dr hab. Bartłomiej Bosek​
​​​​​​​

czwartek 14:00-15:30, sala 0174

Jest to seminarium magisterskie, którego tematyka dotyczy optymalizacji kombinatorycznej. W szczególności interesują nas następujące tematy:

1. Zaawansowane algorytmy znajdujące skojarzenia w grafach (także dwudzielnych) w przypadkach nieważonych i ważonych krawędzi.
2. Problemy konstruowania on-line skojarzeń w grafach dwudzielnych, AdWords Problem - rozwiązania optymalne, randomizowane.
3. Algorytmiczne aspekty pokrycia uniłańcuchami produktów częściowych porządków.

Strona seminarium na UsosWeb znajduje się tutaj.

Jakub Wolny

This paper analyzes the causal linkage between transaction costs and financial volatility under two methodological improvements over the existing literature. First, we use panel data in which exogenous transaction cost differences in the French stock market are induced by price level-dependent minimum price variation rules (tick size rules). Unlike in previous studies based on one-time regulatory tick size changes (like the U.S. decimalization), we can separately identify and control for marketwide volatility changes. Second, we avoid the pitfalls of biased volatility measurement across regimes by using the range as a tick-size-robust volatility metric. Panel regressions controlling for marketwide volatility effects show at high levels of statistical significance that the hourly range volatility of individual stocks increases by more than 30% for a 20% exogenous increase in transaction costs due to tick size variations in the French trading system. In the light of this evidence, higher transaction costs in general, and security transaction taxes in particular, should be considered as volatility-increasing.

1. H. Hau. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse (2003).
2. Jakub Wolny. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. slides. (2026).