Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach

By Maciej Wysocki

Published 2026-08-25

Everscope rating

1722.3

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: LightGBM LambdaRank with Confidence Gate and Margin-Aware Sizing. Problem types: Ranking, Portfolio Optimization, Risk Management, Algorithmic Execution, Optimization.

arXiv:2608.24786 · Paper rankings

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