Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Forecasting financial markets using a machine learning approach

2019/35/B/HS4/00642

Keywords:

machine learning financial markets forecasting efficient market hypothesis volatility models

Descriptors:

  • HS4_3: Econometrics, statistical methods

Panel:

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

Host institution :

Uniwersytet Mikołaja Kopernika w Toruniu, Wydział Nauk Ekonomicznych i Zarządzania

woj.

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Witold Tadeusz Orzeszko 

Number of co-investigators in the project: 5

Call: OPUS 18 - announced on 2019-09-16

Amount awarded: 346 800 PLN

Project start date (Y-m-d): 2020-11-24

Project end date (Y-m-d): 2025-11-23

Project duration:: 60 months (the same as in the proposal)

Project status: Pending project

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (25)
  • Book publications / chapters in book publications (3)
  1. Artificial intelligence and customers' intention to use robo-advisory in banking services
    Authors:
    Piotrowski D., Orzeszko W.
    Academic press:
    Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2023, tom: 18, strony: 967-1007), Wydawca: Instytut Badań Gospodarczych / Institute of Economic Research (Poland)
    Status:
    Published
    DOI:
    10.24136/eq.2023.031 - link to the publication
  2. Machine Learning in Cartel Screening—The Case of Parallel Pricing in a Fuel Wholesale Market
    Authors:
    Bejger S.
    Academic press:
    Energies (rok: 2024, tom: 17, strony: 45674), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en17164184 - link to the publication
  3. Forecasting volatility of energy commodities: comparison of GARCH models with support vector regression
    Authors:
    Fałdziński M., Fiszeder P., Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14010006 - link to the publication
  4. Forecasting cryptocurrencies volatility using statistical and machine learning methods: a comparative study
    Authors:
    Dudek G., Fiszeder P., Kobus P., Orzeszko W.
    Academic press:
    Applied Soft Computing (rok: 2024, tom: 151, strony: 45678), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.asoc.2023.111132 - link to the publication
  5. Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting
    Authors:
    Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14196043 - link to the publication
  6. Forecasting currency covariances using machine learning tree-based algorithms with low and high prices
    Authors:
    Bejger S., Fiszeder P.
    Academic press:
    Przegląd Statystyczny. Statistical Review (rok: 2021, tom: 68, strony: 45672), Wydawca: The Statistics Poland (Główny Urząd Statystyczny)
    Status:
    Published
    DOI:
    10.5604/01.3001.0015.5582 - link to the publication
  7. Artificial intelligence and customers' intention to use robo-advisory in banking services
    Authors:
    Piotrowski D., Orzeszko W.
    Academic press:
    Equilibrium. Quarterly Journal of Economics and Economic Policy (rok: 2023, tom: 18, strony: 967-1007), Wydawca: Instytut Badań Gospodarczych / Institute of Economic Research (Poland)
    Status:
    Published
    DOI:
    10.24136/eq.2023.031 - link to the publication
  8. COVID-19 pandemic and stability of stock market: a sectoral approach
    Authors:
    Buszko M., Orzeszko W., Stawarz M.
    Academic press:
    PLoS One (rok: 2021, tom: 16, strony: ), Wydawca: PLOS
    Status:
    Published
    DOI:
    10.1371/journal.pone.0250938 - link to the publication
  9. Forecasting currency covariances using machine learning tree-based algorithms with low and high prices
    Authors:
    Bejger S., Fiszeder P.
    Academic press:
    Przegląd Statystyczny. Statistical Review (rok: 2021, tom: 68, strony: 45672), Wydawca: The Statistics Poland (Główny Urząd Statystyczny)
    Status:
    Published
    DOI:
    10.5604/01.3001.0015.5582 - link to the publication
  10. Forecasting volatility of energy commodities: comparison of GARCH models with support vector regression
    Authors:
    Fałdziński M., Fiszeder P., Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14010006 - link to the publication
  11. COVID-19 pandemic and stability of stock market: a sectoral approach
    Authors:
    Buszko M., Orzeszko W., Stawarz M.
    Academic press:
    PLoS One (rok: 2021, tom: 16, strony: ), Wydawca: PLOS
    Status:
    Published
    DOI:
    10.1371/journal.pone.0250938 - link to the publication
  12. Prediction of robo-advisory acceptance in banking services using tree-based algorithms
    Authors:
    Orzeszko W., Piotrowski D.
    Academic press:
    PLoS One (rok: 2024, tom: 19, strony: 45672), Wydawca: PLOS
    Status:
    Published
    DOI:
    10.1371/journal.pone.0302359 - link to the publication
  13. Forecasting volatility of energy commodities: comparison of GARCH models with support vector regression
    Authors:
    Fałdziński M., Fiszeder P., Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14010006 - link to the publication
  14. Forecasting currency covariances using machine learning tree-based algorithms with low and high prices
    Authors:
    Bejger S., Fiszeder P.
    Academic press:
    Przegląd Statystyczny. Statistical Review (rok: 2021, tom: 68, strony: 45672), Wydawca: The Statistics Poland (Główny Urząd Statystyczny)
    Status:
    Published
    DOI:
    10.5604/01.3001.0015.5582 - link to the publication
  15. Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting
    Authors:
    Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14196043 - link to the publication
  16. Forecasting currency covariances using machine learning tree-based algorithms with low and high prices
    Authors:
    Bejger S., Fiszeder P.
    Academic press:
    Przegląd Statystyczny. Statistical Review (rok: 2021, tom: 68, strony: 45672), Wydawca: The Statistics Poland (Główny Urząd Statystyczny)
    Status:
    Published
    DOI:
    10.5604/01.3001.0015.5582 - link to the publication
  17. Determinants of adoption of robo-advisory in banking services
    Authors:
    Piotrowski D., Orzeszko W.
    Academic press:
    Technological Forecasting and Social Change
    Status:
    Submitted
  18. Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting
    Authors:
    Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14196043 - link to the publication
  19. COVID-19 pandemic and stability of stock market: a sectoral approach
    Authors:
    Buszko M., Orzeszko W., Stawarz M.
    Academic press:
    PLoS One (rok: 2021, tom: 16, strony: ), Wydawca: PLOS
    Status:
    Published
    DOI:
    10.1371/journal.pone.0250938 - link to the publication
  20. Determinants of adoption of robo-advisory in banking services
    Authors:
    Piotrowski D., Orzeszko W.
    Academic press:
    Technological Forecasting and Social Change
    Status:
    Submitted
  21. Forecasting volatility of energy commodities: comparison of GARCH models with support vector regression
    Authors:
    Fałdziński M., Fiszeder P., Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14010006 - link to the publication
  22. Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting
    Authors:
    Orzeszko W.
    Academic press:
    Energies (rok: 2021, tom: 14, strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en14196043 - link to the publication
  23. Forecasting cryptocurrencies volatility using statistical and machine learning methods: a comparative study
    Authors:
    Dudek G., Fiszeder P., Kobus P., Orzeszko W.
    Academic press:
    Applied Soft Computing (rok: 2024, tom: 151, strony: 45678), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.asoc.2023.111132 - link to the publication
  24. Determinants of adoption of robo-advisory in banking services
    Authors:
    Piotrowski D., Orzeszko W.
    Academic press:
    Technological Forecasting and Social Change
    Status:
    Submitted
  25. COVID-19 pandemic and stability of stock market: a sectoral approach
    Authors:
    Buszko M., Orzeszko W., Stawarz M.
    Academic press:
    PLoS One (rok: 2021, tom: 16, strony: ), Wydawca: PLOS
    Status:
    Published
    DOI:
    10.1371/journal.pone.0250938 - link to the publication
  1. Authors:
    Orzeszko W., Dudek G., Stasiak M.D., Stawarz M.
    Book:
    Prognozowanie szeregów czasowych w ekonomii i finansach z wykorzystaniem metod uczenia maszynowego. Wybrane modele i zastosowania. (rok: 2022, ), Wydawca: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika
    Status:
    Published
    DOI:
    10.12775/978-83-231-4955-2 - link to the publication
  2. Authors:
    Orzeszko W., Dudek G., Stasiak M.D., Stawarz M.
    Book:
    Prognozowanie szeregów czasowych w ekonomii i finansach z wykorzystaniem metod uczenia maszynowego. Wybrane modele i zastosowania. (rok: 2022, ), Wydawca: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika
    Status:
    Published
    DOI:
    10.12775/978-83-231-4955-2 - link to the publication
  3. Authors:
    Orzeszko W., Dudek G., Stasiak M.D., Stawarz M.
    Book:
    Prognozowanie szeregów czasowych w ekonomii i finansach z wykorzystaniem metod uczenia maszynowego. Wybrane modele i zastosowania. (rok: 2022, ), Wydawca: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika
    Status:
    Published
    DOI:
    10.12775/978-83-231-4955-2 - link to the publication

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