3 citations · 11 across the 24 of their papers we have counts for
4 papers · 1 filter
Stochastic Volatility Modelling with LSTM Networks: A Hybrid Approach for S&P 500 Index Volatility Forecasting
Anna Perekhodko, Robert Ślepaczuk
Accurate volatility forecasting is essential in banking, investment, and risk management, because expectations about future market movements directly influence current decisions. T…
Alternative Loss Function in Evaluation of Transformer Models
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
The proper design and architecture of testing machine learning models, especially in their application to quantitative finance problems, is crucial. The most important aspect of th…
Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models
Dominik Stempień, Robert Ślepaczuk
This research systematically develops and evaluates various hybrid modeling approaches by combining traditional econometric models (ARIMA and ARFIMA models) with machine learning a…
Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data
Filip Stefaniuk, Robert Ślepaczuk
The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with di…