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20232025
most citedMean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies

2 citations · 3 across the 4 of their papers we have counts for

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q-fin.RM2023★ 1 cited

Systemic risk indicator based on implied and realized volatility

Paweł Sakowski, Rafał Sieradzki, Robert Ślepaczuk

We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan.…