Working Papers

The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.

The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.

The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.

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Number of Results 81

WP(31/2026)525. Co-adaptation: From MARL Non-stationarity to the Dynamics of Economic Adjustment

Authors: Lisicki Jan, Kopczewski Tomasz
Economic agents adapt their behavior to experience generated by interactions with other market participants. When several agents update their behavioral rules simultaneously, these adaptation processes become interdependent. We refer to this mechanis…

WP525. Co-adaptation: From MARL Non-stationarity to the Dynamics of Economic Adjustment

Economic agents adapt their behavior to experience generated by interactions with other market participants. When several agents update their behavioral rules simultaneously, these adaptation processes become interdependent. We refer to this mechanism 
as co-adaptation. The paper develops a formal representation that separates the continuation of an agent's own rule updates from cross-agent effects on subsequent updates. In a two-agent system, mutual influence can increase the cumulative effect of an initial change and prolong the resulting adjustment process. A simple model of price adjustment between two firms shows how these effects depend on adjustment speed and the response to a competitor's price change. With more agents, interdependencies between adaptation processes form a directed network. This perspective links economic adjustment to multi-agent reinforcement learning, where learning by one agent changes the environment experienced by others, and clarifies when such non-stationarity is part of economic dynamics rather than only a computational difficulty.


DOI: https://doi.org/10.33138/2957-0506.2026.31.525
Lisicki Jan, Kopczewski Tomasz
economic adjustment multi-agent reinforcement learning adaptive learning agent-based computational economics co-adaptation

WP(27/2026)521. What Happens Without Conservation? The Prospect of Heritage Loss in Contingent Valuation

Authors: Jusypenko Bartosz
Economic valuation of heritage conservation depends on what respondents expect to happen without the implementation of a proposed intervention, yet this no-program counterfactual is often left implicit. We examine whether explicitly directing respond…

WP521. What Happens Without Conservation? The Prospect of Heritage Loss in Contingent Valuation

Economic valuation of heritage conservation depends on what respondents expect to happen without the implementation of a proposed intervention, yet this no-program counterfactual is often left implicit. We examine whether explicitly directing respondents to consider potential heritage loss affects stated willingness to pay (WTP) for renovation of a building and whether the contribution of information about adaptive reuse depends on whether such loss enters the valuation decision. A contingent valuation survey of 452 adult residents living near Pückler Palace, a deteriorating historic building in Poland, used a 2 × 2 randomized design combining a loss-consideration prompt with information about a genuine proposal to adapt the renovated palace as the new premises of the Museum of Ceramics. WTP was elicited as the maximum mandatory one-off levy respondents would support within an advisory-referendum framework. Among respondents not assigned to the loss-prompt treatment, a post-valuation question identified spontaneous consideration of heritage loss. Two-part models separated the probability of positive WTP from the amount stated among positive responses. Randomized treatment estimates indicated higher WTP under the loss prompt when reuse information was absent. The unconditional mean difference was positive but imprecisely estimated, while the corresponding difference among positive-WTP respondents was statistically significant. In the conditional models, respondents assigned to the loss prompt had approximately twice the odds of positive WTP and a 61% higher conditional geometric mean of positive WTP than that of unprompted respondents who did not report spontaneous loss consideration. Among unprompted respondents, spontaneous loss consideration—reported by 54%—was associated with a 92% higher conditional geometric mean of positive WTP than in unprompted respondents who did not report such consideration. Evidence that reuse information contributed more when loss was not considered was suggestive rather than conclusive. The findings show that common information about an asset’s current condition need not produce a common understanding of its expected future without the proposed intervention. Stated preference surveys should therefore specify this trajectory with sufficient clarity and credibility that respondents are evaluating a common underlying policy change.


DOI: https://doi.org/10.33138/2957-0506.2026.27.521
Jusypenko Bartosz
cultural heritage historic preservation adaptive reuse contingent valuation stated preferences prospect of loss

WP(25/2026)519. Biodiversity-oriented forest management aligns with societal preferences across Europe

Authors: Giergiczny Marek, Jacobsen Jette Bredahl, Glenk Klaus, Meyerhoff Jürgen, Abildtrup Jens, Taye Fitalew Agimass, Budziński Wiktor, Czajkowski Mikołaj, Draus Borys, Faccioli Michela, Gajderowicz Tomasz, Getzner Michael, Hackbarth Tom X., Janiec Piotr, Lundhede Thomas, Mayer Marius, McVittie Alistair, Oh Rachel, Olschewski Roland, Pereira Henrique M., Quaas Martin, Socha Jarosław, Strange Niels, Ščasný Milan, Valasiuk Sviataslau, Wasiak Adam, Fernández Néstor
Forests across Europe are undergoing rapid transformation as biodiversity loss and climate change reshape priorities for forest management. Strategies that promote biodiverse and structurally complex forests are increasingly advocated to enhance ecol…

WP519. Biodiversity-oriented forest management aligns with societal preferences across Europe

Forests across Europe are undergoing rapid transformation as biodiversity loss and climate change reshape priorities for forest management. Strategies that promote biodiverse and structurally complex forests are increasingly advocated to enhance ecological resilience, yet they are often assumed to conflict with societal preferences, potentially limiting public support for conservation and restoration. We examined whether forest characteristics associated with biodiversity conservation and climate adaptation are consistently valued by society across Europe. We combined a visual discrete choice experiment involving 11,622 respondents from twelve European countries with a travel cost model to evaluate whether stated societal preferences were reflected in observed recreational behaviour. We then integrated harmonized preference estimates with continental forest inventory and remote-sensing data to map the spatial distribution of societal values associated with forest ecosystem condition. Across all countries, respondents consistently preferred forests characterized by taller canopies, greater tree-species richness, heterogeneous age structures, and more deadwood. These preferences closely aligned with observed visitation behaviour despite substantial differences in geography, accessibility, and recreational traditions. Spatial analyses further showed that forests with greater structural complexity consistently exhibited higher societal value. Our findings demonstrate that biodiversity-oriented forest management and societal values largely converge across Europe, suggesting that many interventions promoting ecological resilience can simultaneously strengthen public support for forest conservation and restoration, providing a stronger foundation for adaptive, multifunctional forest governance under global environmental change.


DOI: https://doi.org/10.33138/2957-0506.2026.25.519
Giergiczny Marek, Jacobsen Jette Bredahl, Glenk Klaus, Meyerhoff Jürgen, Abildtrup Jens, Taye Fitalew Agimass, Budziński Wiktor, Czajkowski Mikołaj, Draus Borys, Faccioli Michela, Gajderowicz Tomasz, Getzner Michael, Hackbarth Tom X., Janiec Piotr, Lundhede Thomas, Mayer Marius, McVittie Alistair, Oh Rachel, Olschewski Roland, Pereira Henrique M., Quaas Martin, Socha Jarosław, Strange Niels, Ščasný Milan, Valasiuk Sviataslau, Wasiak Adam, Fernández Néstor
biodiversity conservation forest management structural complexity forest recreation ecosystem services discrete choice experiment travel cost method

WP(20/2026)514. Hedging Auction Volatility with Gap Call Options

Authors: Mbara Gilbert
We investigate the feasibility of hedging commodity price risk using gap call options within an auction-based market devoid of traditional derivatives. Using a novel, high-frequency dataset from the Nairobi Coffee Exchange (NCE), we model spot price …

WP514. Hedging Auction Volatility with Gap Call Options

We investigate the feasibility of hedging commodity price risk using gap call options within an auction-based market devoid of traditional derivatives. Using a novel, high-frequency dataset from the Nairobi Coffee Exchange (NCE), we model spot price dynamics by deriving a Geometric Brownian Motion process from the independent private values paradigm. The estimated model captures the unique microstructure of the NCE, where discrete weekly auctions generate prices characterized by extreme volatility (146.5% annualized). We utilize Monte Carlo simulation to price and evaluate the performance of gap call options for buyers seeking protection against catastrophic price spikes. Our results demonstrate that gap options – characterized by a trigger price higher than the strike – provide superior risk-adjusted returns compared to standard European calls. Our study offers a practical framework for developing tailored risk management instruments in emerging commodity exchanges, and provides empirical evidence for the viability of gap options as a cost-effective hedging tool in high-volatility, institutionally constrained markets.


DOI: https://doi.org/10.33138/2957-0506.2026.20.514
Mbara Gilbert
risk management hedging commodity price risk gap options Nairobi Coffee Exchange geometric Brownian motion Monte Carlo simulation

WP(31/2025)494. Hybrid or Hands On? Students’ Economic Preferences over Study Design and Labor Market Payoffs

Authors: Zawadzki Wojciech, Czajkowski Mikołaj, Skrzypek Katarzyna, Jędrzejewska Matylda, Żmijewska Maja, Ryłow Jakub, Gadowska-dos Santos Dominika, Grotkowska Gabriela, Różycka Agnieszka, Filip Arkadiusz, Gruszczynski Marcin, Kałamucka Agata, Kowalski Tadeusz, Kozioł Waldemar, Olender-Skorek Magdalena, Opolski Krzysztof, Saczuk Katarzyna, Szczurek Mateusz, Sztandar-Sztanderska Urszula, Wańczyk Kacper, Wiśniewska Aleksandra, Zabarina Kateryna, Żoch Piotr
We study how university students trade off the design and demands of study against expected labor market returns. We conducted a Discrete Choice Experiment (DCE) with students of the Economics Department at the University of Warsaw. Choice alternativ…

WP494. Hybrid or Hands On? Students’ Economic Preferences over Study Design and Labor Market Payoffs

We study how university students trade off the design and demands of study against expected labor market returns. We conducted a Discrete Choice Experiment (DCE) with students of the Economics Department at the University of Warsaw. Choice alternatives varied the share of in person teaching, weekly class hours, weekly preparation time, language mix (Polish vs. English), net monthly study cost (tuition minus stipends), and expected net salary after graduation. The DCE was embedded in a broader survey measuring study experience, time use, work during studies, scheduling preferences, and perceptions of quality and reputation. The instrument and framings follow state of the art DCE guidance and are publicly documentable. Using multinomial logit and mixed logit models, we estimate compensating differentials students require to accept (i) more online teaching, (ii) more weekly effort (classes/prep), or (iii) English medium instruction in Polish language curricula. The results show large, precise utility gains from higher expected salary, disutility from higher weekly preparation time, and strong (non linear) preferences over delivery mode and language. We then simulate policy scenarios (e.g., introducing 50% online, adjusting effort) and quantify the cost equivalent or salary equivalent levers needed to maintain program attractiveness. We position our results in the international literature on DCEs in higher education and discuss external validity with respect to a large national DCE that emphasized earnings over prestige. We conclude with program design implications for universities worldwide navigating hybridization, workload calibration, and language policy in light of students’ revealed economic preferences.


DOI: https://doi.org/10.33138/2957-0506.2025.31.494
Zawadzki Wojciech, Czajkowski Mikołaj, Skrzypek Katarzyna, Jędrzejewska Matylda, Żmijewska Maja, Ryłow Jakub, Gadowska-dos Santos Dominika, Grotkowska Gabriela, Różycka Agnieszka, Filip Arkadiusz, Gruszczynski Marcin, Kałamucka Agata, Kowalski Tadeusz, Kozioł Waldemar, Olender-Skorek Magdalena, Opolski Krzysztof, Saczuk Katarzyna, Szczurek Mateusz, Sztandar-Sztanderska Urszula, Wańczyk Kacper, Wiśniewska Aleksandra, Zabarina Kateryna, Żoch Piotr
discrete choice experiment higher education hybrid/online vs. in-person language of instruction student workload willingness-to-pay

WP(27/2025)490. Employers’ Discrimination against Fathers and Mothers Taking Parental Leave: Evidence from a Choice Experiment

Authors: Cukrowska-Torzewska Ewa, Matysiak Anna, Kasperska Agnieszka, Kaufman Gayle
This study provides causal evidence on the hiring and pay penalties associated with taking parental leave of varying lengths. We investigate how deviations from prevailing social norms, in the form of non-standard leave-taking behavior by mothers and…

WP490. Employers’ Discrimination against Fathers and Mothers Taking Parental Leave: Evidence from a Choice Experiment

This study provides causal evidence on the hiring and pay penalties associated with taking parental leave of varying lengths. We investigate how deviations from prevailing social norms, in the form of non-standard leave-taking behavior by mothers and fathers, affect their employment outcomes. We also compare the parental leave penalties with those linked to unemployment to disentangle the determinants of these penalties and to identify the mechanisms through which they operate. To this end, we conducted a discrete choice experiment with 997 managers, who evaluated hypothetical job candidates differing in the length of employment interruptions due to parental leave. Using a conditional logit model, we find that both mothers and fathers face disadvantages in hiring and remuneration when taking longer parental leave. Notably, fathers are penalized for taking any parental leave, though the penalties are more severe for longer leave. These poorer employability prospects stem from managers perceiving such fathers as less available for work. Meanwhile, mothers receive hiring and pay bonuses for taking shorter leaves, stemming from employer perceptions of such mothers as more available, competent, and motivated.


DOI: https://doi.org/10.33138/2957-0506.2025.27.490
Cukrowska-Torzewska Ewa, Matysiak Anna, Kasperska Agnieszka, Kaufman Gayle
parental leave family policies employment wages gender norms ideal worker norms

WP(24/2025)487. State Aid for Broadband and Crowding Out of Private Investment: Evidence from the French Market

Authors: Bourreau Marc, Grzybowski Łukasz, Muñoz-Acevedo Ángela
In this paper, we investigate the potential crowding out of private investment by public subsidies in the deployment of broadband fiber networks. We estimate a model of fiber entry using a rich dataset on fiber deployment for more than 34,000 municip…

WP487. State Aid for Broadband and Crowding Out of Private Investment: Evidence from the French Market

In this paper, we investigate the potential crowding out of private investment by public subsidies in the deployment of broadband fiber networks. We estimate a model of fiber entry using a rich dataset on fiber deployment for more than 34,000 municipalities in mainland France from 2014 to 2019. We then assess whether private investment would have occurred in subsidized municipalities in the absence of state aid. We find that in 36% of cases, public subsidies were allocated to municipalities where private entry would have occurred within three years. We estimate that about 902 million euros of the total 2,203 million euros in total subsidies disbursed by the end of 2019 may have crowded out private investment. However, we also show that the French broadband plan accelerated fiber coverage in subsidized municipalities in the early stages of deployment.


DOI: https://doi.org/10.33138/2957-0506.2025.24.487
Bourreau Marc, Grzybowski Łukasz, Muñoz-Acevedo Ángela
State Aid; Ex-Post Evaluation; Broadband; Entry; Coverage; Crowding Out

WP(23/2025)486. Does Pair Trading Still Work During Extreme Events? A Comprehensive Empirical Evidence from Chinese Stock Market

Authors: Sun Yufei
This study evaluates the performance of pairs trading strategies in the Chinese stock market across extreme market environments, including the Financial Crisis, Bull and Bear phases, and the COVID-19 period. Using a comprehensive stock dataset and in…

WP486. Does Pair Trading Still Work During Extreme Events? A Comprehensive Empirical Evidence from Chinese Stock Market

This study evaluates the performance of pairs trading strategies in the Chinese stock market across extreme market environments, including the Financial Crisis, Bull and Bear phases, and the COVID-19 period. Using a comprehensive stock dataset and incorporating transaction costs, we find that most portfolios deliver near-zero excess returns after costs. However, in volatile conditions—especially during the Financial Crisis—top-performing portfolios achieved monthly returns up to 156 basis points. The strategy underperforms in stable or bullish markets with fewer mean-reversion opportunities. COVID-19 introduced challenges that further reduced profitability. Results highlight the critical role of transaction costs and the importance of advanced pair selection methods, such as combining the Sum of Squared Deviations (SSD), Hurst exponent, and the Number of Zero Crossings (NZC), which consistently outperform traditional approaches. While generally unprofitable, pairs trading can succeed under specific market regimes, offering insights into risk management and strategy adaptation.


DOI: https://doi.org/10.33138/2957-0506.2025.23.486
Sun Yufei
Pairs Trading Statistical Arbitrage Sum of Squared Deviations Hurst Exponent Chinese Stock Market

WP(20/2025)483. Performance of Pairs Trading Strategies Based on Renko and Kagi Charts

Authors: Sun Yufei
This paper investigates the profitability and robustness of pairs trading strategies based on non-parametric technical chart constructions—Renko and Kagi—across the U.S. and Chinese equity markets. Within a market-neutral, mean-reversion …

WP483. Performance of Pairs Trading Strategies Based on Renko and Kagi Charts

This paper investigates the profitability and robustness of pairs trading strategies based on non-parametric technical chart constructions—Renko and Kagi—across the U.S. and Chinese equity markets. Within a market-neutral, mean-reversion framework, the study examines strategy performance under varying market regimes, including the Global Financial Crisis (GFC) and the COVID-19 period. Using historical data from indices such as the S&P 500 and the CSI series, pairs are selected via statistical patterns in Renko and Kagi charts. Robustness checks consider varying trading horizons, the number of pairs, and transaction costs. Results show that both chart-based strategies generate significant excess returns and exhibit strong Sharpe ratios before costs. While trading frictions reduce profitability, Renko-based strategies remain resilient, especially during crises. The findings highlight that adaptive and non-parametric charting methods can effectively capture transient mispricings and provide viable alternatives for statistical arbitrage in turbulent markets.


DOI: https://doi.org/10.33138/2957-0506.2025.20.483
Sun Yufei
Pairs trading; Quantitative strategies; Statistical arbitrage; Kagi Chart; Renko Chart; H-Strategy

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

Authors: 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