Supervised Machine Learning Classification for Short Straddles on the S&P500

Supervised Machine Learning Classification for Short Straddles on the S&P500

In this paper, we apply machine learning models to execute certain short-option strategies on the S&P500. In particular, we formulate and focus on a supervised classification task which decides if a plain short straddle on the S&P500 should be executed or not on a daily basis. We describe ou...

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Bibliographic Details
Main Authors: Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:Risks
Subjects:
machine learning
supervised classification
gradient tree boosting
option trading strategies
short straddles
S&P500
Online Access:https://www.mdpi.com/2227-9091/10/12/235

Internet

https://www.mdpi.com/2227-9091/10/12/235

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