K-FAC optimization lowers simulated transaction costs in an LSTM deep hedging model compared to Adam, but the P&L variance improvement is not statistically significant.
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A New Way: Kronecker-Factored Approximate Curvature Deep Hedging and its Benefits
K-FAC optimization lowers simulated transaction costs in an LSTM deep hedging model compared to Adam, but the P&L variance improvement is not statistically significant.