Paweł Sakowski

University of Warsaw

Krakowskie Przedmiescie 26/28

Warszawa, Pl-00681

Poland

  • University of Warsaw

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

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1.

Investment Strategies Beating the Market: What Can We Squeeze from the Market?

Number of pages: 28 Posted: 12 Oct 2014
Robert Ślepaczuk, Grzegorz Zakrzewski and Paweł Sakowski
University of Warsaw - Faculty of Economic Sciences, Deutsche Bank and University of Warsaw
Downloads 657 (78,114)

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investment strategies, automatic trading systems, optimization, technical and fundamental analysis, market volatility, efficient risk and return measures, EMH, mutual and hedge funds

2.

The Systemic Risk Approach Based on Implied and Realized Volatility

Number of pages: 28 Posted: 14 Mar 2023 Last Revised: 23 Jun 2023
Paweł Sakowski, Rafal Sieradzki and Robert Ślepaczuk
University of Warsaw, New York University Stern School of Business and University of Warsaw - Faculty of Economic Sciences
Downloads 458 (121,957)
Citation 1

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systemic risk, implied volatility, realized volatility, volatility indices, equity index options, market volatility

3.

Options Delta Hedging with No Options at All

University of Warsaw Faculty of Economic Sciences Working Paper No. 27/2014
Number of pages: 29 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 351 (164,962)
Citation 1

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options hedging efficiency, optimal hedging frequency, realized and implied volatility, index futures, investment strategies,

4.

Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options

Univ. of Warsaw Working Paper No. 16/2010 (39)
Posted: 04 May 2011 Last Revised: 07 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski and Robert Ślepaczuk
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 348 (166,521)

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option pricing models, financial market volatility, high-frequency financial data, midquotes data, transactional data, realized volatility, implied volatility, stochastic volatility, microstructure bias, emerging markets

5.

Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies

Number of pages: 12 Posted: 13 Oct 2023
Jakub Michańków, Paweł Sakowski and Robert Ślepaczuk
University of Warsaw - Faculty of Economic Sciences, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 346 (167,566)

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machine learning, recurrent neural networks, long short-term memory, algorithmic investment strategies, loss function

6.

Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies

Number of pages: 30 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 327 (178,030)

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volatility, VIX futures, investment strategies, optimal portfolio selection, Markowitz model, Black-Litterman model

7.

Simple Heuristics for Pricing VIX Options

Number of pages: 20 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 296 (197,775)

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VIX, VIX options, implied volatility surface

8.

Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices

Number of pages: 19 Posted: 25 Oct 2023
Jakub Michańków, Paweł Sakowski and Robert Ślepaczuk
University of Warsaw - Faculty of Economic Sciences, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 285 (205,792)

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machine learning, recurrent neural networks, long short-term memory, algorithmic investment strategies, portfolio optimization

9.

Does Historical Volatility Term Structure Contain Valuable Information for Predicting Volatility and Index Futures?

Number of pages: 25 Posted: 29 Sep 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 281 (208,789)
Citation 1

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volatility term structure, volatility risk premium, volatility and index futures, realized volatility

10.

Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, Vol. 5, Issue 1, pp. 70-90, 2012
Number of pages: 21 Posted: 10 Mar 2012 Last Revised: 27 Mar 2014
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski and Robert Ślepaczuk
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 245 (239,330)

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option pricing models, financial market volatility, high frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets, Warsaw Stock Exchange

11.

Option Pricing Models with HF Data - A Comparative Study - The Properties of the Black Model with Different Volatility Measures

University of Warsaw, Economic Sciences Working Paper No. 3/2010
Number of pages: 33 Posted: 13 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk, Pawel Strawinski and Natalia Nehrebecka
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences, University of Warsaw, Department of Economics and affiliation not provided to SSRN
Downloads 185 (310,982)
Citation 3

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option pricing models, financial market volatility, high-frequency financial data, realized volatility, implied volatility, microstructure bias, emerging markets

12.

Midquotes or Transactional Data? The Comparison of Black Model on HF Data

University of Warsaw, Economic Sciences Working Paper No. 15/2010
Posted: 11 May 2011
Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski and Robert Ślepaczuk
Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw and University of Warsaw - Faculty of Economic Sciences
Downloads 136 (402,541)
Citation 3

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option pricing models, financial market volatility, high-frequency financial data, midquotes data, transactional data, realized volatility, implied volatility, microstructure bias, emerging markets

13.

Explaining and Forecasting Abnormal Returns and Volume by Investor Sentiment Indicators

Number of pages: 24 Posted: 07 Aug 2024
Szymon Lis, Robert Ślepaczuk and Paweł Sakowski
University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw
Downloads 128 (421,975)

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market sentiment, factor models, stock returns, EMH, Fama-MacBeth model, quantile regression, Baker-Wurgler index

14.

Quasi-Experimental Estimates of Class Size Effect in Primary Schools in Poland

Number of pages: 21 Posted: 11 Oct 2007
Maciej Jakubowski and Paweł Sakowski
Warsaw University - Faculty of Economic Sciences and University of Warsaw
Downloads 92 (534,282)
Citation 4

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Class size, Educational achievement, Student sorting, School fixed effects, Instrumental variables, Regression discontinuity design