Author

R. Ślepaczuk

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Preprint Oct 2026

MLP-Initialized Reinforcement Learning for Exit Timing in SPX Short-Straddle Portfolios

This paper studies exit timing for SPX short-straddle portfolios using a two-stage supervised and reinforcement-learning framework. Historical episodes first generate ex-post optimal hold/exit labels for training a multilayer perceptron (MLP) using only contemporaneously available state variables at deployment. The tra...

Jian-Ning Wang, R. Ślepaczuk, Paweł Sakowski · 0 citations