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20232026
most citedMean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies

2 citations · 2 across the 5 of their papers we have counts for

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6 papers

q-fin.CP2026

Randomized Neural Networks for estimation of exposure profiles and Credit Valuation Adjustment (CVA) for American Equity Options

Isidro Moroso Varona, Jakub Michańków, Paweł Sakowski

This paper studies the use of randomized neural networks for the estimation of exposure profiles and unilateral CVA of American options within a Monte Carlo framework. The analysis…

q-fin.CP2025

Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging

Zofia Bracha, Paweł Sakowski, Jakub Michańków

This paper explores the application of deep Q-learning to hedging at-the-money options on the S\&P~500 index. We develop an agent based on the Twin Delayed Deep Deterministic Polic…

q-fin.RM2025

Forecasting Probability Distributions of Financial Returns with Deep Neural Networks

Jakub Michańków

This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) a…

q-fin.CP2025

Alternative Loss Function in Evaluation of Transformer Models

Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk

The proper design and architecture of testing machine learning models, especially in their application to quantitative finance problems, is crucial. The most important aspect of th…

q-fin.CP2024

Generalized Mean Absolute Directional Loss for Machine Learning Trading Models

Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk

The article presents and evaluates a custom loss function designed specifically for machine learning models used in algorithmic trading. Regardless of the selected asset class and…

q-fin.CP2023★ 2 cited

Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies

Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk

This paper investigates the issue of an adequate loss function in the optimization of machine learning models used in the forecasting of financial time series for the purpose of al…