arXiv subjects

Michał Wronka

Publications and source records attributed to Michał Wronka.

3 recordsLinked to original sources

arXiv2026

Modeling interest rate swap volatility with GARCH processes

We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model. The analysis uses daily data from 2007 to 2023 and incorporates market-implied measures (ATM swaption volatility and the SRVIX in- dex) together with a broad set of diagnostic tests. Standard GARCH and GJR- GARCH models show stable short-run parameters, but the intercept ω varies markedly across rolling windows, causing instability in the implied long-run vari- ance. This pattern, confirmed by the Nyblom test, motivates adopting a regime- switching specification. MSGARCH mitigates this issue by keeping regime-specific parameters stable and capturing time variation through filtered regime probabili- ties. It delivers the highest log-likelihood and lowest AIC, whereas BIC favours the more parsimonious GJR-GARCH. One-step-ahead backtesting indicates comparable short-horizon accuracy across models, but MSGARCH offers a clearer structural in- terpretation by isolating high- and low-volatility regimes aligned with major market events.

q-fin.MF↗

arXiv2025

AI-Driven Rapid Identification of Bacterial and Fungal Pathogens in Blood Smears of Septic Patients

Sepsis is a life-threatening condition which requires rapid diagnosis and treatment. Traditional microbiological methods are time-consuming and expensive. In response to these challenges, deep learning algorithms were developed to identify 14 bacteria species and 3 yeast-like fungi from microscopic images of Gram-stained smears of positive blood samples from sepsis patients. A total of 16,637 Gram-stained microscopic images were used in the study. The analysis used the Cellpose 3 model for segmentation and Attention-based Deep Multiple Instance Learning for classification. Our model achieved an accuracy of 77.15% for bacteria and 71.39% for fungi, with ROC AUC of 0.97 and 0.88, respectively. The highest values, reaching up to 96.2%, were obtained for Cutibacterium acnes, Enterococcus faecium, Stenotrophomonas maltophilia and Nakaseomyces glabratus. Classification difficulties were observed in closely related species, such as Staphylococcus hominis and Staphylococcus haemolyticus, due to morphological similarity, and within Candida albicans due to high morphotic diversity. The study confirms the potential of our model for microbial classification, but it also indicates the need for further optimisation and expansion of the training data set. In the future, this technology could support microbial diagnosis, reducing diagnostic time and improving the effectiveness of sepsis treatment due to its simplicity and accessibility. Part of the results presented in this publication was covered by a patent application at the European Patent Office EP24461637.1 "A computer implemented method for identifying a microorganism in a blood and a data processing system therefor".

eess.IV↗

arXiv2024

AdaGlimpse: Active Visual Exploration with Arbitrary Glimpse Position and Scale

Active Visual Exploration (AVE) is a task that involves dynamically selecting observations (glimpses), which is critical to facilitate comprehension and navigation within an environment. While modern AVE methods have demonstrated impressive performance, they are constrained to fixed-scale glimpses from rigid grids. In contrast, existing mobile platforms equipped with optical zoom capabilities can capture glimpses of arbitrary positions and scales. To address this gap between software and hardware capabilities, we introduce AdaGlimpse. It uses Soft Actor-Critic, a reinforcement learning algorithm tailored for exploration tasks, to select glimpses of arbitrary position and scale. This approach enables our model to rapidly establish a general awareness of the environment before zooming in for detailed analysis. Experimental results demonstrate that AdaGlimpse surpasses previous methods across various visual tasks while maintaining greater applicability in realistic AVE scenarios.

cs.CV↗