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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- 2024-12-02, Monday, 6.30pm-8.00pm, 49th research seminar, title: “ Can Artificial Intelligence Trade The Stock Market? “
authors: Jędrzej Maskiewicz, Paweł Sakowski
additional info: will be added soon
published/working paper: will be added soon
presentation: will be added soon
the recording of the presentation: will be added soon - 2024-11-18, Monday, 6.30pm-8.00pm, 48th research seminar, title: “ … “
authors: …
additional info: …
published/working paper: …
presentation: …
the recording of the presentation: … - 2024-11-04, Monday, 6.30pm-8.00pm, 47th research seminar, title: “ In Pursuit of Trend-Following Beta: The Promise and Pitfalls of Replication“
authors: Steven Braun, Corey Hoffstein, Juliusz Jabłecki
additional info: poster
published/working paper: SSRN paper
presentation: presentation
the recording of the presentation: recording - 2024-10-14, Monday, 6.30pm-8.00pm, 46th research seminar, title: “ Nighttime Lights as a Proxy for Economic Development on a Local Level – The Case of the US “
authors: Patrick Sliz, Piotr Wójcik
additional info: poster
published/working paper: will be added soon
presentation: will be added soon
the recording of the presentation: recording - 2024-10-07, Monday, 6.40pm-8.00pm, 45th research seminar, title: “ Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market “
authors: Adam Korniejczuk, Robert Ślepaczuk
additional info: poster
published/working paper: SSRN paper
published/working paper: arXiv paper
presentation: presentation
the recording of the presentation: recording - 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: recording - 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: - 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
- 2021-10-18, Monday, 3.00pm-4.30pm,
title: “Robust Optimisation Procedure in Algorithmic Investment Strategies“
authors: Sergio Castellano Gomez and Robert Ślepaczuk
additional info: poster
working paper: https://www.wne.uw.edu.pl/files/4916/3768/6325/WNE_WP375.pdf
presentation: presentation
the recording of the presentation: recording
- 2021-06-21, Monday, 5.00pm-6.30pm,
title: “Enhanced Index Replication Based on Smart Beta and the Analysis of Distribution Moments“
authors: Kamil Korzeń and Robert Ślepaczuk
additional info: poster
working paper: https://www.wne.uw.edu.pl/files/6916/2748/4276/WNE_WP366.pdf
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
- 2021-02-22, Monday, 5.00pm-6.30pm,
title: “Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework“
authors: Paweł Sakowski, Anna Turovtseva
additional info: poster
working paper: https://www.wne.uw.edu.pl/files/5016/1041/4810/WNE_WP347.pdf
application: application
presentation: presentation
the recording of the presentation is available here: recording
- 2021-01-18, Monday, 5.00pm-6.30pm,
title: “What Factors Determine Unequal Suburbanisation? New Evidence from Warsaw, Poland“
authors: Honorata Bogusz, Szymon Winnicki, Piotr Wójcik
additional info: poster
working paper: https://www.wne.uw.edu.pl/files/1216/0224/3666/WNE_WP340.pdf
the recording of the presentation is available here: https://lnkd.in/g7cV7iX
- 2020-12-14, Monday, 5.00pm-6.30pm,
title: “Artificial Neural Networks Performance in WIG20 Index Options Pricing”
authors: Maciej Wysocki, Robert Ślepaczuk
additional info: poster
working paper: https://www.wne.uw.edu.pl/files/2615/9372/4397/WNE_WP325.pdf
presentation: presentation
- 2020-11-16, Monday, 5.00pm-6.30pm,
title: “Size Does Matter. A Study of the Required Window Size for Optimal Quality Market Risk Models“
authors: Mateusz Buczyński, Marcin Chlebus
additional info: poster
working paper: https://www.wne.uw.edu.pl/files/9215/9039/7402/WNE_WP315.pdf
the recording of the presentation is available here: https://lnkd.in/eiMwF3C
- 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
- 2019-12-17, Monday, 4.45pm-5.45pm,
title: “Recurrent Neural Networks vs. Classical Methods in Investment Strategies “
authors: Mateusz Kijewski, Robert Ślepaczuk
additional info: poster
where: Faculty of Economic Sciences, University of Warsaw, Warsaw, ul. Długa 44/50
room: B002
presentation: presentation
working paper: https://www.wne.uw.edu.pl/files/6215/9765/7140/WNE_WP333.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
