Author

Maciej Wysocki

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Preprint Aug 2026

Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach

This paper develops the first end-to-end application of cross-sectional learning-to-rank to the S&P 500 weekly options (SPXW) zero-day-to-expiration surface, integrated with margin-aware position sizing, an abstention rule driven by model uncertainty, and a strict out-of-time integrity check. A LightGBM LambdaRank rank...

Maciej Wysocki · 0 citations