Audrius Kabasinskas

• PhD
• Professor (Full) at Kaunas University of Technology

The pension landscape is changing due to the market situation, and technological change has enabled financial innovations. Pension savers usually seek financial advice to make a personalised decision in selecting the right pension fund for them. As such, decision rules based on the assumed risk profile of the decision maker could be generated by ma...

This paper contributes to the research on multi-pillar pension systems with main focus on private pension funds (PFs). In this context, the specific objective of this study is to determine which second-pillar private fund is the best for participants in such systems on the basis of their risk profile. Based on the assumptions on utility functions o...

The evolving crypto-currency market is seen as dynamic, segmented, and inefficient, coupled with a lack of regulatory oversight, which together becomes conducive to observing the arbitrage. In this context, a crypto-network is designed using bid/ask data among 20 crypto-exchanges over a 2-year period. The graph theory technique is employed to descr...

As the range of decisions made by Artificial Intelligence (AI) expands, the need for Explainable AI (XAI) becomes increasingly critical. The reasoning behind the specific outcomes of complex and opaque financial models requires a thorough justification to improve risk assessment, minimise the loss of trust, and promote a more resilient and trustwor...

This paper presents a stress testing technique based on a hidden Markov regime switching model and scenario generations. Firstly, we assume that investor’s risk preferences and beliefs are primarily observed in main world indices and then transmitted to other markets such as IInd pillar life-cycle pension funds. This enables both regime (market sta...

The academic discourse on stress in the global economy and financial markets has ignited discussions regarding regulatory oversight of pension fund management and investment strategies. This study investigates how pension funds (PF) respond to short-term and long-term risks, as well as their recovery periods following market shocks. To address thes...

This figure explains how correlation between Lithuanian pension funds in Pillar II changes over time (2019-2022).

Building an investment portfolio is a problem that numerous researchers have addressed for many years. The key goal has always been to balance risk and reward by optimally allocating assets such as stocks, bonds, and cash. In general, the portfolio management process is based on three steps: planning, execution, and feedback, each of which has its...

Pension funds are an essential part of retirement planning, and their performance and risks play a significant role in ensuring financial stability for retirees. This study aims to analyse the connectedness and spillover effects in the Lithuanian second-pillar pension fund market. The findings of this study provide insight on the interdependence wi...

This animation show how pension fund spillover changes over time in 120-days rolling window.

Purpose While previous studies have proved the significance of family firm innovativeness (FFI), the question of how the emotion-regulation capabilities of family business managers affect FFI still remains open. This paper aims to examine the impact of the emotion-regulation capabilities of family business managers on FFI moderated by the family in...

The rapid emergence of digital assets, underpinned by technological advancements such as blockchain, distributed ledger technology (DLT), and smart contracts, has triggered a paradigm shift in the global financial ecosystem. These digital assets, which encompass cryptocurrencies, tokenized securities, stablecoins, non-fungible tokens (NFTs), and ce...

In recent years, pension funds have experienced a noteworthy global shift towards integrating sustainability considerations into their investment strategies. This shift demonstrates the recognition of potential risks and opportunities associated with environmental, social, and governance (ESG) factors. This paper critically reviews pension fund sus...

The rapid emergence of digital assets, underpinned by technological advancements such as blockchain, distributed ledger technology (DLT), and smart contracts, has triggered a paradigm shift in the global financial ecosystem. These digital assets, which encompass cryptocurrencies, tokenized securities, stablecoins, non-fungible tokens (NFTs), and ce...

In this research, we analyse how to measure the performance of Lithuanian II pillar pension funds using a benchmark. In a previous conference (Mathematical Models in Economics 2022), we presented how to present the dynamics of simple performance measures (correlation, VaR, CVaR, Average Recovery time, adjusted Sharpe ratio, etc. ). However, it turn...

This paper presents results of performance evaluation of Lithuanian II pillar pension funds using rolling window technique. The Lithuanian pension system has three pillars: mandatory (Ist, social insurance system), quasi-optional (IInd, life-cycle pension funds) and optional (IIIrd, any kind of pension funds or insurance). Invest-ments in II pillar...

This paper presents results of performance evaluation of Lithuanian II pillar pension funds using rolling window technique. The Lithuanian pension system has three pillars: mandatory (I st , social insurance system), quasi-optional (II nd , life-cycle pension funds) and optional (III rd , any kind of pension funds or insurance). Investments in II p...

This paper focuses on the performance of Lithuanian life-cycle second-pillar pension funds. Every such fund first specifies its benchmark and then attempts to follow the benchmark in some way. This is a form of regulation, meaning that every such fund is somehow regulated and controlled by the central bank authorities. The goal of this paper is two...

In this study we analyze daily tracking error of Lithuanian life-cycle pension funds. The tracking error is understood as difference between current net value and benchmark of the fund. Preliminary results show that probability distribution of tracking error of some funds has few peaks, mean is significantly different from zero and variance is peri...

The influence of Artificial Intelligence is growing, as is the need to make it as explainable as possible. Explainability is one of the main obstacles that AI faces today on the way to more practical implementation. In practise, companies need to use models that balance interpretability and accuracy to make more effective decisions, especially in t...

Finpass is a finance technology start-up. In this report, we present exploratory data analysis of historical bank transactions, and developed an algorithm to predict future sustainable income.

Pension funds became a fundamental part of financial security in pensioners’ lives, guaranteeing stable income throughout the years and reducing the chance of living below the poverty level. However, participating in a pension accumulation scheme does not ensure financial safety at an older age. Various pension funds exist that result in different...

Among other measurement techniques applied for the assessment of leaf area index, direct methods are still valued as the most accurate measures and often implemented as calibration tools. Even though more attention has been given to indirect measurements of tree crown properties in forest ecosystems over the last decades, the present study was desi...

New Institutions for Occupational Retirement Provision Directive, effective since 2019, lays down new information requirements for all pension providers across the EU. The directive requires providers to supply their members and savers with a Pension Benefit Statement on a regular basis. The Pension Benefit Statement should inter alia contain the p...

The area in which a multivariate α-stable distribution could be applied is vast; however, a lack of parameter estimation methods and theoretical limitations diminish its potential. Traditionally, the maximum likelihood estimation of parameters has been considered using a representation of the multivariate stable vector through a multivariate normal...

The paper analyses the returns of Slovak 2 nd pillar pension funds using several approaches. The main goal of the paper is to compare these funds among each other and to find the most attractive ones. Since the fund returns are random, we are working with the probability distributions of the returns estimated from the data parametrically (assuming...

In this paper we consider the problem of choosing the optimal pension fund in the second pillar of Lithuanian pension system by providing some guidelines to individuals with defined contribution pension plans. A multistage risk-averse stochastic optimization model is proposed that can be used to plan a long-term pension accrual under two different...

Tax evasion and fraud detection using Big Data analytics methods The State Tax Inspectorate (STI) is constantly faced with improved tax evasion and tax evasion. The best way to deal with such cases is to constantly improve their detection methods and algorithms. KTU together with the State Tax Inspectorate and VU are currently implementing the pro...

The 61st Meeting of EURO Working Group for Commodities and Financial Modelling took place in Kaunas, Lithuania, on May 16-18, 2018. The conference #ewgcfm2018 brought together scientific experts on financial modelling, statistics and economics, decision-making analysis and methods, FinTech and Blockchain, LittleData to BigData in finance and invest...

The EURO Working Group for Commodities and Financial Modelling (EWGCFM) conference, #ewgcfm2018, brought together experts from the fields of financial modelling, statistics and economics, decision-making analysis and methods, FinTech and Blockchain, LittleData to BigData in finance and investment, game theory and mathematical economics, banking, in...

cf. attachment

https://www.ebooks.ktu.lt/eb/1387/matematika-1-tiesine-algebra-ir-matematine-analize/

The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund’s net asset value and few classical risk estimates. Such evaluation shows the management company’s ability to profit...

The aim of this paper is to construct a portfolio of eight different stocks from New York Stock Exchange market (AIR, ABM, TSCO, HLX, KO, DIS, AMZN, and VZ) using stochastic programming. The next stage (period) prices are generated using a stochastic difference equation in order to introduce uncertainty. For the portfolio selection, we use three di...

The globalization is affecting the economic development of world. Internet provided a dramatic increase in information and money transaction speed, therefore small markets are also growing rapidly in the international markets. The focus of this paper is on a cluster of companies with logistics intensive activity. This includes mainly logistics serv...

Previous authors have proved the advantage of commercial Accounting and Governance Risk (AGR) evaluation methods over academic methods. However, the information used in commercial methods is not readily available to an investor. Therefore, the most important features used in academic methods and the AGR was forecast by Random Forests. It found a we...

Leidinyje "Matematika 2. Diferencialinės lygtys, tikimybių teorija ir matematinė statistika" išdėstyti pirmosios ir antrosios eilių diferencialinių lygčių sprendimo ir taikymo ekonomikoje pagrindai, tikimybių teorija, vienmačių ir dvimačių imčių matematinė statistika. Daug dėmesio skirta nagrinėjamų temų taikymui, ypač versle ir ekonomikoje. Mokomo...

Compensatory biofuel ash fertilisation is recommended for managed Pinus sylvestris L. forests growing on nutrients poor Arenosols in Lithuania. We conducted an experiment between 2002 and 2005, investigating the effects of biofuel ash and nitrogen fertilisation applied to Scots Pine stands on nutrient poor Arenosols. We studied the effects of three...

Declining birth rates and increasing life expectancy led to the pension system’s reform in many countries around the world. Lithuania has undertaken a pension reform in 2004, which was renewed in 2013. This one was the reason to establish private pension funds. People were encouraged to accrue funds for the retirement and not to trust only on the s...

It is of great importance for those in charge of measuring and managing financial risk to analyse financial data by determining a certain probabilistic model These data usually possess distribution with tails heavier than those of normal distribution, The class of α -stable distributions can be chosen for modelling financial data since this probabi...

The paper provides a scientific approach to the problem of selecting a pension fund by taking into account some specific characteristics of the Lithuanian Republic (LR) pension accumulation system. The decision making model, which can be used to plan a long-term pension accrual of the Lithuanian Republic (LR) citizens, in an optimal way is presente...

http://www.su.lt/bylos/mokslo_leidiniai/jmd/2014_1_41/viselgaite_kabasinskas.pdf In this research we analyze what influences the final grades of Kaunas University of Technology module Mathematics 1. The aim of the article is to find out how accurately we can predict the final grades of Mathematics 1 module for each student in the beginning of seme...

The changes of areas of eight tree species in Lithuania during the past century were analysed. Aiming to apply the different approaches in forest studies, the Exponential smoothing method for forecasting the changes of the tree areas for the 25 years was used. The data dating from 1922 was analyzed as a time series. The descending trend was identif...

In this paper, we propose the mixed-stable model for analyzing high-frequency stock return data that usually contain a large number of zeros. Based on the data of German Dax component stocks, we apply the stable and mix-stable laws (both with dependent and independent states) to model the data. We also investigate the self-similarity and multifract...

This study aims to compare two different neural networks, used for forecasting the direction of distress value (increase or decrease) in nine sectors of US Healthcare industry. The neural networks differ in data sets, which were used for training and testing purpose. The idea of first neural network is that the dynamics of each company performance...

The paper provides some analysis solutions for financial return series exhibiting short histories and periods of strong passivity. The mixed-stable law is used to fit the forex data and the self-similarity analysis is made as well. The power-corelation measures is used to describe the relation between the presented series.

In recent decades there was a robust boom in investment sector in Lithuania, as more people chose to invest money in investment funds rather than keep money in the closet. The Baltic States Market turnover has increased from 721 MEUR in 2000 to 978 MEUR in 2008 (with peak 2603 MEUR in 2005). When difficult period appeared in global markets, a lot o...

Statistical models of financial data series and algorithms of forecasting and investment are the topic of this research. The objects of research are the historical data of financial securities, statistical models of stock returns, parameter estimation methods, effects of self-similarity and multifractality, and algorithms of financial portfolio sel...

Construction of an investment portfolio is discussed in many papers, but, traditionally when there is no assumption on data series distribution, the standard deviation or variance is assumed as a risk measure. During the last few years historical data series distribution has often been analyzed and new ways of portfolio management proposed. It has...

Relationships between financial instruments are very important in practical portfolio management. Under the assumption of stability, when the second moment does not exist, traditional relationship measures cannot be applied. In this paper we introduce new general correlation measures. Results of the empirical analysis of the selected equities from...

Modeling and analysis of financial processes is an important and fast developing branch of computer science, applied mathematics, statistics, and economy. Probabilistic-statistical models are widely applied in the analysis of investment strategies. Adequate distributional fitting of empirical financial series has a great influence on forecast and i...

Finansinių procesų modeliavimas ir analizė yra svarbi, labai greitai besivystanti mokslo šaka, apjungianti tokias sritis kaip kompiuterių mokslai, taikomoji matematika, statistika ir ekonomika. Tiriant investavimo galimybes ir nagrinėjant finansines laiko sekas, jų elgesiui aprašyti taikomi tikimybiniai–statistiniai modeliai. Adekvatus empirinio du...

Formuojant vertybinių popierių portfelį svarbu nustatyti ryšius tarp atskirų akcijų grąžų. Tačiau laikantis stabilumo prielaidos (modeliuojant akcijų grąžų sekas stabiliaisiais dėsniais) klasikiniai ryšio matai kovariacija, koreliacija) negali būti taikomi. Todėl apibendrintasis Markovitzo uždavinys yra sprendžiamas su apibendrintais ryšio matais (...

The Baltic States equity market is a challenge for investors and financial analysts. Unfortunately strong assivity is observed in ``young'' markets, therefore any (Gaussian, α-stable etc) distribution fitting tests (Anderson–Darling, Kolmogorov–Smirnov, etc.) are poorly applicable. Improvement based on mixed distributions is proposed and its adequa...

Since the middle of the last century, financial engineering has become very popular among mathema-ticians and analysts. Stochastic methods were widely applied in financial engineering. Gaussian models were the first to be applied, but it has been noticed out that they inadequately describe the behavior of financial series. Since the classical Gauss...

Sprendþiant ekonominius ir finansinius uþda-vinius susiduriama su problema – programinë áranga daþniausiai bûna pritaikyta klasikiniu atvejui, kai finansiniai duomenys tenkina nor-malumo sàlygà (yra pasiskirstae pagal Gauso skirstiná). Daugelio autoriø tyrimais nustaty-ta, kad realios rinkos duomenø ði sàlyga ne-atitinka, nes realiems duomenims bûd...