications, 2022, 592, (C) View citations (8)

2020

4. Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor
   Economics and Business Review, 2020, 6, (1), 46-81 View citations (4)
   See also Working Paper Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor, Working Papers (2019) (2019)

2019

5. Momentum and contrarian effects on the cryptocurrency market
   Physica A: Statistical Mechanics and its Applications, 2019, 523, (C), 691-701 View citations (14)
   See also Working Paper Momentum and contrarian effects on the cryptocurrency market, Working Papers (2018) View citations (1) (2018)

2018

6. Investment Strategies that Beat the Market. What Can We Squeeze from the Market?
   Financial Internet Quarterly (formerly e-Finanse), 2018, 14, (4), 36-55 View citations (2)
7. Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency
   Central European Economic Journal, 2018, 5, (52), 206-229 View citations (1)
8. Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market
   Central European Economic Journal, 2018, 5, (52), 186-205 View citations (3)
   See also Working Paper Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market, Working Papers (2019) View citations (3) (2019)

2017

9. Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options
   Central European Economic Journal, 2017, 4, (51), 18-39
   Also in Central European Economic Journal, 2017, 4, (51), 18-39 (2017) View citations (1)

2016

10. Applying exogenous variables and regime switching to multi-factor models on equity indices
    Ekonomia journal, 2016, 47
    See also Working Paper Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices, Working Papers (2016) View citations (1) (2016)
11. CROSS-SECTIONAL RETURNS WITH VOLATILITY REGIMES FROM A DIVERSE PORTFOLIO OF EMERGING AND DEVELOPED EQUITY INDICES
    "e-Finanse", 2016, 12, (2), 23-35
    Also in Financial Internet Quarterly (formerly e-Finanse), 2016, 12, (2), 23-35 (2016)
    See also Working Paper Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices, Working Papers (2015) View citations (1) (2015)

2014

12. Does historical VIX term structure contain valuable information for predicting VIX futures?
    Dynamic Econometric Models, 2014, 14, 5-28 View citations (2)
13. Wycena opcji na VIX – podejscie heurystyczne
    Ekonomia journal, 2014, 38

2012

14. Volatility Measurement, Modeling and Forecasting—An Overview of the Literature
    Ekonomia journal, 2012, 31

2008

15. ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS
    Journal of Applied Economic Sciences, 2008, 3, (3(5)_Fall2008), 306-319 View citations (6)

2004

16. Efficiency of the Market of Derivative Instruments Listed on the Warsaw Stock Exchange
    Ekonomia journal, 2004, 12