Brunhuemer, Alexander; Larcher, Lukas; Seidl, Philipp; … - In: Risks : open access journal 10 (2022) 12, pp. 1-25
, we formulate and focus on a supervised classification task which decides if a plain short straddle on the S&P500 should … different classification models. Using standard machine learning techniques and systematic hyperparameter search, we find …. On the basis of this work, we have laid the foundations for the application of supervised classification methods to more …