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QFRG and DSLab – monthly meetings

QFRG&DSLab

The joint project of Quantitative Finance Research Group and Data Science Lab open seminars has been started in 2019/2020 academic year and was thought of as the place for discussion of the newest research ideas coming from the latest scientific articles. We focus on research from the area of data science, quantitative finance, financial econometrics, machine learning, and risk management.

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The schedule of the forthcoming meetings is as follows:
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    • 2024-04-08, Monday, 6.30pm-7.45pm, 44th research seminar,

      title: Uncovering the Asymmetric Information Content of High-Frequency Options
      authors: Mattia Bevilacqua
      additional info: poster
      published/working paper: paper
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2024-03-25, Monday, 4.45pm-6.15pm, 43rd research seminar,

      title: Analyzing Bitcoin Movements through Artificial Intelligence Evaluation of Facebook Sentiments
      authors: Daniel Traian Pele
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2024-03-04, Monday, 6.30pm-7.45pm, 42nd research seminar,

      title: Supervised Autoencoder MLP for Financial Time Series Forecasting
      authors: Bartosz Bieganowski, Robert Ślepaczuk
      additional info: poster
      published paper: paper
      presentation: presentation
      the recording of the presentation: recording

    • 2024-02-05, Monday, 5.45pm-7.00pm, 41st research seminar,

      title: On track to a green future: new insights on the impact of train transport on Warsaw suburban real estate market
      authors: Paweł Sieczak, Piotr Wójcik
      additional info: poster
      published paper: will be added soon
      presentation: presentation
      the recording of the presentation: recording

    • 2023-12-04, Monday, 6.30pm-8.00pm, 40th research seminar,

      title: Low-Volatility Equity Strategies and Interest Rates: A Bittersweet Perspective
      authors: Juliusz Jabłecki
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2023-11-27, Monday, 5.45pm-7.15pm, 39th research seminar,

      title: Beyond Yelp – predicting restaurant closures based on Google Maps data
      authors: Tomasz Starakiewicz and Piotr Wójcik
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: recording

    • 2023-11-13, Monday, 6.30pm-8.00pm, 38th research seminar,

      title: Explaining and Forecasting Abnormal Returns and Volume by Investor Sentiment Indicators
      authors: Szymon Lis, Paweł Sakowski, Robert Ślepaczuk
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2023-10-23, Monday, 5.45pm-7.15pm, 37th research seminar,

      title: How much is my harm worth? Predicting the amount of compensation for harm awarded by the Polish courts
      authors: Maciej Świtała
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: recording

    • 2023-10-09, Monday, 6.30pm-8.00pm, 36th research seminar,

      title: Comprehensive Comparison of Quantitative Finance Models for Hedging of Options Portfolio
      authors: Maciej Wysocki, Robert Ślepaczuk
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: recording

    • 2023-06-12, Monday, 6.30pm-8.00pm, 35th research seminar,

      title: The Credit Card Debt Puzzle and Noncognitive Ability
      author: Hwan-Sik Choi
      additional info: poster
      published paper: working paper
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2023-05-29, Monday, 5.00pm-6.30pm, 34th research seminar,

      title: How to win Econometric Games”
      authors: Mateusz Buczyński, Michał Kunster, Michał Woźniak
      additional info: poster
      working paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: recording

    • 2023-04-24, Monday, 5.00pm-6.30pm, 33rd research seminar,

      title: Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy
      authors: Barbara Będowska-Sójka, Agata Kliber
      additional info: poster
      working paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: recording

    • 2023-04-03, Monday, 6.30pm-8.00pm, 32nd research seminar,

      title: The Systemic Risk Approach Based on Implied and Realized Volatility
      authors: Paweł Sakowski, Rafał Sieradzki, Robert Ślepaczuk
      additional info: poster
      working paper: working paper
      presentation: will be added soon
      the recording of the presentation: recording

    • 2023-03-06, Monday, 6.30pm-8.00pm, 31st research seminar,

      title: On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500
      authors: Lech A. Grzelak
      additional info: poster
      working paper: working paper
      presentation: presentation
      the recording of the presentation: recording

    • 2023-02-27, Monday, 5.00pm-6.30pm, 30th research seminar,

      title: Deep learning–based automated measurements of the scrotal circumference of Norwegian Red bulls from 3D images
      authors: Joanna Bremer, Michał Maj
      additional info: poster
      published paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2023-02-06, Monday, 6.30pm-8.00pm, 29th research seminar,

      title: The Properties of Alpha Risk Parity Portfolios
      authors: Jérôme Gava, Julien Turc
      additional info: poster
      published paper: published paper
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2023-01-23, Monday, 3.00pm-6.00pm, 28th research seminar,
      additional info: poster
      3.00pm
      title: Crypto volatility forecasting: ML vs GARCH
      authors: Prof. Dr. Wolfgang Härdle
      the recording of the presentation: recording
      4:15pm-4:30pm
      coffee break
      4:30pm
      title: Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective
      authors: Yifu Wang
      the recording of the presentation: recording
      5:10pm
      title: Quantinar – The 2P2 Platform for Knowledge Sharing
      authors: Raul Bag
      the recording of the presentation: recording

    • 2023-01-16, Monday, 6.30pm-8.00pm, 27th research seminar,

      title: Performance and Flow of SRI Mutual Funds and Investors Sophistication
      authors: Olga Klinkowska, Yuan Zhao
      additional info: poster
      working paper: working paper
      presentation: will be added soon
      the recording of the presentation: recording

    • 2022-12-19, Monday, 5.00pm-6.30pm, 26th research seminar,

      title: Absorption capacity of regions in terms of supporting entrepreneurship under the EU
      Cohesion Policy. New evidence

      authors: Marcin Wajda, Piotr Wójcik
      additional info: poster
      working paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: will be added soon

    • 2022-12-05, Monday, 6.30pm-8.00pm, 25th research seminar,

      title: Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index
      authors: Katarzyna Kryńska, Robert Ślepaczuk
      additional info: poster
      working paper: working paper
      presentation: presentation
      the recording of the presentation: recording

    • 2022-11-21, Monday, 5.00pm-6.30pm, 24th research seminar,

      title: Is attention all you need for intraday Forex trading?
      authors: Przemysław Grądzki, Piotr Wójcik
      additional info: poster
      working paper: will be added soon
      presentation: presentation
      the recording of the presentation: recording

    • 2022-11-07, Monday, 6.30pm-8.00pm, 23rd research seminar,

      title: A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy
      authors: Illia Baranochnikov, Robert Ślepaczuk
      additional info: poster
      working paper: working paper
      presentation: presentation
      the recording of the presentation: recording

    • 2022-10-24, Monday, 5.00pm-6.30pm, 22nd research seminar,

      title: What makes Punks worthy? Valuation of Non-Fungible Tokens based on the CryptoPunks collectio
      authors: Ewelina Plachimowicz, Piotr Wójcik
      additional info: poster
      working paper: will be added soon
      presentation: will be added soon
      the recording of the presentation: recording

    • 2022-10-10, Monday, 6.30pm-8.00pm,

      title: Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models
      authors: Maciej Wysocki, Paweł Sakowski
      additional info: poster
      working paper: working paper
      presentation: presentation
      the recording of the presentation: recording

    • 2022-06-20, Monday, 5.00pm-6.00pm,

      title: Satellite imaginary for social data science
      authors: Xaquín S. Perez-Sindin, Piotr Wójcik
      additional info: poster

    • 2022-05-09, Monday, 5.00pm-6.00pm,

      title: The modeling of earnings per share of Polish companies for post-financial crisis period using random walk and ARIMA models
      authors: Wojciech Kuryłek
      additional info: poster
      working paper: will be added soon
      presentation: presentation
      the recording of the presentation: will be added soon

    • 2022-04-11, Monday, 5.00pm-6.00pm,

      title: Application of Machine Learning in Algorithmic Investment Strategies on Global Stock
      markets

      authors: Jan Grudniewicz, Robert Ślepaczuk
      additional info: poster
      working paper: working paper
      presentation: presentation
      the recording of the presentation: recording

    • 2022-03-21, Monday, 5.00pm-6.00pm,

      title: LSTM in Algorithmic Investment Strategies on BTC and S&P500 index
      authors: Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
      additional info: poster
      final publication: paper
      presentation: presentation
      the recording of the presentation: recording

    • 2022-02-28, Monday, 5.00pm-6.00pm,

      title: Textual Content and Academic Selectivness. A Case of Economic Journals
      authors: Paweł Baranowski, Szymon Wójcik
      additional info: poster
      working paper: will be added soon
      presentation: presentation
      the recording of the presentation: recording

    • 2022-01-17, Monday, 3.00pm-4.30pm,

      title: Forecasting of the Day-Ahead Energy Prices
      authors: Maciej Przybyła, Piotr Wójcik
      additional info: poster
      working paper: will be added soon
      presentation: presentation
      the recording of the presentation: recording

    • 2021-12-13, Monday, 3.00pm-4.30pm,

      title: Effective Local Volatility Model – with Application to Pricing American Basket Options
      authors: Juliusz Jabłecki
      additional info: poster
      working paper: will be added soon
      presentation: presentation
      the recording of the presentation: recording

    • 2021-11-22, Monday, 4.45pm-6.30pm,
      title: Analysis of the Effectiveness of the Polish Judicial System Using Topic Modelling Tools
      authors: Maciej Świtała (PhD student at WNE UW)
      additional info: poster
      working paper: will be added soon
      presentation: presentation
      the recording of the presentation: recording

    • 2021-05-17, Monday, 5.00pm-6.30pm,
      title: Identification of Scams in Initial Coin Offerings with Machine Learning
      authors: Bedil Karimov and Piotr Wójcik
      additional info: poster 
      working paper: will be added soon
      presentation: will be added soon
      the recording of the presentation is available here: will be added soon

    • 2021-04-19, Monday, 5.00pm-6.30pm,
      title: XAI Tools as a Part of the Best Practices in Model Selection for Business Decision Modelling. Example of marketing campaign success forecasting
      authors: Marcin Chlebus
      additional info: poster 
      working paper: will be added soon
      presentation: will be added soon
      the recording of the presentation is available here: will be added soon

    • 2021-03-22, Monday, 5.00pm-6.30pm,
      title: The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approach
      authors: Ewelina Osowska, Piotr Wójcik
      additional info: poster 
      working paper: https://www.wne.uw.edu.pl/files/7216/0210/4545/WNE_WP339.pdf
      presentation: will be added soon
      the recording of the presentation is available here: recording

    • 2020-01-21, Monday, 4.45pm-5.45pm,
      title: We Just Explained the Factors of Growth with Machine Learning!
      authors: Piotr Wójcik, Bartłomiej Wieczorek
      additional info: poster
      where: Faculty of Economic Sciences, University of Warsaw, Warsaw, ul. Długa 44/50
      room: B002
      working paper: https://www.wne.uw.edu.pl/files/5216/0322/9893/WNE_WP344.pdf

    • 2019-11-19, Monday, 4.45pm-5.45pm,
      title: Predicting well-being based on features visible from space – the case of Warsaw!”
      authors: Piotr Wójcik, Krystian Andruszek
      additional info: poster
      where: Faculty of Economic Sciences, University of Warsaw, Warsaw, ul. Długa 44/50
      room: B002
      working paper: https://www.wne.uw.edu.pl/files/1416/0322/8088/WNE_WP343.pdf

    • 2019-10-15, Monday, 4.45pm-5.45pm,
      title: Diversification with cryptocurrencies? OMG, really?!
      authors: Paweł Sakowski, Przemysław Ryś
      additional info: poster
      where: Faculty of Economic Sciences, University of Warsaw, Warsaw, ul. Długa 44/50
      room: B002