A COMPARISON OF LSTM AND GRU ARCHITECTURES WITH NOVEL WALK-FORWARD APPROACH TO ALGORITHMIC INVESTMENT STRATEGY
Illia Baranochnikov, R. Ślepaczuk
· 6 citations
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Preprint
Oct 2026
MLP-Initialized Reinforcement Learning for Exit Timing in SPX Short-Straddle Portfolios
This paper studies exit timing for SPX short-straddle portfolios using a two-stage supervised and reinforcement-learning framework. Historical episodes first generate ex-post optimal hold/exit labels for training a multilayer perceptron (MLP) using only contemporaneously available state variables at deployment. The tra...
Jian-Ning Wang, R. Ślepaczuk, Paweł Sakowski
· 0 citations