54 citations · 178 across the 14 of their papers we have counts for
14 papers
Entropy and Optimization of Portfolios
Krzysztof Urbanowicz
We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimizatio…
A simple model of local prices and associated risk evaluation
Krzysztof Urbanowicz, Peter Richmond, Janusz A. Hołyst
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimensio…
Risk evaluation with enhaced covariance matrix
Krzysztof Urbanowicz, Peter Richmond, Janusz A. Holyst
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale…
How random is your heart beat?
K. Urbanowicz, J. J. Zebrowski, R. Baranowski +1
We measure the content of random uncorrelated noise in heart rate variability using a general method of noise level estimation using a coarse grained entropy. We show that usually…
Improvement of speech recognition by nonlinear noise reduction
Krzysztof Urbanowicz, Holger Kantz
The success of nonlinear noise reduction applied to a single channel recording of human voice is measured in terms of the recognition rate of a commercial speech recognition progra…
Application of noise level estimation for portfolio optimization
Krzysztof Urbanowicz, Janusz A. Holyst
Time changes of noise level at Warsaw Stock Market are analyzed using a recently developed method basing on properties of the coarse grained entropy. The condition of the minimal n…