2 citations · 2 across the 5 of their papers we have counts for
5 papers
Construction and Hedging of Equity Index Options Portfolios
Maciej Wysocki, Robert Ślepaczuk
This research presents a comprehensive evaluation of systematic index option-writing strategies, focusing on S&P500 index options. We compare the performance of hedging strategies…
LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies
Kamil Kashif, Robert Ślepaczuk
This study focuses on building an algorithmic investment strategy employing a hybrid approach that combines LSTM and ARIMA models referred to as LSTM-ARIMA. This unique algorithm u…
Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Adam Korniejczuk, Robert Ślepaczuk
The study seeks to develop an effective strategy based on the novel framework of statistical arbitrage based on graph clustering algorithms. Amalgamation of quantitative and machin…
Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
This paper proposes a novel approach to hedging portfolios of risky assets when financial markets are affected by financial turmoils. We introduce a completely novel approach to di…
Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
This paper investigates the issue of an adequate loss function in the optimization of machine learning models used in the forecasting of financial time series for the purpose of al…