The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially with regard to analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and...

This paper focuses on one of the heavily tested issues in the contemporary finance, i.e. efficient market hypothesis (EMH). The existing evidence in the literature is ambiguous. For some markets, the departure from efficiency is observed only when High Frequency (HF) data are analysed....

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially with regard to modeling high-frequency data. Risk management, asset pricing and option valuation techniques are the areas where the concept of volatility estimators...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we...