Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Modeling volatility and risk with blind identification and Extended Generalized Lambda Distribution system

2011/03/B/HS4/05092

Keywords:

financial markets uncertainty value at risk volatility modelling

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, Wydział Zastosowań Informatyki i Matematyki, Katedra Informatyki

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Tomasz Ząbkowski 

Number of co-investigators in the project: 3

Call: OPUS 2 - announced on 2011-09-15

Amount awarded: 78 000 PLN

Project start date (Y-m-d): 2012-08-30

Project end date (Y-m-d): 2013-08-29

Project duration:: 12 months (the same as in the proposal)

Project status: Project settled

Information in the final report

  • Publication in academic press/journals (6)
  • Articles in post-conference publications (2)
  • Book publications / chapters in book publications (4)
  1. Dywergencje Bosego-Einsteina w analizie podobieństw finansowych szeregów czasowych
    Authors:
    Szupiluk R.
    Academic press:
    Metody Ilościowe w Badaniach Ekonomicznych (rok: 2012, tom: 13(3), strony: 213-221), Wydawca: Katedra Ekonometrii i Statystyki SGGW
    Status:
    Published
    DOI:
    brak - link to the publication
  2. EGLD system for noise identification in ensemble predictors
    Authors:
    Szupiluk R., Ząbkowski T.
    Academic press:
    COMPEL: The International Journal for Computation and Mathematics in Electrical and Electronic Engineering (rok: 2014, tom: 33(5), strony: 2006-2015), Wydawca: Emerald
    Status:
    Published
    DOI:
    10.1108/COMPEL-11-2013-0354 - link to the publication
  3. Noise identification for ICA ensemble predictors
    Authors:
    Szupiluk R., Ząbkowski T.
    Academic press:
    Przegląd Elektrotechniczny (rok: 2013, tom: 6, strony: 307-309), Wydawca: Wydawnictwo SIGMA-NOT
    Status:
    Published
    DOI:
    brak - link to the publication
  4. Multivariate decompositions for Value at Risk modelling
    Authors:
    Szupiluk R., Wojewnik P. Ząbkowski T.
    Academic press:
    Metody Ilościowe w Badaniach Ekonomicznych (rok: 2013, tom: XIV, strony: 240-250), Wydawca: Katedra Ekonometrii i Statystyki SGGW
    Status:
    Published
    DOI:
    brak - link to the publication
  5. Mining Associations on the Warsaw Stock Exchange
    Authors:
    Karpio K., Łukasiewicz P., Orłowski A., Ząbkowski T.
    Academic press:
    Acta Physica Polonica A (rok: 2013, tom: 123 (3), strony: 553-559), Wydawca: Instytut Fizyki Polskiej Akademii Nauk
    Status:
    Published
    DOI:
    brak - link to the publication
  6. Smooth Component Analysis and MSE Decomposition for Ensemble Methods in Multi-Agent Environment
    Authors:
    Szupiluk R., Wojewnik P. Ząbkowski T.
    Academic press:
    International Journal of Innovative Computing, Information and Control (rok: 2014, tom: 10(4), strony: 1435–1445), Wydawca: ICIC International
    Status:
    Published
    DOI:
    brak - link to the publication
  1. EGLD system for noise identification in predictors ensemble context
    Authors:
    Szupiluk R., Ząbkowski T.
    Conference:
    International Symposium on Theoretical Electrical Engineering – ISTET 2013 (rok: 2013, ), Wydawca: University of West Bohemia
    Data:
    konferencja 24-26.06.2013
    Status:
    Published
  2. Noise identification with novel variability measure in prediction context
    Authors:
    SzupilukR., Ząbkowski T.
    Conference:
    13th International Workshop Computational Problems of Electrical Engineering (rok: 2012, ), Wydawca: Politechnika Warszawska
    Data:
    konferencja 5-8.09.2012
    Status:
    Published
  1. A state space approach and Hurst exponent for ensemble predictors
    Authors:
    Szupiluk R., Ząbkowski T.
    Book:
    Communications in Computer and Information Science (rok: 2013, tom: 383, strony: 154–164), Wydawca: Springer
    Status:
    Published
  2. Independent Component Analysis filtration for Value at Risk modelling
    Authors:
    Szupiluk R., Wojewnik P. Ząbkowski T.
    Book:
    Artificial Neural Networks and Machine Learning, Lecture Notes in Computer Science (rok: 2013, tom: 8131, strony: 553-562), Wydawca: Springer
    Status:
    Published
    DOI:
    link to the publication
  3. Similarity Analysis Based on Bose-Einstein Divergences for Financial Time Series
    Authors:
    Szupiluk R., Ząbkowski T.
    Book:
    Adaptive and Natural Computing Algorithms, Lecture Notes in Computer Science (rok: 2013, tom: 7824, strony: 417-427), Wydawca: Springer
    Status:
    Published
    DOI:
    link to the publication
  4. Noise identification in multivariate time series modeling with divergence approach
    Authors:
    Szupiluk R.
    Book:
    Perspectives in Business Informatics Research, Lecture Notes in Business Information Processing (rok: 2013, tom: 158, strony: 327-334), Wydawca: Springer
    Status:
    Published

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