QFRG – Quantitative Finance Research GroupQFRG – Quantitative Finance Research Group

QFRG & DSLab research seminars

Open seminars run jointly by the Quantitative Finance Research Group and Data Science Lab since the 2019/2020 academic year. 72 talks so far.

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2026

  1. No. 7210 Things You Should Know as a QuantBruno Dupire
    Poster
  2. No. 71Zero-Shot Transformer Models for High-Frequency Financial Time Series Forecasting in Trading ApplicationsJan Wołyniak, Robert Ślepaczuk
    RecordingPoster
  3. No. 70Reading Between the Rates: How Options Price Fed UncertaintyŁukasz Adamski, Robert Ślepaczuk
    SlidesRecordingPoster
  4. No. 69A Mortgage Prepayment Study Using Survival Analysis and Time-Varying DeterminantsAndrei Shelest
    Poster
  5. No. 68Optimal Market Making under Exchange Rate LimitsBartosz Bieganowski, Robert Ślepaczuk
    RecordingPoster
  6. No. 67Ontology as a hyperparameter: Task-aware knowledge graph construction using LLMsJan Frąckowiak
    RecordingPoster
  7. No. 66News sentiment analysis using ChatGPT for Bitcoin price dynamicsPiotr Fiszeder, Witold Orzeszko, Radosław Pietrzyk
    PaperSlidesRecordingPoster
  8. No. 65Carry, Convexity and Reliability – Navigating Tails Risk Hedging DilemasJuliusz Jabłecki, Chris Marais, Bruno Schwalbach
    SlidesRecordingPoster
  9. No. 64Infrastructure Capacity, Risk, and Firm Value: Evidence from U.S. Electricity TightnessMarcin Kacperczyk, David Licher
    PaperRecordingPoster

2025

  1. No. 63Glioma Segmentation Throughout the Treatment Continuum: A Systematic Evaluation of Deep Learning Models for the BraTS 2025 Lighthouse ChallengeMaciej Kuchciak
    RecordingPoster
  2. No. 62A Time-Varying Interpretable Multi-Scale Transformer for Exchange Rate Returns Forecasting and Investment Decision SupportDinggao Liu, Robert Ślepaczuk, Zhenpeng Tang
    PaperPoster
  3. No. 61Machine Learning for Daily Return Direction Forecasting: Predicting Socio-Economic Development in Poland in 2020–2024 Using Satellite ImageryŁukasz Janisiów, Piotr Wójcik
    Poster
  4. No. 60Machine Learning for Daily Return Direction Forecasting: A Comparative Study with Explainable AI InsightsKrzysztof Płachta, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  5. No. 59Systematic Bagging Model for market risk – cross pattern learning framework for Value at Risk and Expected Shortfall estimationMichał Woźniak, Robert Ślepaczuk, Marcin Chlebus
    PaperSlidesRecordingPoster
  6. No. 58Recurrent neural architectures for nonlinear volatility modelingJosip Arneric, Mateusz Buczyński
    Poster
  7. No. 57How to win world championships in econometricsJakub Bandurski, Eliza Hałatek, Adam Łaziński, Michał Kunstler
    RecordingPoster
  8. No. 56Factor Zoo (.zip)Matthias X. Hanauer
    PaperRecordingPoster
  9. No. 55In the Beginning Was the Word: LLM-VaR and LLM-ESDaniel Traian Pele
    Poster
  10. No. 54Leveraging Convexity: Enhancing Global Equity Expected Returns with Trend-Following and Tail Risk Hedging OverlaysBruno Schwalbach
    RecordingPoster
  11. No. 53Rebalance Timing Luck: Unveiling the Hidden Hand in Portfolio ReturnsCorey Hoffstein
    PaperSlidesRecordingPoster
  12. No. 52Informer in Algorithmic Investment Strategies on High Frequency Bitcoin DataFilip Stefaniuk, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  13. No. 51Snapshots of Stories: Utilising Transformer Networks for Short Video Selection from Long-form ContentJakub Wujec, Jakub Żmujdzin, Marcin Chlebus, Piotr Wójcik
    Poster

2024

  1. No. 50Can Artificial Intelligence Trade The Stock Market?Jędrzej Maskiewicz, Paweł Sakowski
    SlidesRecordingPoster
  2. No. 49Conditioning cooperation with property rights in tragedy of the commons settingJakub Bandurski, Piotr Wójcik
    RecordingPoster
  3. No. 48In Pursuit of Trend-Following Beta: The Promise and Pitfalls of ReplicationSteven Braun, Corey Hoffstein, Juliusz Jabłecki
    PaperSlidesRecordingPoster
  4. No. 47Nighttime Lights as a Proxy for Economic Development on a Local Level – The Case of the USPatrick Sliz, Piotr Wójcik
    RecordingPoster
  5. No. 46Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities marketAdam Korniejczuk, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  6. No. 45Uncovering the Asymmetric Information Content of High-Frequency OptionsMattia Bevilacqua
    PaperRecordingPoster
  7. No. 44Analyzing Bitcoin Movements through Artificial Intelligence Evaluation of Facebook SentimentsDaniel Traian Pele
    Poster
  8. No. 43Supervised Autoencoder MLP for Financial Time Series ForecastingBartosz Bieganowski, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  9. No. 42On track to a green future: new insights on the impact of train transport on Warsaw suburban real estate marketPaweł Sieczak, Piotr Wójcik
    SlidesRecordingPoster

2023

  1. No. 41Low-Volatility Equity Strategies and Interest Rates: A Bittersweet PerspectiveJuliusz Jabłecki
    Poster
  2. No. 40Beyond Yelp – predicting restaurant closures based on Google Maps dataTomasz Starakiewicz, Piotr Wójcik
    RecordingPoster
  3. No. 39Explaining and Forecasting Abnormal Returns and Volume by Investor Sentiment IndicatorsSzymon Lis, Paweł Sakowski, Robert Ślepaczuk
    Poster
  4. No. 38How much is my harm worth? Predicting the amount of compensation for harm awarded by the Polish courtsMaciej Świtała
    RecordingPoster
  5. No. 37Comprehensive Comparison of Quantitative Finance Models for Hedging of Options PortfolioMaciej Wysocki, Robert Ślepaczuk
    RecordingPoster
  6. No. 36The Credit Card Debt Puzzle and Noncognitive AbilityHwan-Sik Choi
    PaperPoster
  7. No. 35How to win Econometric GamesMateusz Buczyński, Michał Kunster, Michał Woźniak
    RecordingPoster
  8. No. 34Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energyBarbara Będowska-Sójka, Agata Kliber
    RecordingPoster
  9. No. 33The Systemic Risk Approach Based on Implied and Realized VolatilityPaweł Sakowski, Rafał Sieradzki, Robert Ślepaczuk
    PaperRecordingPoster
  10. No. 32On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500Lech A. Grzelak
    PaperSlidesRecordingPoster
  11. No. 31Deep learning–based automated measurements of the scrotal circumference of Norwegian Red bulls from 3D imagesJoanna Bremer, Michał Maj
    Poster
  12. No. 30The Properties of Alpha Risk Parity PortfoliosJérôme Gava, Julien Turc
    PaperPoster
  13. No. 29Crypto session: volatility forecasting, cross-exchange risk and QuantinarWolfgang Härdle, Yifu Wang, Raul Bag
    3 talksRecordingPoster
  14. No. 28Performance and Flow of SRI Mutual Funds and Investors SophisticationOlga Klinkowska, Yuan Zhao
    PaperRecordingPoster

2022

  1. No. 27Absorption capacity of regions in terms of supporting entrepreneurship under the EU Cohesion Policy. New evidenceMarcin Wajda, Piotr Wójcik
    Poster
  2. No. 26Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 IndexKatarzyna Kryńska, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  3. No. 25Is attention all you need for intraday Forex trading?Przemysław Grądzki, Piotr Wójcik
    SlidesRecordingPoster
  4. No. 24A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategyIllia Baranochnikov, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  5. No. 23What makes Punks worthy? Valuation of Non-Fungible Tokens based on the CryptoPunks collectioEwelina Plachimowicz, Piotr Wójcik
    RecordingPoster
  6. No. 22Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning ModelsMaciej Wysocki, Paweł Sakowski
    PaperSlidesRecordingPoster
  7. No. 21Satellite imaginary for social data scienceXaquín S. Perez-Sindin, Piotr Wójcik
    Poster
  8. No. 20The modeling of earnings per share of Polish companies for post-financial crisis period using random walk and ARIMA modelsWojciech Kuryłek
    SlidesPoster
  9. No. 19Application of Machine Learning in Algorithmic Investment Strategies on Global Stock marketsJan Grudniewicz, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  10. No. 18LSTM in Algorithmic Investment Strategies on BTC and S&P500 indexJakub Michańków, Paweł Sakowski, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  11. No. 17Textual Content and Academic Selectivness. A Case of Economic JournalsPaweł Baranowski, Szymon Wójcik
    PaperSlidesRecordingPoster
  12. No. 16Forecasting of the Day-Ahead Energy PricesMaciej Przybyła, Piotr Wójcik
    SlidesRecordingPoster

2021

  1. No. 15Effective Local Volatility Model – with Application to Pricing American Basket OptionsJuliusz Jabłecki
    SlidesRecordingPoster
  2. No. 14Analysis of the Effectiveness of the Polish Judicial System Using Topic Modelling ToolsMaciej Świtała
    SlidesRecordingPoster
  3. No. 13Robust Optimisation Procedure in Algorithmic Investment StrategiesSergio Castellano Gomez, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  4. No. 12Enhanced Index Replication Based on Smart Beta and the Analysis of Distribution MomentsKamil Korzeń, Robert Ślepaczuk
    PaperSlidesRecordingPoster
  5. No. 11Identification of Scams in Initial Coin Offerings with Machine LearningBedil Karimov, Piotr Wójcik
    Poster
  6. No. 10XAI Tools as a Part of the Best Practices in Model Selection for Business Decision Modelling. Example of marketing campaign success forecastingMarcin Chlebus
    Poster
  7. No. 9The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approachEwelina Osowska, Piotr Wójcik
    PaperRecordingPoster
  8. No. 8Investment Opportunities on the Cryptocurrency Market within the Markowitz FrameworkPaweł Sakowski, Anna Turovtseva
    PaperSlidesRecordingPoster
  9. No. 7What Factors Determine Unequal Suburbanisation? New Evidence from Warsaw, PolandHonorata Bogusz, Szymon Winnicki, Piotr Wójcik
    PaperRecording

2020

  1. No. 6Artificial Neural Networks Performance in WIG20 Index Options PricingMaciej Wysocki, Robert Ślepaczuk
    PaperSlidesPoster
  2. No. 5Size Does Matter. A Study of the Required Window Size for Optimal Quality Market Risk ModelsMateusz Buczyński, Marcin Chlebus
    PaperRecordingPoster
  3. No. 4We Just Explained the Factors of Growth with Machine Learning!Piotr Wójcik, Bartłomiej Wieczorek
    PaperPoster

2019

  1. No. 3Recurrent Neural Networks vs. Classical Methods in Investment StrategiesMateusz Kijewski, Robert Ślepaczuk
    PaperSlidesPoster
  2. No. 2Predicting well-being based on features visible from space – the case of Warsaw!Piotr Wójcik, Krystian Andruszek
    PaperPoster
  3. No. 1Diversification with cryptocurrencies? OMG, really?!Paweł Sakowski, Przemysław Ryś
    Poster

Seminars are numbered in chronological order. Between October 2022 and May 2025 the numbers given in the announcements were one lower than they should have been, so they have been corrected here; each affected seminar page shows its announced number.