Working Papers

From Faculty of Economic Sciences, University of Warsaw
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2022-01: A solution to the global identification problem in DSGE models

Andrzej Kocięcki and Marcin Kolasa

2021-28: The effectiveness of Value-at-Risk models in various volatility regimes

Aleksander Schiffers and Marcin Chlebus

2021-27: Robust optimisation in algorithmic investment strategies

Sergio Gómez and Robert Ślepaczuk

2021-26: The Great Lockdown: information, noise and macroeconomic fluctuations

Michal Brzoza-Brzezina and Grzegorz Wesołowski

2021-25: Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index

Nguyen Vo and Robert Ślepaczuk

2021-24: Stability of the Representativeness Heuristic: Further Evidence from Choices Between Lottery Tickets

Michał Krawczyk and Joanna Rachubik

2021-23: Application of machine learning in quantitative investment strategies on global stock markets

Jan Grudniewicz and Robert Ślepaczuk

2021-22: Predicting football outcomes from Spanish league using machine learning models

Michał Lewandowski and Marcin Chlebus

2021-21: Determinants of residential real estate prices: Poland case study

Michał Ruszuk and Krzysztof Spirzewski

2021-20: Does the framing affect the WTP for consumption goods in realistic shopping settings?

Magdalena Brzozowicz

2021-19: Exchange traded funds: U.S. Financial Market case study

Aleksandra Tkaczow and Krzysztof Spirzewski

2021-18: Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation

Kamil Korzeń and Robert Ślepaczuk

2021-17: Trade-related effects of Brexit. Implications for Central and Eastern Europe

Jan Hagemejer, Maria Wąsowicz, Jan Michałek and Jacek Szyszka

2021-16: Spatial Machine Learning – New Opportunities for Regional Science

Katarzyna Kopczewska

2021-15: Re-meander, rewet, rewild! Overwhelming public support for restoration of small rivers in the three Baltic Sea basin countries

Marek Giergiczny, Sviataslau Valasiuk, Wiktor Kotowski, Halina Galera, Jette Bredahl Jacobsen, Julian Sagebiel, Wendelin Wichtmann and Ewa Jabłońska

2021-14: Privacy trade-offs in the ride-hailing services

Michał Paliński

2021-13: Machine learning in the prediction of flat horse racing results in Poland

Piotr Borowski and Marcin Chlebus

2021-12: Don’t Worry, Be Happy – But Only Seasonally

Mateusz Kijewski, Szymon Lis, Michał Woźniak and Maciej Wysocki

2021-11: Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts

Szymon Lis and Marcin Chlebus

2021-10: HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation

Michał Woźniak and Marcin Chlebus

2021-09: Are Transboundary Nature Protected Areas International Public Goods and Why People Think They Are (Not)? Hybrid Modelling Evidence from the EU Outer Borders

Sviataslau Valasiuk, Mikolaj Czajkowski, Marek Giergiczny, Tomasz Zylicz, Knut Veisten, Iratxe Mata, Askill Halse and Per Angelstam

2021-08: GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks

Mateusz Buczyński and Marcin Chlebus

2021-07: Persuasive messages will not raise COVID-19 vaccine acceptance. Evidence from a nation-wide online experiment

Raman Kachurka, Michał Krawczyk and Joanna Rachubik

2021-06: Institutional Framework of Central Bank Independence: Revisited

Jacek Lewkowicz, Michał Woźniak and Michał Wrzesiński

2021-05: The Application of Machine Learning Algorithms for Spatial Analysis: Predicting of Real Estate Prices in Warsaw

Dawid Siwicki

2021-04: Concept of peer-to-peer lending and application of machine learning in credit scoring

Aleksy Klimowicz and Krzysztof Spirzewski

2021-03: Intergenerational redistributive effects of monetary policy

Marcin Bielecki, Michal Brzoza-Brzezina and Marcin Kolasa

2021-02: The effects of child benefit on household saving

Barbara Liberda, Katarzyna Sałach-Dróżdż and Marek Pęczkowski

2021-01: Causes of the spatially uneven outflow of Warsaw inhabitants to the city’s suburbs: an economic analysis of the problem

Honorata Bogusz

2020-42: Does Bitcoin Improve Investment Portfolio Efficiency?

Pawel Sakowski and Daria Turovtseva

2020-41: Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework

Pawel Sakowski and Anna Turovtseva

2020-40: Honey, Mugs and Caricatures: anchors on prices of consumer goods only hold hypothetically

Magdalena Brzozowicz and Michał Krawczyk

2020-39: Applying Hurst Exponent in Pair Trading Strategies

Quynh Bui and Robert Ślepaczuk

2020-38: We have just explained real convergence factors using machine learning

Piotr Wójcik and Bartłomiej Wieczorek

2020-37: Predicting well-being based on features visible from space – the case of Warsaw

Krystian Andruszek and Piotr Wójcik

2020-36: Home advantage revisited. Did COVID level the playing fields?

Michał Krawczyk and Pawel Strawinski

2020-35: The impact of the results of football matches on the stock prices of soccer clubs

Robert Ślepaczuk and Igor Wabik

2020-34: What factors determine unequal suburbanisation? New evidence from Warsaw, Poland

Honorata Bogusz, Szymon Winnicki and Piotr Wójcik

2020-33: The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approach

Ewelina Osowska and Piotr Wójcik

2020-32: Fractional differentiation and its use in machine learning

Janusz Gajda and Rafał Walasek

2020-31: Variance Gamma Model in Hedging Vanilla and Exotic Options

Bartłomiej Bollin and Robert Ślepaczuk

2020-30: Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model

Mateusz Heba and Marcin Chlebus

2020-29: Lottery "strategies": monetizing players' behavioral biases

Raman Kachurka and Michał Wiktor Krawczyk

2020-28: Value-at-risk — the comparison of state-of-the-art models on various assets

Karol Kielak and Robert Ślepaczuk

2020-27: Predicting prices of S&P500 index using classical methods and recurrent neural networks

Mateusz Kijewski and Robert Ślepaczuk

2020-26: Predicting uptake of a malignant catarrhal fever vaccine by pastoralists in northern Tanzania: opportunities for improving livelihoods and ecosystem health

Catherine Decker, Nick Hanley, Mikolaj Czajkowski, Thomas Morrison, Julius Keyyu, Linus Munishi, Felix Lankester and Sarah Cleaveland

2020-25: Energy demand management and social norms – the case study in Poland

Bernadeta Gołębiowska, Anna Bartczak and Mikolaj Czajkowski

2020-24: Demographics and the natural interest rate in the euro area

Marcin Bielecki, Michal Brzoza-Brzezina and Marcin Kolasa

2020-23: Are Poles stuck in overeducation? Individual dynamics of educational mismatch in Poland

Jan Aleksander Baran

2020-22: Nvidia’s stock returns prediction using machine learning techniques for time series forecasting problem

Marcin Chlebus, Michał Dyczko and Michał Woźniak