Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Market risk model identification and validation using novel statistical, probabilistic, and machine learning tools

2020/37/B/HS4/00120

Keywords:

machine learning distribution characterization risk unbiasedness risk and utility quantification long-term equilibrium conditional laws

Descriptors:

  • HS4_003:
  • ST1_013:
  • ST1_017:

Panel:

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

Host institution :

Uniwersytet Jagielloński, Wydział Matematyki i Informatyki

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Marcin Lucjan Pitera 

Number of co-investigators in the project: 4

Call: OPUS 19 - announced on 2020-03-16

Amount awarded: 396 732 PLN

Project start date (Y-m-d): 2021-01-14

Project end date (Y-m-d): 2025-01-13

Project duration:: 48 months (the same as in the proposal)

Project status: Project completed

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 (22)
  1. Ornstein-Uhlenbeck process driven by alpha-stable process and its Gamma subordination
    Authors:
    J. Gajda, A. Grzesiek, A. Wyłomańska
    Academic press:
    Methodology and Computing in Applied Probability , Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11009-023-09999-w - link to the publication
  2. Goodness-of-fit test for stochastic processes using even empirical moments statistic
    Authors:
    K. Maraj-Zygmąt, G. Sikora, M. Pitera, A. Wyłomańska
    Academic press:
    Chaos , Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0111505 - link to the publication
  3. Time series forecasting - problem of heavy-tailed distributed noise
    Authors:
    M. Markiewicz, A. Wyłomańska
    Academic press:
    International Journal of Advances in Engineering Sciences and Applied Mathematics (), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s12572-021-00312-x - link to the publication
  4. New estimation method for periodic autoregressive time series of order 1 with additive noise
    Authors:
    W. Żuławiński, A. Wyłomańska
    Academic press:
    International Journal of Advances in Engineering Sciences and Applied Mathematics (), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s12572-021-00302-z - link to the publication
  5. Modelling intermittent anomalous diffusion with switching fractional Brownian motion
    Authors:
    M. Balcerek, A. Wyłomańska, K. Burnecki, R. Metzler, D. Krapft
    Academic press:
    New Journal of Physics , Wydawca: IOP Publishing Ltd
    Status:
    Published
    DOI:
    10.1088/1367-2630/ad00d7 - link to the publication
  6. Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transition
    Authors:
    M. Balcerek, K. Burnecki, S. Thapa, A. Wyłomańska, A. Chechkin
    Academic press:
    Chaos , Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0101913 - link to the publication
  7. Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes
    Authors:
    D. Szarek, K. Maraj-Zygmąt, G. Sikora, D. Kraft, A. Wyłomańska
    Academic press:
    Computational Statistics & Data Analysis (tom: 168 (ID 107401), strony: ), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.csda.2021.107401 - link to the publication
  8. Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning
    Authors:
    D. Szarek, I. Jabłoński, D. Krapf, A. Wyłomańska
    Academic press:
    Chaos , Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0093836 - link to the publication
  9. The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
    Authors:
    P. Giri, A. Grzesiek, W. Żuławiński, S. Sundar, A. Wyłomańska
    Academic press:
    Journal of the Korean Statistical Society (tom: Online first, strony: ), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s42952-022-00191-3 - link to the publication
  10. Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
    Authors:
    J. Janczura, A. Puć, Ł. Bielak, A. Wyłomańska
    Academic press:
    Statistics & Risk Modeling (tom: 41 (1/2), strony: ), Wydawca: De Gruyter
    Status:
    Published
    DOI:
    10.1515/strm-2022-0012 - link to the publication
  11. Fractional lower order covariance (FLOC) based estimation for multidimensional PAR(1) model with alpha−stable noise
    Authors:
    P. Giri, S. Sundar, A. Wyłomańska
    Academic press:
    International Journal of Advances in Engineering Sciences and Applied Mathematics (), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s12572-021-00301-0 - link to the publication
  12. Autoregressive model with double Pareto distributed noise
    Authors:
    H. Woszczek, A. Wyłomańska
    Academic press:
    Mathematica Applicanda (tom: 51(1), strony: 109-120), Wydawca: Polskie Towarzystwo Matematyczne
    Status:
    Published
    DOI:
    10.14708/ma.v51i1.7221 - link to the publication
  13. Discriminating Gaussian processes via quadratic form statistics
    Authors:
    M. Balcerek, K. Burnecki, G. Sikora, A. Wyłomańska
    Academic press:
    Chaos (tom: 31 (ID 063101), strony: ), Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0044878 - link to the publication
  14. The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
    Authors:
    M. Dhull, A. Kumar, A. Wyłomańska
    Academic press:
    Communications in Statistics - Simulation and Computation (tom: Online first, strony: ), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/03610918.2023.2186334 - link to the publication
  15. Memory-multi-fractional Brownian motion with continuous correlations
    Authors:
    W. Wang, M. Balcerek, K. Burnecki, A. V. Chechkin, S.Janusonis, J. Ślęzak, T. Vojta, A. Wyłomańska, R. Metzler
    Academic press:
    Physical Review Research (), Wydawca: American Physical Society
    Status:
    Published
    DOI:
    10.1103/PhysRevResearch.5.L032025 - link to the publication
  16. Alternative dependency measures-based approach for estimation of the alpha-stable periodic autoregressive model
    Authors:
    W. Żuławiński, P. Kruczek, A. Wyłomańska
    Academic press:
    Communications in Statistics - Simulation and Computation (tom: First online, strony: ), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/03610918.2022.2037640 - link to the publication
  17. Testing of two-dimensional Gaussian processes by sample cross-covariance function
    Authors:
    K. Maraj-Zygmąt, A. Grzesiek, G. Sikora, J. Gajda, A. Wyłomańska
    Academic press:
    Chaos (tom: 33(7), strony: ), Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0141262 - link to the publication
  18. Market risk factors analysis for an international mining company. Multi-dimensional heavy-tailed-based modelling
    Authors:
    Ł. Bielak, A. Grzesiek, J. Janczura, A. Wyłomańska
    Academic press:
    Resources Policy (tom: 74 (ID 102308), strony: ), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.resourpol.2021.102308 - link to the publication
  19. Forecasting of symmetric alpha-stable autoregressive models by time series approach supported by artificial neural networks
    Authors:
    A. M. Sathe, N. S. Upadhye, A. Wyłomańska
    Academic press:
    Journal of Computational and Applied Mathematics , Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.cam.2022.115051 - link to the publication
  20. The covariation-based Yule-Walker method for multidimensional autoregressive time series with alpha-stable distributed noise
    Authors:
    A. Grzesiek, M. Mrozinska, P. Giri, S. Sundar, A. Wyłomańska
    Academic press:
    International Journal of Advances in Engineering Sciences and Applied Mathematics (tom: 13(4), strony: 394-414), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s12572-022-00315-2 - link to the publication
  21. From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student's t-Distribution Case
    Authors:
    J. Adamska, L. Bielak, J. Janczura, A. Wyłomańska
    Academic press:
    Mathematics (tom: 10 (18), strony: ), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/math10183371 - link to the publication
  22. Time averaged mean squared displacements ratio test for Gaussian processes with unknown diffusion coefficient
    Authors:
    K. Maraj, D. Szarek, G. Sikora, A. Wyłomańska
    Academic press:
    Chaos (tom: 31 (ID 073120), strony: ), Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0054119 - link to the publication

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