The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of Correlation between stocks prices to know how far we should...

I find a topological arrangement of assets traded in a phonographic market which has associated a meaningful economic taxonomy. I continue using the Minimal Spanning Tree and the Life-time Of Correlations between assets, but now outside the stock markets. This is the first attempt to use these...

Recently, the whole of Europe, including Poland, have been significantly affected by COVID-19 and its social and economic consequences which are already causing dozens of billions of euros monthly losses in Poland alone. Social behaviour has a fundamental impact on the dynamics of spread of...

There is qualitative evidence of intersection between anti-vaccination, anti-lockdown and pro-Kremlin narrative in European Social Media, but no research quantifies the level of the overlap. In this study, community detection algorithms of interactions between accounts during selected polarizing...

Catastrophic and urgent events, such as the COVID-19 pandemic, are known not only to polarize societies and induce selfish, individualistic behavior, but might also motivate altruistic behavior. We have analyzed COVID-19 perception using data collected from the Polish-language Internet from...

We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on Credit and Debit Valuation Adjustments (CVA and DVA). Depending on how the...

We suggest an empirical model of investment strategy returns which elucidates the importance of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in explaining the level of expected returns. Estimating the model on the (former) Lehman Brothers Hedge Fund Index...

We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the ?rst 5 terms of the expansions. A method to compute all the terms by induction is also given. At the money, we have a closed form formula for implied...

The so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic series could be a suitable benchmark to make the level...

The global financial system has become highly connected and complex. Has been proven in practice that existing models, measures and reports of financial risk fail to capture some important systemic dimensions. Only lately, advisory boards have been established in high level and regulations are...