2 citations · 3 across the 4 of their papers we have counts for
3 papers · 1 filter
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…
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.…