Fine-tuning Timeseries Predictors Using Reinforcement Learning
This work addresses incremental improvements in financial prediction for practitioners, offering a clear implementation plan.
The paper tackles the problem of improving financial forecasting models by fine-tuning them with reinforcement learning, resulting in increased performance and transfer learning properties.
This chapter presents three major reinforcement learning algorithms used for fine-tuning financial forecasters. We propose a clear implementation plan for backpropagating the loss of a reinforcement learning task to a model trained using supervised learning, and compare the performance before and after the fine-tuning. We find an increase in performance after fine-tuning, and transfer learning properties to the models, indicating the benefits of fine-tuning. We also highlight the tuning process and empirical results for future implementation by practitioners.