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Akshat111111 / Hedging-of-Financial-Derivatives

This strategy works for every market condition irrespective of the movement
BSD 3-Clause "New" or "Revised" License
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💡[FEATURE]: Reinforcement Learning Model for Dynamic Hedging Strategies #475

Closed ashis2004 closed 2 months ago

ashis2004 commented 3 months ago

Is your feature request related to a problem? Please describe. The current RND estimation approach does not incorporate external factors like market sentiment, which can significantly impact options prices and risk-neutral densities.

Describe the solution you'd like first of all we will define a custom OpenAI Gym environment for our dynamic hedging problem. Steps to Implement:

Data Collection: Collecting historical financial news articles and their corresponding sentiment scores.

Feature Engineering: Create features representing the sentiment scores and integrate them with the existing options data features.

Model Training: Train the enhanced model on the combined dataset of options and sentiment features. Evaluate the model's performance with and without sentiment features to assess the impact. RND Estimation:

Using the enhanced model to estimate the risk-neutral density from new options data, incorporating current market sentiment. Analyze the improvement in RND estimation accuracy due to sentiment integration.

Describe alternatives you've considered A clear and concise description of any alternative solutions or features you've considered.

Additional context Add any other context or screenshots about the feature request here.

ashis2004 commented 3 months ago

@Akshat111111 assign it to me I'm Gssoc contributor i want to work on it