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Coronavirus and capital markets – updated version – 2020-03-31


Increasing panic in societies helps to control them and influence their decisions but at the same time it limits their rational behaviors and stop them from the most appropriate actions at the correct time, so … should we present well-processed data, e.g. properly showing the dynamics of the development of the epidemic in each country or should we focus only on absolute numbers which will naturally grow to the very end of the epidemic? – the question is of course rhetorical.

… despite the fact that the level of panic recently observed on financial markets is not fully justified, at the same time the prolonged unprecedented governmental activities related to closing borders, isolating economies, the inability to conduct business in a normal form and, as a consequence, a complete break in the supply chain can have very negative and unpredictable economic effects. What is worse, the subsequent consequences of these activities, e.g. related to the bankruptcy of even entire sectors of the economy, may have in practice much more severe consequences for the societies of individual countries through significant and permanent destabilization of entire economies, and then the current exaggerated reaction of exchanges, unfortunately post factum, will show fully adequate!

The next portion of QFRG WNE UW Coronavirus report focusing on single countries and aggregated level for the most infected countries can be found here.


Koronawirus COVID-19, a rynki kapitałowe


Indeks S&P500 spadł w okresie ostatnich 4 tygodni do wartości poniżej 2280.52 notując jedne z największych krótkoterminowych spadków (około -32.8%), w okresie ostatnich kilkudziesięciu lat. Wydarzenia ostatnich 4 tygodni skłaniają do przeanalizowania przyczyn tak dużej paniki na rynkach finansowych z większą uwagą. Skłoniło to nas do poświęcenia temu tematowi trochę czasu co zaowocowało następującym opracowaniem.

Skupimy się na następujących aspektach:
• opisie reakcji rynków kapitałowych na rozwój epidemii na przykładzie indeksu S&P500 oraz indeksu zmienności VIX,
• rozwoju epidemii na świecie w krajach z największą liczbą przypadków koronawirusa,
• ewolucji wskaźnika śmiertelności na podstawie dwóch różnych definicji oraz odpowiedzi na pytanie co z tego wynika,
• potencjalnym wpływie obecnej pandemii na gospodarki krajów oraz zachowanie giełd w przyszłości.

oraz na odniesieniu do poniższych pytań:
… czy sytuacja jest aż tak tragiczna lub inaczej to ujmując, czy mamy podstawy przypuszczać, że za chwilę będziemy w tak katastroficznej sytuacji jak sugeruje zachowanie rynków finansowych?
… czy rynki finansowe dyskontują obecnie scenariusz adekwatny do danych, które obecnie posiadamy, czy raczej skrajnie pesymistyczny, zakładający bardzo gwałtowny rozwój epidemii w kolejnych tygodniach i totalną destabilizację rynków finansowych i gospodarek poszczególnych krajów?
… czy zatem rynki finansowe nie uwzględniają jedynie skrajnie negatywnego scenariusza rozwoju sytuacji?

Życzymy przyjemnej lektury !


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



QFRG and DSLab meetings on WNE UW, 15th of October, 2019

We invite you to the first seminar inaugurating the monthly series of meetings organised jointly by QFRG (Quantitative Finance Research Group) and DSLab (Data Science Lab). The first meeting will be devoted to the presentation entitled Diversification with cryptocurrencies? OMG, really? Dr Paweł Sakowski and Przemysław Ryś will present interactive cloud-deployed Shiny application implementing Markowitz (1952) model for equity and crypto markets.

QFRG is a place where research is conducted and experiences are exchanged between people engaged in examining occurrences in the world of investment from the perspective of both theory and practice, on the verge of science and business.

The activities of DSLab is focused mainly on academic projects devoted to deepening of the knowledge of DSLab team, sharing it with other people interested in Data Science issues and preparing scientific and didactic research.
The first meeting will take place on October 15, 2019 (Tuesday) at 16.45 in room B002 at the Faculty of Economic Sciences of the University of

Warsaw (ul. Długa 44/50, aula B). The meeting will be held in English. I would like to ask you to confirm my consent for the e-mail on October 14:

The seminar will be divided into three parts:

[4:45 pm – 5:00 pm] The presentation of QFRG activity by dr Robert Ślepaczuk,

[5:00 pm – 5:15 pm] The presentation of DSLab activity by dr Piotr Wójcik,

[5:15 pm – 6:15 pm] Diversification with cryptocurrencies? OMG, really? by dr Paweł Sakowski and Przemysław Ryś,

Our interactive cloud-deployed Shiny application implements Markowitz (1952) model for equity and crypto markets. We can analyse not only equity lines and performance measures for our strategies and benchmark portfolios, but also perform interactive sensitivity analysis with respect to the length of historical window, the frequency of portfolio rebalancing and the degree of financial leverage. The app serves to illustrate the potential of portfolio risk diversification offered by crypto markets. Presentation of our application will be accompanied with a gentle introduction to Modern Portfolio Analysis – it’s not a rocket science, so everyone is invited!


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!


Cryptocurrency Mining Index (CMI)

QFRG and LabyrintHF would like to present Cryptocurrency Mining Index (CMI) – daily updated index, reflecting the situation in the cryptocurrency mining industry. You can find CMI with detailed description of methodology and information about considered companies below.

Authors: QFRG WNE UW and Labyrinth HF project

Date of publication: 2018-09-24

Last update: 2019-04-08 14:14:58 UTC

Figure.1. Cryptocurrency Mining Index (CMI) – 2019-04-08: 0.0575489

plot of chunk plotIndex

Table.1. Performance Statistics for CMI and BTCUSD

last observation 0.0575 5205.6802
last week return 8.44% 5.41%
last month return 1.26% 31.86%
last quarter return -1.14% 28.83%
return from 2018-01-01 -96.16% -64.72%
returns standard deviation from 2018-01-01 111.49% 78.27%
maximum drawdown 98.82% 83.29%


Cryptocurrency Mining Index (CMI) is an equally weighted index consisting of publicly listed companies and ICOs quoted on cryptocurrency exchanges. It covers companies which declared that they will focus mainly on mining activity. CMI returns are calculated based on the formula which attaches the same weight to every return.Rebalancing is done every day.

Description of data

Our data covers the period between 2017-11-01 and 2019-04-08. The starting point is defined as the date when minimum 2 time series are available for calculations purposes. Then each new time series is added when data are available.All prices are converted to USD, e.g. from GBP or CAD. Data sources:

Description of considered companies

We have selected all companies with at least 1 month of price data. The starting date for each company and its return since the date of inception is summarized in the table below. Additionally the description of each company based exactly on the note from original source is given below:

  • RMC – The Russian Mining Coin (RMC) is a digital asset which gives the owner the right to acquire a new generation MultiClet miner based on a processor with multicellular architecture or the right to acquire a Sunrise miner at a special price. The owner of the coin also has the right to participate in the RMC Joint Mining Club.

    Data source:
  • HSSHF – HashChain Technology Inc. operates as a blockchain technology company. It engages in the cryptocurrency mining activities. It also provides NODE40 Balance, a SaaS product that allows cryptocurrency users and traders to accurately report their capital gains and losses, as well as DASH masternode server-hosting services. The company was formerly known as Chortle Capital Corp. and changed its name to HashChain Technology Inc. in September 2017. HashChain Technology Inc. was incorporated in 2017 and is based in Vancouver, Canada.
    Data source: and
  • HVBTF – HIVE Blockchain Technologies Ltd. operates as a cryptocurrency mining firm. It engages in the mining and sale of digital currencies, such as Ethereum, Ethereum Classic, and ZCash. The company was formerly known as Leeta Gold Corp. and changed its name to HIVE Blockchain Technologies Ltd. in September 2017. HIVE Blockchain Technologies Ltd. was incorporated in 1987 and is headquartered in Vancouver, Canada.
    Data source: and
  • SMS – Speed Mining Service project is the most advanced diversified virtual currency mining operation with the offering of profit distribution up to 34% from the global revenue. They are the main supporter to list their token into a cryptocurrency exchange supported by their alliance. Therefore, an investor will have two benefits in both trading and the profit distribution together. Their vision is to construct Asia’s most advanced diversified and large-scale virtual currency mining operation. In order to achieve that goal, they will be holding an initial crypto offering with the goal of financing the project.

    Data source:
  • ENV – Envion introduces mobile mining for cryptocurrencies, the future of smart decentralized blockchain infrastructure. It was supposed to be a highly profitable company with global crypto-mining-infrastructure hosted in mobile, modular CSC containers. Envion claimed to have created the fleet of totally mobile containers that you can move to the energy source, right to the source wherever the energy is cheap.

    Data source:
  • DMGGF – DMG Blockchain Solutions Inc. operates as a blockchain and cryptocurrency company that manages, operates, and develops digital solutions to monetize the blockchain ecosystem. The company was incorporated in 2016 and is headquartered in Vancouver, Canada.
    Data source: and
  • ROCK2 – Ice Rock Mining plans to bring bitcoin mining to the investment world. They believe bitcoin has a long and significant role in the new monetary system that is forming. Their goal is to raise capital and scale the mining business. They are currently in operation and already delivering returns to investors. With Ice Rock, investors become partners and share in the realization of profits, while assuring themselves a stable and passive income. Because of IRM's efficiencies, the company is able to operate at lower costs and thereby pass those savings on to investors. With today’s hashrates, ROI to investors is over 200% per year and could increase if the price of bitcoin appreciates.

    Data source:
  • ARB.L – Argo Blockchain PLC, through its subsidiary, Argo Blockchain Canada Holdings Inc., intends to operate a Mining as a Service business that primarily focuses on the cryptocurrency market in the United Kingdom. The company was formerly known as GoSun Blockchain Limited and changed its name to Argo Blockchain PLC in December 2017. The company was founded in 2017 and is based in London, the United Kingdom.
    Data source: and

Figure.2. Quotes of considered mining companies

plot of chunk unnamed-chunk-1

Figure 3. Normalized quotes of considered mining companies (normalized by the initial value)

plot of chunk unnamed-chunk-2

Table.2. Starting date of quoted companies

Symbol Quoted since Return [%]
ARB.L 2018-08-06 -74.85
ROCK2 2018-08-06 -25.03
DMGGF 2018-02-15 -88.13
ENV 2018-02-14 -93.13
SMS 2018-01-29 -98.63
HSSHF 2017-12-19 -97.55
HVBTF 2017-11-01 -88.67
RMC 2017-11-01 -92.17

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.



QFRG and Labyrinth HF project meeting on MIMUW, 29th of May, 2018

QFRG and Labyrinth HF would like to invite students and market practitioners who are interested in the field of hedge funds, algorithmic investment strategies and cryptocurrency markets to take part in our meeting: Algorithmic Trading on Cryptocurrencies. The seminar will be organised by Computational Finance Student Research Group at MIMUW and QuantFin Foundation and will be divided on three parts:

1. Results of the paper: Momentum and Contrarian Effects on Cryptocurrency Markets,

Presentation can be found under the following link.

2. Labyrinth HF – VC project aspiring to establish algorithmic hedge fund,

3.  The out-of-sample results of momentum and contrarian strategies from the end of October, 2017 until May, 2018,

Presentation can be found under the following link.

Our  meeting will take place on MIMUW on Tuesday, 29th of May, 2018 at 6.00 PM, in room 4420.

For further details please click here.


QFRG monthly meeting, 16th of January, 2018

We would like to invite students  and market practitioners who are interested in the field of algorithmic investment strategies on cryptocurrency markets to take part in our monthly meeting where we will present the results of our newest research project titled: Momentum or Contrarian. Which Is the Most Valid in the Case of Cryptocurrencies?

Our next  monthly meeting will take place on Tuesday, 16th of January, 2018 at 6.30 PM, in room B002.

For further details please click here.


QFRG invitation for new members

We would like to invite students who are interested in the field of quantitative finance and financial econometrics and are convinced to devote their time and maximum effort to take part in our new projects. They will be focused on practical implementation of scientifics theories and tools and will eventually end up with the applications which can be used for automated trading and investment purposes.

Our first meeting in this semester will take place on Tuesday, 24th of October, 2017 at 6.30 PM, at room B.

For further details please click here.