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Record W4389891535 · doi:10.32920/24625161

Financial Bandits - Development of Thompson Sampling for Financial Data

2023· preprint· en· W4389891535 on OpenAlexaff
Alin Morariu

Bibliographic record

Venuenot available
Typepreprint
Languageen
FieldDecision Sciences
TopicAdvanced Bandit Algorithms Research
Canadian institutionsToronto Metropolitan UniversityUniversity of Toronto
Fundersnot available
KeywordsReinforcement learningComputer scienceClass (philosophy)Artificial intelligenceFocus (optics)Bayesian probabilityMachine learningParametric statisticsFinancial marketBayesian inferenceMathematical financeFinanceEconomicsMathematics

Abstract

fetched live from OpenAlex

Reinforcement learning is an emerging branch of machine learning that has typically been used for applications of autonomous vehicles. However, the framework provides a natural fit for financial applications due to the agent-environment interaction that is an investor and the market. In this paper, we develop a new class of bandit algorithms dubbed financial bandits which expand on standard bandit algorithms that are the foundation of reinforcement learning. Of particular focus are Bayesian bandits and Thompson sampling. We loosen assumptions about resources and adopting non-parametric models, we create a more appropriate class of bandit algorithms for applications to financial time series.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.007
metaresearch head score (Gemma)0.038
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.007
Threshold uncertainty score0.040

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0070.038
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0020.001
Bibliometrics0.0020.002
Science and technology studies0.0010.002
Scholarly communication0.0030.003
Open science0.0020.002
Research integrity0.0020.004
Insufficient payload (model declined to judge)0.0030.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.743
GPT teacher head0.575
Teacher spread0.168 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2023
Admission routes1
Has abstractyes

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Same topicAdvanced Bandit Algorithms ResearchFrench-language works237,207