Journal papers
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F. Šarić, S. Begušić, A. Merćep, and Z. Kostanjčar, Statistical arbitrage portfolio construction based on preference relations, Expert Systems with Applications, 121906. doi: 10.1016/J.ESWA.2023.121906
- T. Kovačević, A. Merćep, S. Begušić and Z. Kostanjčar, Optimal Trend Labeling in Financial Time Series, IEEE Access, vol. 11, pp. 83822-83832, 2023, doi: 10.1109/ACCESS.2023.3303283.
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K. Ljubičić, A. Merćep, and Z. Kostanjčar, Churn prediction methods based on mutual customer interdependence, Journal of Computational Science, 67, 101940., Jan 2023, doi: https://doi.org/10.1016/j.jocs.2022.101940
- B. Gašperov, and Z. Kostanjčar, Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model, IEEE Control Systems Letters, 6, 2485–2490, Apr. 2022, doi: 10.1109/LCSYS.2022.3166446.
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B. Gašperov, S. Begušić, P. P. Šimović, and Z. Kostanjčar, Reinforcement Learning Approaches to Optimal Market Making, Mathematics 2021, Vol. 9, Page 2689, vol. 9, no. 21, p. 2689, Oct. 2021, doi: 10.3390/MATH9212689
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B. Gašperov and Z. Kostanjčar, Market Making with Signals through Deep Reinforcement Learning, IEEE Access, vol. 9, pp. 61611–61622, 2021, doi: 10.1109/ACCESS.2021.3074782
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A. Merćep, L. Mrčela, M. Birov, and Z. Kostanjčar, Deep Neural Networks for Behavioral Credit Rating, Entropy, 23(1), 27, 2021, doi: doi.org/10.3390/e23010027
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S. Begušić and Z. Kostanjčar, Cluster-Specific Latent Factor Estimation in High-Dimensional Financial Time Series, IEEE Access, 8, 164365-164379, 2020, doi: 10.1109/ACCESS.2020.3021898
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S. Begušić, Z. Kostanjčar, H. E. Stanley, and B. Podobnik, Scaling properties of extreme price fluctuations in Bitcoin markets, Physica A: Statistical Mechanics and its Applications, vol. 510, pp. 400–406, Nov. 2018, doi: 10.1016/j.physa.2018.06.131
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S. Begušić, Z. Kostanjčar, D. Kovač, H. E. Stanley, and B. Podobnik, Information Feedback in Temporal Networks as a Predictor of Market Crashes, Complexity, vol. 2018, Sep. 2018, doi: 10.1155/2018/2834680
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Z. Kostanjčar, S. Begušić, H. E. Stanley, and B. Podobnik, Estimating Tipping Points in Feedback-Driven Financial Networks, IEEE Journal of Selected Topics in Signal Processing – Special Issue on Financial Signal Processing and Machine Learning for Electronic Trading, vol. 10, no. 6, pp. 1040–1052, Sep. 2016, doi: 10.1109/JSTSP.2016.2593099
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Z. Kostanjčar, and B. Jeren, Emergence of Power-law and Two-phase Behaviour in Financial Market Fluctuations, Advances in Complex Systems, vol 16, no. 1, Mar. 2013, doi: 10.1142/S0219525913500082
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Z. Kostanjčar, B. Jeren, and Ž. Juretić, Impact of uncertainty in expected return estimation on stock price volatility, Physica. A, Statistical mechanics and its applications, vol. 391, no. 22, pp. 5563-5571, Nov. 2012, doi: 10.1016/j.physa.2012.04.031
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Z. Kostanjčar, K. Hengster-Movrić, and B. Jeren, Model of discrete dynamics of asset price relations based on the minimal arbitrage principle, Central European Journal of Physics, vol. 9, no. 3, pp 865–873, Nov. 2010, doi: 10.2478/s11534-010-0093-x
Conferences & Talks
- S. Begušić, Effects of Covariance Eigenstructure Estimation Error on Portfolio Risk Measurement, 6th International Conference on Econometrics and Statistics (EcoSta 2023), Tokyo, Japan, Aug. 2023
- T. Bauman, B. Gašperov, S. Begušić, and Z. Kostanjčar, Deep Reinforcement Learning for Robust Goal-Based Wealth Management, 19th International Conference on Artificial Intelligence Applications and Innovations, 675 IFIP, 69–80., Leon, Spain, 2023, doi: 10.1007/978-3-031-34111-3_7
- S. Begušić, Large Covariance Matrix Estimation for Portfolio Risk Prediction, 2023 SIAM Financial Mathematics and Engineering, Philadelphia, USA, Jun. 2023
- S. Goluža, T. Bauman, T. Kovačević and Z. Kostanjčar, “Imitation Learning for Financial Applications“, 2023 46th MIPRO ICT and Electronics Convention (MIPRO), Opatija, Croatia, 2023, pp. 1130-1135, doi: 10.23919/MIPRO57284.2023.10159778
- A. Merćep, T. Kovačević, T. Bauman, and Z. Kostanjčar, “Default Prediction Using Consumption Data“, 2022 International Conference on Computing, Networking, Telecommunications & Engineering Sciences Applications (CoNTESA), 11-16, Skopje, North Macedonia, Dec 2022, doi: 10.1109/CoNTESA57046.2022.10011333
- L. Žignić, S. Begušić, and Z. Kostanjčar, “Estimating the Block-Diagonal Idiosyncratic Covariance in High-Dimensional Factor Models“, 2022 International Conference on Software, Telecommunications and Computer Networks (SoftCOM), 1–6., Split, Croatia, Sep 2022, doi: 10.23919/softcom55329.2022.9911372
- T. Kovačević, S. Goluža, A. Merćep, and Z. Kostanjčar, “Effect of labeling algorithms on financial performance metrics," 45th Jubilee International Convention on Information, Communication and Electronic Technology (MIPRO), 980–984., Jun 2022, doi: 10.23919/MIPRO55190.2022.9803522
- K. Ljubičić, A. Merćep, and Z. Kostanjčar, “Analysis of Complex Customer Networks: A Real-World Banking Example“, 45th Jubilee International Convention on Information, Communication and Electronic Technology (MIPRO), 357–362., Jun 2022, doi: 10.23919/MIPRO55190.2022.9803527
- V. Keranović, S. Begušić, and Z. Kostanjčar “Estimating the Number of Latent Factors in High-Dimensional Financial Time Series“, 2020 International Conference on Software, Telecommunications and Computer Networks (SoftCOM)“, (20114528), Hvar, Croatia, Sep. 2020. doi: 10.23919/softcom50211.2020.9238229
- S. Begušić, and Z. Kostanjčar “Cluster-Based Shrinkage of Correlation Matrices for Portfolio Optimization“. In 2019 11th International Symposium on Image and Signal Processing and Analysis (ISPA) (pp. 301–305). IEEE. Dubrovnik, Croatia, Jun. 2019. doi: https://doi.org/10.1109/ISPA.2019.8868482
- S. Begušić, V. Keranović, Z. Kostanjčar, and B. Jeren “On the predictive power of statistical factor models" International Conference on Quantitative Finance – Forecasting Financial Markets, Venice, Italy, Jun. 2019
- L. Mrčela, A. Merćep, K. Ljubičić, M. Birov, and Z. Kostanjčar, “Deep self-normalizing network for credit risk assessment" Robust Techniques in Quantitative Finance, University of Oxford, UK, Sep. 2018
- M. Puljiz, S. Begušić, and Z. Kostanjčar, “Market Microstructure and Order Book Dynamics in Cryptocurrency Exchanges" CryptoValley Conference on Blockchain Technology, Zug, Switzerland, Jun. 2018
- L. Mrčela, A. Merćep, S. Begušić, and Z. Kostanjčar, “Portfolio Optimization Using Preference Relation Based on Statistical Arbitrage" International Conference on Smart Systems and Technologies, Osijek, Croatia, Oct. 2017, doi: 10.1109/SST.2017.8188688
- S. Begušić, Z. Kostanjčar, and B. Podobnik, “Predictive Power of Complexity Theory in Financial Markets" 1st International Scientific Conference “Agenda 2030: Economics in a changing world", Umag, Croatia, Aug. 2017
- S. Begušić, Z. Kostanjčar, “Information Flow Networks of Financial Time Series" 8th Conference on Complex Networks, CompleNet 2017, Dubrovnik, Croatia, Mar. 2017
- S. Begušić, Z. Kostanjčar, H. Eugene Stanley, and B. Podobnik, “A Network-Based Approach to Modeling Market Bubbles and Crashes" 7th International Conference on Information Technologies and Information Society, Novo mesto, Slovenia, Nov. 2015
- S. Begušić, Z. Kostanjčar, H. Eugene Stanley, and B. Podobnik, “Does bargaining dynamics inherently cause market bubbles and crashes?" 7th General Advanced Mathematical Methods in Finance and Swissquote Conference, Lausanne, Switzerland, Sep. 2015
- Z. Kostanjčar, Ž. Juretić, and B. Jeren, “Modelling the Relationship Between Developed Equity Markets and Emerging Equity Markets" IEEE Computational Intelligence for Financial Engineering and Economics, London, UK, Mar. 2014.
- Z. Kostanjčar, and B. Jeren, “Relationship between bid-ask spreads and fluctuations in market prices" Econophysics Colloquium 2010, Taipei, Taiwan, Nov. 2010