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Mateusz Dadej
Head of Economic Research for Central and Eastern Europe at Coface. PhD in quantitative methods for macro-financial stability; board member of the Association of Polish Economists.
Code and software
Open-source software by Mateusz Dadej, including MarSwitching.jl — a Julia package for Markov switching (regime-switching) dynamic models, published in the Journal of Open Source Software.
CV
Curriculum vitae — education, research, publications and professional experience.
Data visualization
Data visualisations built in R and ggplot2 — Polish and Central and Eastern European macroeconomic, financial market, election and public health charts.
In the media
Expert commentary on Central and Eastern European macroeconomics, corporate insolvencies and trade — TVP World, L’Express, Les Echos, Rzeczpospolita, Bloomberg Adria. Available to journalists for interviews and background.
Publications
Peer-reviewed and working papers on systemic risk, financial contagion, business cycle transmission and computational economics.
Talks and presentations
Conference talks and seminars on systemic risk, financial connectedness and contagion in financial networks — Oxford FFM29, Warsaw Money-Macro-Finance, Aix-Marseille QFFE, Bielefeld and Viadrina.
Blog posts
Long-form technical posts on quantitative finance — Monte Carlo option pricing in R and Julia, and a return-based quality factor on the Warsaw Stock Exchange.
Strony po polsku
Mateusz Dadej
Główny ekonomista ds. Europy Środkowo-Wschodniej w Coface. Makroekonomia, niewypłacalności przedsiębiorstw i finanse ilościowe. Komentarz ekspercki dla mediów.
W mediach
Komentarze eksperckie Mateusza Dadeja w polskich mediach — TVN24, Polsat News, TVP Info, BIZNES24, Rzeczpospolita, Wyborcza.biz, TOK FM. Kontakt dla dziennikarzy.
Posts
Return based quality factor on Warsaw Stock Exchange
Published:
Building a return-based quality factor for the Warsaw Stock Exchange, sorting stocks by stress-stability and testing whether the resulting portfolios behave as theory predicts.
Monte Carlo option pricing - comparison of R and Julia languages
Published:
Benchmarking a Monte Carlo option pricer implemented in both R and Julia, comparing runtime, vectorisation and language ergonomics.
publications
Bank Deposit Guarantee Systems Around the World - a Comparative Analysis
Published in Finance and Financial Law, 2018
Comparative analysis of bank deposit guarantee systems around the world. Published in Finanse i Prawo Finansowe (Finance and Financial Law), 2018.
Recommended citation: Dadej M., (2018). "Systemy gwarantowania depozytów bankowych na świecie–Analiza porównawcza." Finanse i Prawo Finansowe. 1(3). https://www.czasopisma.uni.lodz.pl/fipf/article/download/8488/8353
Role of the Machine Learning Algorithms in Financial Services Sector
Published in Issues of Management in Knowledge - based Economy, 2018
On the role of machine learning algorithms in the financial services sector. Published in Issues of Management in a Knowledge-based Economy, Cracow University of Economics Publishing, 2018.
Recommended citation: Dadej M., (2018). "Rola uczenia maszynowego w sektorze finansowym." Wybrane problemy zarządzania w gospodarce opartej na wiedzy - teoria i praktyka... https://m-dadej.github.io/files/wybrane_problemy_zarzadzania.pdf
Application of Ensemble Gradient Boosting Decision Trees to Forecast Stock Prices on WSE
Published in Our Studies, 2019
Applying ensemble gradient boosting decision trees to forecast stock prices on the Warsaw Stock Exchange. Published in Nasze Studia, University of Gdansk Publishing, 2019.
Recommended citation: Dadej M., (2019). "Application of Ensemble Gradient Boosting Decision Trees to Forecast Stock Prices on WSE." Nasze Studia... http://ekonom.ug.edu.pl/web/download.php?OpenFile=3099
Agent-based modelling of macroeconomic shocks in a banking sector
Published in Our Studies, 2020
An agent-based model of how macroeconomic shocks propagate through a banking sector, with reproducible R code. Published in Nasze Studia, University of Gdansk Publishing, 2020.
Recommended citation: Dadej M., (2020). "Agent-based modelling of macroeconomic shocks in a banking sector." Nasze Studia... http://ekonom.ug.edu.pl/web/download.php?OpenFile=3752
Short Position Disclosures and Underlying Stock Performance: Evidence from Polish Stock Market
Published in Finanse i Prawo Finansowe, 2020
Short position disclosures and subsequent performance of the underlying stock, using evidence from the Polish stock market. Published in Finanse i Prawo Finansowe, 2020.
Recommended citation: Dadej, M. (2020). Short Position Disclosures and Underlying Stock Performance: Evidence from Polish Stock Market. Finanse I Prawo Finansowe, 3(27), 63–75. https://doi.org/10.18778/2391-6478.3.27.03 https://czasopisma.uni.lodz.pl/fipf/article/view/8488
Business cycle transmission between France and United Kingdom
Published in Journal of Economic Studies, 2023
Empirical study of business cycle transmission between France and the United Kingdom. Published in the Journal of Economic Studies, Vol. 50 No. 8, 2023.
Recommended citation: Dadej, M. (2023), "Business cycle transmission between France and United Kingdom", Journal of Economic Studies, Vol. 50 No. 8, pp. 1926-1938. https://doi.org/10.1108/JES-01-2023-0044 https://www.emerald.com/insight/content/doi/10.1108/JES-01-2023-0044/full/html
MarSwitching.jl: A Julia package for Markov switching dynamic models
Published in Journal of Open Source Software, 2024
MarSwitching.jl, a Julia package for estimating Markov switching (regime-switching) dynamic models. Published in the Journal of Open Source Software, 2024.
Recommended citation: Dadej, M., (2024). MarSwitching.jl: A Julia package for Markov switching dynamic models. Journal of Open Source Software, 9(98), 6441, https://doi.org/10.21105/joss.06441 https://joss.theoj.org/papers/10.21105/joss.06441