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All posts by Paweł Sakowski

Recurrent Neural Networks vs. Classical Methods in Investment Strategies

We invite everyone to the next seminar of the QFRG and the DSLab!

It will take place on Tuesday 17th December 2019 at 16.45 in room B002 at the Faculty of Economic Sciences of the University of Warsaw (ul. Długa 44/50).

Mateusz Kijewski and dr Robert Ślepaczuk will discuss applications of Recurrent Neural Networks in investment strategies and compare them with classical methods for generating investments signals. The meeting will be held in English.

The presentation can be found under the following link.

Please confirm your participation before 16th December by sending short message to


QUANTDAY – 20th November 2018

Are you interested in science behind finance? Do you want to learn practical applications of mathematical methods in financial industry? You are eager to find out which problems of banking can be effectively solved by machine learning techniques or perhaps you are willing to learn the process of building, testing and deploying algotrading strategies? Or perhaps you consider a carreer in quantitative finance industry a s Quant or Data Scientist or review new trends and methods, which can be applied in your projects?

If so, you can’t miss the QuantDay on 20th November 2018 – the event organized by Computational Finance Student Research Group MIMUW and Foundation for Professional Development QuantFin. The QuantDay will take place at 16:00-20:00 in room 5440 on the Faculty of Mathematics, Informatics and Mechanics of University of Warsaw.

During the event we will see presentations offered by valued professionalists from important companies in financial industry – we will host Goldman Sachs, Aviva, Labyrinth HF, EY and QFRG WNE UW.

We guarantee high quality of the debate and wide range of topics. Additionally to that, delicious pizza wiill be served 🙂

Scheduled presentations:

16:00 Welcome

Why you should NOT invest in BTC mining
Grzegorz Zakrzewski, member QFRG WNE UW

16:40 Aviva
Challenges in stochastic modeling of option prices and guarantees embedded in insurance products
Marek Wielgosz, manager, Aviva

17:25 EY
Applications of ML in banking industry
Robert Małysz, associate partner in EY, Data&Analytics leader

18:10 Presentation of Quant Invest
a quantitative competition organized by QuantFin Foundation and CFA Society Poland, sponsored by TFI PZU S.A.

18:20 Pizza sponsored by QuantFin Foundation

18:40 Labyrinth HF
How can we test algorithmic trading strategies?
Robert Ślepaczuk, Labyrinth HF co-founder

19:20 Goldman Sachs
Introduction to CVA and key modelling concepts
Rafał Muchorski, associate, Goldman Sachs, Credit Quantitative Analysis

Factor Modelling: from classic approach to machine learning
Karol Partyka, analyst, Goldman Sachs, Model Risk Management


See you on Tuesday, 20th Nov 2018!

QFRG and Labyrinth HF project meeting on WNE UW, 18th of September, 2018

QFRG and Labyrinth HF project would like to invite market practitioners, academics, and students to the research seminar “Why you should NOT invest in BTC mining? … and other cryptocurrency issues so far not explained”, where we will present results of our recent project.

The meeting will take place on Tuesday, 18th of September 2018, at 5 pm in room B of the Faculty of Economic Sciences, University of Warsaw, Dluga 44/50. Everyone interested is warmly invited!

The seminar will be divided into four parts:

  1. 5:00 pm – 5:40 pm
    Results of our last study: Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions.
    A short clip presenting results of our research is available here.
    You can also download detailed presentation, and full text of the report.
  2. 5:45 pm – 6:10 pm
    Presentation about Labyrinth HF – a VC project aspiring to establish algorithmic hedge fund,
  3. 6:20 pm – 6:50 pm
    Results of the paper: Momentum and Contrarian Effects on Cryptocurrency Markets,
    Presentation will be available under the following link soon.
  4. 6:50 pm – 7:10 pm
    The out-of-sample results of momentum and contrarian strategies from the end of October, 2017 until mid September, 2018.
    Presentation will be available under the following link soon.


Equity Risk Premium Determinants for Emerging and Developed Markets

The Department of Quantitative Finance at the Faculty of Economic Sciences University of Warsaw and the Quantitative Finance Research Group invite everyone interested to attend the conference: “Equity Risk Premium Determinants for Emerging and Developed Markets”.

The conference will be held on 24th November 2016 at the Faculty of Economic Sciences, University of Warsaw in room B.

For further details please click here.


Equity Index Derivatives in Investment Strategies and Asset Allocation

Quantitative Finance Research Group at the Faculty of Economic Sciences, University of Warsaw and Eurex Exchange are pleased to invite everyone to attend the conference “Equity Index Derivatives in Investment Strategies and Asset Allocation”. The conference will be held on 13th October 2014 at the Faculty of Economic Sciences, University of Warsaw.

During the event, QFRG will present the results of the research on “Generalized Momentum Asset Allocation using MSCI indexes”.

For further details please click here.


Technical Analysis: Elliott Waves

Technical Analysis: Elliott Waves – guest lecture at the Faculty by Tomasz Jerzyk from BZWBK. We invite everyone on Tuesday, 2014-04-29, 13:15 to the room A.

The University of Warsaw, Faculty of Economic Sciences and Quantitative Finance Research Group with partnership of BZ WBK Brokerage House invite you to a guest lecture: Technical Analysis: Elliott Waves. The lecture will be conducted by Tomasz Jerzyk, The Chief of Technical Analysis in BZ WBK Dom Maklerski. The lecture is a part of “Technical Analysis I” course conducted this semester at the Faculty.

Please see the poster to get more information how to register at this course.

First training in Trading Lab!

We are happy to invite you to the first training in our new Trading Lab at WNE UW!

Our first meeting with OSTC Managers will be held on 12th November 2013 at 4.45pm in room A at Faculty of Economic Sciences, University of Warsaw (Długa 44/50). During the meeting we are going to present the Stellar trading software (simulated transactions on world’s major derivatives markets, top class software used by professional traders not only at OSTC, but also across UK, GER, USA, SNGPR!). We will also set dates for further trainings and answer all of your questions.

Please confirm your attendance by writing to

Grand Opening of Trading Lab

On behalf of University of Warsaw, Faculty of Economic Sciences and OSTC company we are pleased to invite you to the grand opening of our unique, state-of-the-art Trading Lab on 17 October 17th 2013 at 12pm in room A and afterwards to the Lab in room E.

The Lab will give you the opportunity to simulate trading on all of the world’s key derivatives exchanges in real time under the guidance of senior OSTC managers. We are also going to offer regular classes in the Trading Lab and conduct research projects.

Agenda of the event:

12:00–12:30 grand opening of the Trading Lab (room A)
speech of University of Warsaw representatives
speech of OSTC representatives
12:30-12:45 visiting the Lab (room E)
12:45-13:30 short presentation of trading software in the Lab
13:30-14:00 catering (room G)

In the meanwhile you will find additional information and promotional materials:

Please confirm your attendance (, T: +48 22 201 97 19 int. 0058, +48 606 479 858) as it will help us a lot to organize this event.

Global Trading Challenge with OSTC

The Quantitative Finance Research Group is pleased to announce that the University of Warsaw will participate in the OSTC International Student Trading Challenge.

OSTC is a major, and unique in its approach, player in the area of proprietary trading, located in the UK, Eastern and Continental Europe and Asia. It already has far-reaching relationships with universities from around the world.

More details about about Global Trading Challenge with OSTC can be found here. We encourage all our students to take part in it and have the possibility to meet and compete with your colleagues from all other the world.

If you have any other questions concerning this event please do not hesitate to contact Dominika Pawłowska, OSTC Ambassador at our faculty.


How to Effectively Replicate Hedge Funds Strategies Using Eurex Products?

Quantitative Finance Research Group at the Faculty of Economic Sciences, University of Warsaw and Eurex Exchange are pleased to invite everyone to attend our joint conference to be held on 5th December, 2012 at the Faculty of Economic Sciences, University of Warsaw.

The conference provides a forum for the professionals and students who are interested in effective application of derivatives in the field of quantitative finance.

Your contributions will enrich the program through enhancing the diversity of perspectives and content represented. We expect about 50 participants who will have the opportunity to listen and discuss very interesting presentations of key speakers from Eurex Exchange, OSTC and University of Warsaw:

  • Deepesh Shah, Vice President Business Development, EUREX
  • Dr. Piotr Wójcik, University of Warsaw
  • Renaud Huck, Senior Vice President Buy-Side Relations, EUREX
  • Dr. Ian Firla, COO OSTC Poland

For further details and registration please click here.