Publications

Journal papers

Conferences & Talks

  • B. Gašperov, F. Šarić, S. Begušić, Z. Kostanjčar, “Adaptive rolling window selection for minimum variance portfolio estimation based on reinforcement learning“, 43rd International Convention on Information, Communication and Electronic Technology (MIPRO), Opatija, Croatia, Oct. 2020. doi: 10.23919/mipro48935.2020.9245435
  • V. Keranović, S. Begušić, and Z. Kostanjčar Zvonko “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 modelsInternational 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 assessmentRobust 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