1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.RM2023★ 1 cited
Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting
Jakub Michańków, Łukasz Kwiatkowski, Janusz Morajda
In this paper, we develop a hybrid approach to forecasting the volatility and risk of financial instruments by combining common econometric GARCH time series models with deep learn…
q-fin.PM2023
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…