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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

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...

Persistent link: https://www.econbiz.de/10011539896

Explaining and forecasting abnormal returns and volume by investor sentiment indicators

Lis, Szymon; Slepaczuk, Robert; Sakowski, Paweł - 2024

Persistent link: https://www.econbiz.de/10015372745

Artificial Neural Networks Performance in WIG20 Index Options Pricing

Wysockia, Maciej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322176

Enhanced index replication based on smart beta and tail-risk asset allocation

Korzeń, Kamil; Ślepaczuk, Robert - 2021

Persistent link: https://www.econbiz.de/10012816699

Application of machine learning in quantitative investment strategies on global stock markets

Grudniewicz, Jan; Ślepaczuk, Robert - 2021

Persistent link: https://www.econbiz.de/10012816704

Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index

Nguyen Vo; Ślepaczuk, Robert - 2021

Persistent link: https://www.econbiz.de/10012816706

Machine learning in algorithmic trading strategy optimization - implementation and efficiency

Ryś, Przemysław; Ślepaczuk, Robert - Uniwersytet Warszawski / Wydział Nauk Ekonomicznych - 2018

Persistent link: https://www.econbiz.de/10011981706

Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index

Kryńska, Katarzyna; Ślepaczuk, Robert - 2022

Persistent link: https://www.econbiz.de/10013473995

The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index

Thi Thu Giang Nguyen; Ślepaczuk, Robert - 2022

Persistent link: https://www.econbiz.de/10013474013

Application of machine learning in algorithmic investment strategies on global stock markets

Grudniewicz, Jan; Ślepaczuk, Robert - In: Research in international business and finance 66 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014463386

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