Working Papers

Seria wydawnicza WNE WORKING PAPERS prowadzona jest przez WNE UW od 2008 r. i jak dotąd opublikowano w niej ponad 400 prac.

Seria WNE Working Papers służy szybkiemu upowszechnianiu wyników badań prowadzonych na Wydziale Nauk Ekonomicznych UW. Publikowane tu teksty mają charakter wersji roboczych (pre-printów): mogą być uzupełniane lub poprawiane w miarę postępu prac nad tekstem i procesu wydawniczego. Prezentujemy aktualną wersję udostępnioną przez autorów, opatrzoną datą oraz identyfikatorami DOI/ISSN – co ułatwia jej cytowanie i śledzenie kolejnych iteracji. Każdy dokument zachowuje pełne prawa autorskie swoich twórców, a w przypadku późniejszych zmian, autorzy mogą w dowolnym momencie zamieścić zaktualizowany plik lub wskazać miejsce ostatecznego wydania.

Do serii WORKING PAPERS przyjmowane są artykuły pracowników naukowych WNE UW oraz publikacje z konferencji organizowanych na WNE UW. Artykuły powinny dotyczyć ekonomii, mieć charakter oryginalnych prac badawczych, nie być wcześniej publikowane. Przyjmowane są wyłącznie teksty w języku angielskim.

Prace prosimy przesyłać e-mailem na adres: s@ayCqv*0hx]'uGJ.F5AT_rl`Do]#[k+Te&`^ulY^Pv2?5nO#5]EWbi1\

Prosimy przesyłać dwa pliki:

(1) główny tekst bez podania tytułu artykułu oraz autorów (plik DOC/DOCX) oraz

(2) stronę tytułową zawierającą: tytuł opracowania, autorów oraz ich afiliację (plik DOC/DOCX). 

Przed przesłaniem tekstu prosimy zapoznać się z szczegółowymi wymogami edycyjnymi.

Redaktorem wydawniczym serii Working Papers jest dr Maciej Bukowski.

Ilość wyników 5

WP(19/2026)513. Price Discovery in Segmented Markets: Evidence from the Nairobi Coffee Exchange

Autorzy: Mbara Gilbert
We investigate the dynamics of price discovery between physical spot and financial futures markets for green coffee, a commodity uniquely characterized by the geographical and informational separation of its producers from global financial centers. U…

WP513. Price Discovery in Segmented Markets: Evidence from the Nairobi Coffee Exchange

We investigate the dynamics of price discovery between physical spot and financial futures markets for green coffee, a commodity uniquely characterized by the geographical and informational separation of its producers from global financial centers. Using dis-aggregated weekly prices from the Nairobi Coffee Exchange (NCE) auction and corresponding International Coffee Exchange (ICE) futures, we estimate a vector error correction model to quantify the transmission of information. Our findings reveal that price discovery predominantly occurs in the physical spot market, which accounts for approximately 83% and 88% of the information and component shares, respectively. These results challenge the conventional view that futures markets are the primary locus of price formation for homogeneous commodities and highlight the critical role of local supply-demand fundamentals in a major producing region. The analysis further uncovers heterogeneity in price discovery contributions across different coffee grades, providing novel insights into the micro-structure of agricultural commodity markets.


DOI: https://doi.org/10.33138/2957-0506.2026.19.513
Mbara Gilbert
price discovery information shares cointegration coffee futures Nairobi Coffee Exchange commodity markets

WP(19/2025)482. A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023

Autorzy: Sun Yufei
This review examines the growing literature on pairs trading frameworks, which involve relative value arbitrage strategies between two or more securities. Existing research is categorized into five main categories: distance methods use nonparametric …

WP482. A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023

This review examines the growing literature on pairs trading frameworks, which involve relative value arbitrage strategies between two or more securities. Existing research is categorized into five main categories: distance methods use nonparametric distance measures to identify pairs trading opportunities; cointegration methods rely on formal cointegration tests to reveal stationary time series of spreads; time series methods focus on finding optimal trading rules for mean-reverting spreads; stochastic control methods aim to determine the optimal portfolio holdings in pairs trading relative to other available securities; and the "Other Methods" category encompasses other relevant pairs trading frameworks, albeit with a more limited supporting literature. Through a comprehensive review of over 100 papers published between 2016 and 2023, the survey identifies the key strengths and weaknesses of each approach, providing insights relevant for future research and practical implementation.


DOI: https://doi.org/10.33138/2957-0506.2025.19.482
Sun Yufei
statistical arbitrage pairs trading distance method cointegration method time series method stochastic control method mean-reversion

WP(2/2022)378. The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods

Autorzy: Baiquan Ma, Ślepaczuk Robert
This research aims to compare the profitability of correlation-based pair trading strategy, cointegration-based pair trading strategy, and distance-based pair trading strategy on the Hong Kong stock market. We try to build an effective pair trading s…

WP378. The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods

This research aims to compare the profitability of correlation-based pair trading strategy, cointegration-based pair trading strategy, and distance-based pair trading strategy on the Hong Kong stock market. We try to build an effective pair trading strategy based on 50 stocks listed in the Hang Seng index joining them in market-neutral pairs. The dataset has a daily frequency and covers the period from 07/01/2013 to 07/01/2020. The result shows that all three methods are profitable in the Hong Kong stock market and can beat the market with regard to risk-adjusted return metrics. This result is quite sensitive to the varying number of pairs traded and rebalancing period and less sensitive to financial leverage degree. Moreover, the cointegration method is superior as compared to the correlation method and distance method.


Baiquan Ma, Ślepaczuk Robert
pairs trading strategy market neutral strategy algorithmic trading strategy distance method cointegration and correlation trading efficient market hypothesis investment portfolio algorithmic trading Hang Seng index

WP(39/2020)345. Applying Hurst Exponent in Pair Trading Strategies

Autorzy: Bui Quynh, Ślepaczuk Robert
This research aims to seek an alternative approach to pair selection for the purpose of pair trading strategy. We try to build an effective pair trading strategy based on 103 stocks listed in NASDAQ-100 index. The dataset has daily frequency and cove…

WP345. Applying Hurst Exponent in Pair Trading Strategies

This research aims to seek an alternative approach to pair selection for the purpose of pair trading strategy. We try to build an effective pair trading strategy based on 103 stocks listed in NASDAQ-100 index. The dataset has daily frequency and covers the period from 01/01/2000 to 31/12/2018. In this study, Generalized Hurst Exponent, Correlation and Cointegration are employed to detect the mean-reverting pattern in the time series of linear combination of each pair of stock. The result show that Hurst method cannot outperform the benchmark, which implies that market is efficient. This result is quite sensitive to varying number of pairs traded and rebalancing period and less sensitive to financial leverage degree. Moreover, Hurst method is better than cointegration method but is not superior as compared to correlation method.


Bui Quynh, Ślepaczuk Robert
generalized Hurst & Hurst exponent algorithmic trading strategies portfolio choice mean-reversion strategy pair trading correlation & cointegration trading efficient market hypothesis

WP(2/2012)68. Cointegration Based Trading Strategy For Soft Commodities Market

Autorzy: Arendarski Piotr, Postek Łukasz
This paper explores cointegration among three of the most popular agriculture soft commodities (corn, soya and wheat) and its potential usefulness for dynamic asset allocation strategies. Johansen tests indicate that natural logarithms of weekly pric…

WP68. Cointegration Based Trading Strategy For Soft Commodities Market

This paper explores cointegration among three of the most popular agriculture soft commodities (corn, soya and wheat) and its potential usefulness for dynamic asset allocation strategies. Johansen tests indicate that natural logarithms of weekly prices of corn, soya and wheat futures are cointegrated and two cointegrating vectors exist. Formal tests show that the estimated long-run relationship is stable even beyond the estimation sample. We use obtained results to create simple trading rules and verify their profitability. The trading strategies risk-adjusted abnormal returns look to be significant based on the Sharpe ratio criterion and they are low correlated with the stock market.


Arendarski Piotr, Postek Łukasz
cointegration soft commodities trading rule
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