3 citations · 11 across the 24 of their papers we have counts for
4 papers · 1 filter
Deep Reinforcement Learning Framework for Diversified Portfolio Management Across Global Equity Markets
Kamil Kashif, Robert Ślepaczuk
This study develops and evaluates a deep reinforcement learning framework for dynamic portfolio allocation across global equity markets. The Soft Actor-Critic algorithm is used to…
Construction and Hedging of Equity Index Options Portfolios
Maciej Wysocki, Robert Ślepaczuk
This research presents a comprehensive evaluation of systematic index option-writing strategies, focusing on S&P500 index options. We compare the performance of hedging strategies…
Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Adam Korniejczuk, Robert Ślepaczuk
The study seeks to develop an effective strategy based on the novel framework of statistical arbitrage based on graph clustering algorithms. Amalgamation of quantitative and machin…
Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
This paper proposes a novel approach to hedging portfolios of risky assets when financial markets are affected by financial turmoils. We introduce a completely novel approach to di…