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Dr Jan Palczewski

Associate Professor in Financial Mathematics
Financial Mathematics

Contact details

Room: 8.15
Tel: +44 (0)113 3435180
Email: J.Palczewski @ leeds.ac.uk

Research interests

Markov processes: ergodicity, optimal control theory, incomplete information (filtering); portfolio optimization; inference for continuous-time stochastic processes; estimation and control for energy markets

Useful links

My personal webpage

Current postgraduate students

Alessandro Balata (2015)
Lloyd Davies (2013)
Zeyu He (2013)

Publications

Marchese Robinson RL, Palczewska A, Palczewski J, Kidley N Comparison of the Predictive Performance and Interpretability of Random Forest and Linear Models on Benchmark Data Sets Journal of Chemical Information and Modeling, 57, 1773-1792, 2017
DOI:10.1021/acs.jcim.6b00753
View abstract

Gonzalez J, Moriarty J, Palczewski J Bayesian calibration and number of jump components in electricity spot price models Energy Economics, 65, 375-388, 2017
DOI:10.1016/j.eneco.2017.04.022
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Moriarty J, Palczewski J Real option valuation for reserve capacity European Journal of Operational Research, 257, 251-260, 2017
DOI:10.1016/j.ejor.2016.07.003
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Palczewski J, Stettner L Impulse control maximizing average cost per unit time: A nonuniformly ergodic case SIAM Journal on Control and Optimization, 55, 936-960, 2017
DOI:10.1137/16M1085991
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Palczewski J, Schenk-Hoppé KR, Wang T Itchy feet vs cool heads: Flow of funds in an agent-based financial market Journal of Economic Dynamics and Control, 63, 53-68, 2016
DOI:10.1016/j.jedc.2015.12.002
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Miasojedow B, Niemiro W, Palczewski J, Rejchel W Asymptotics of Monte Carlo maximum likelihood estimators Probability and Mathematical Statistics, 36, 295-310, 2016
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Ladley D, Lensberg T, Palczewski J, Schenk-Hoppé KR Fragmentation and stability of markets Journal of Economic Behavior and Organization, 119, 466-481, 2015
DOI:10.1016/j.jebo.2015.09.013
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Miasojedow B, Niemiro W, Miasojedow B, Palczewski J, Rejchel W Adaptive monte carlo maximum likelihood In Challenges in Computational Statistics and Data Mining, 605, 247-270, 2015
DOI:10.1007/978-3-319-18781-5_14
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Palczewski J, Poulsen R, Schenk-Hoppé KR, Wang H Dynamic portfolio optimization with transaction costs and state-dependent drift European Journal of Operational Research, 243, 921-931, 2015
DOI:10.1016/j.ejor.2014.12.040
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Palczewski J, Stettner L Infinite horizon stopping problems with (nearly) total reward criteria Stochastic Processes and their Applications, 124, 3887-3920, 2014
DOI:10.1016/j.spa.2014.07.009
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Palczewski A, Palczewski J Theoretical and empirical estimates of mean-variance portfolio sensitivity European Journal of Operational Research, 234, 402-410, 2014
DOI:10.1016/j.ejor.2013.04.018
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Aivaliotis G, Palczewski J Investment strategies and compensation of a mean-variance optimizing fund manager European Journal of Operational Research, 234, 561-570, 2014
DOI:10.1016/j.ejor.2013.04.038
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Palczewska AM, Palczewski J, Marchese Robinson R, Neagu D Interpreting random forest classification models using a feature contribution method In Integration of Reusable Systems, 263, 193-218, 2014
DOI:10.1007/978-3-319-04717-1_9
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Palczewska A; Palczewski J; Robinson RM; Neagu D Interpreting random forest models using a feature contribution methodInformation Reuse and Integration (IRI), 2013 IEEE 14th International Conference on, 112-119-112-119 2013
DOI:10.1109/IRI.2013.6642461
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Palczewski J, Stettner L Stopping of functionals with discontinuity at the boundary of an open set Stochastic Processes and their Applications, 121, 2361-2392, 2011
DOI:10.1016/j.spa.2011.05.013
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Palczewski J, Schenk-Hoppe KR From discrete to continuous time evolutionary finance models J ECON DYN CONTROL, 34, 913-931, 2010
DOI:10.1016/j.jedc.2009.12.005

Palczewski J, Schenk-Hoppe KR Market selection of constant proportions investment strategies in continuous time J MATH ECON, 46, 248-266, 2010
DOI:10.1016/j.jmateco.2009.11.011

Palczewski J, Stettner L Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay SIAM Journal on Control and Optimization, 48, 4874-4909, 2010
DOI:10.1137/080737848
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Palczewski J, Schenk-Hoppe KR Market Selection of Self-financing Strategies in Continuous Time Journal of Mathematical Economics, 42, 248-266, 2010
DOI:10.1016/j.jmateco.2009.11.011

Palczewski J, Stettner L Growth-optimal portfolios under transaction costs Applicationes Mathematicae (Warsaw), 35, 1-31, 2008
DOI:10.4064/am35-1-1
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Palczewski J, Stettner L Impulsive control of portfolios Applied Mathematics and Optimization, 56, 67-103, 2007
DOI:10.1007/s00245-007-0880-y
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Palczewski J, Stettner L Maximization of the portfolio growth rate under fixed and proportional transaction costs Communications in Information and Systems, 7, 31-58, 2007
DOI:10.4310/CIS.2007.v7.n1.a3
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Palczewski J, Zabczyk J Portfolio diversification with Markovian prices Probability and Mathematical Statistics, 25, 75-95, 2005
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Palczewski J Arbitrage and pricing in a general model with flows Applicationes Mathematicae, 30, 413-440, 2003
DOI:10.4064/am30-4-4

Palczewska A; Palczewski J; Aivaliotis G; Kowalik L RobustSPAM for inference from noisy longitudinal data and preservation of privacyIEEE ICMLA 2017 Conference proceedings

Balata A; Palczewski J Regress-Later Monte Carlo for Optimal Inventory Control with applications in energy.
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Moriarty J; Palczewski J Energy imbalance market call options and the valuation of storage.
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Palczewski J; Stettner L Undiscounted optimal stopping with unbounded rewards.
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