Jakub Michańków
@triplesun.bsky.social
PhD, Quant Researcher and Dev at Triple Sun.
triplesun.substack.com
triplesun.substack.com
Our new paper is out: “Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging.”
arxiv.org/abs/2510.09247
We apply a TD3-based DRL agent to hedge S&P 500 options using 20 years of intraday data. The agent outperforms Black–Scholes delta-hedging.
arxiv.org/abs/2510.09247
We apply a TD3-based DRL agent to hedge S&P 500 options using 20 years of intraday data. The agent outperforms Black–Scholes delta-hedging.
Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging
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 Policy Gradient (TD3) alg...
arxiv.org
October 13, 2025 at 12:39 PM
Our new paper is out: “Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging.”
arxiv.org/abs/2510.09247
We apply a TD3-based DRL agent to hedge S&P 500 options using 20 years of intraday data. The agent outperforms Black–Scholes delta-hedging.
arxiv.org/abs/2510.09247
We apply a TD3-based DRL agent to hedge S&P 500 options using 20 years of intraday data. The agent outperforms Black–Scholes delta-hedging.
A new post on substack about a strategy I've been testing recently - a Dual Momentum strategy:
triplesun.substack.com/p/strategy-d...
First of the series, I'll be playing around and explaining some concepts in the upcoming follow-ups.
triplesun.substack.com/p/strategy-d...
First of the series, I'll be playing around and explaining some concepts in the upcoming follow-ups.
September 15, 2025 at 12:43 PM
A new post on substack about a strategy I've been testing recently - a Dual Momentum strategy:
triplesun.substack.com/p/strategy-d...
First of the series, I'll be playing around and explaining some concepts in the upcoming follow-ups.
triplesun.substack.com/p/strategy-d...
First of the series, I'll be playing around and explaining some concepts in the upcoming follow-ups.
Our latest paper is now on arXiv: arxiv.org/abs/2507.16548
We compare Transformer and LSTM models for forecasting financial returns and building algorithmic trading strategies.
We compare Transformer and LSTM models for forecasting financial returns and building algorithmic trading strategies.
Alternative Loss Function in Evaluation of Transformer Models
The proper design and architecture of testing of machine learning models, especially in their application to quantitative finance problems, is crucial. The most important in this process is selecting ...
arxiv.org
July 23, 2025 at 8:33 AM
Our latest paper is now on arXiv: arxiv.org/abs/2507.16548
We compare Transformer and LSTM models for forecasting financial returns and building algorithmic trading strategies.
We compare Transformer and LSTM models for forecasting financial returns and building algorithmic trading strategies.
Here's my latest substack piece: triplesun.substack.com/p/classic-ec...
April 16, 2025 at 11:05 AM
Here's my latest substack piece: triplesun.substack.com/p/classic-ec...
Our new paper is out, arxiv.org/abs/2412.18405. In it, we introduce updates to our new loss function designed for algo trading with ML.
Generalized Mean Absolute Directional Loss as a Solution to Overfitting and High Transaction Costs in Machine Learning Models Used in High-Frequency Algorithmic Investment Strategies
Regardless of the selected asset class and the level of model complexity (Transformer versus LSTM versus Perceptron/RNN), the GMADL loss function produces superior results than standard MSE-type loss ...
arxiv.org
January 4, 2025 at 3:35 PM
Our new paper is out, arxiv.org/abs/2412.18405. In it, we introduce updates to our new loss function designed for algo trading with ML.
New post on our newsletter is out, feel free to have a look!
open.substack.com/pub/triplesu...
open.substack.com/pub/triplesu...
December 28, 2024 at 2:06 AM
New post on our newsletter is out, feel free to have a look!
open.substack.com/pub/triplesu...
open.substack.com/pub/triplesu...