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Article | 07-July-2017

TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES

The main goal of this paper is to present the method for describing and predicting trade intensity on the Warsaw Stock Exchange. The approach is based on generalized linear models, the variable selection is performed using shrinkage methods such as the Lasso or Ridge regression. The variable under investigation is the number of trades of a particular stock 5-minute interval.The main conclusion is that the number of trades during short intervals is predictable in the sense that the prediction

Henryk Gurgul, Artur Machno

Statistics in Transition New Series, Volume 18 , ISSUE 1, 91–114

original-report | 08-December-2021

Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index of the Warsaw Stock Exchange. Based on intraday data from 2004- 2019 we study the changes in significance and in the strength of the

Henryk Gurgul, Jessica Hastenteufel, Tomasz Wójtowicz

Statistics in Transition New Series, Volume 22 , ISSUE 4, 41–58

Research Article | 18-March-2020

Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of their estimation method. The cost of capital they refer to is related to portfolios of real options linked to projects. The market returns are generated both by stock companies running such projects and

Stanisław Urbański, Jacek Leśkow

Statistics in Transition New Series, Volume 21 , ISSUE 1, 73–94

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