{"id":"https://openalex.org/W4412873015","doi":"https://doi.org/10.1007/s10462-025-11312-9","title":"Policy weighting via discounted Thomson sampling for non-stationary market-making","display_name":"Policy weighting via discounted Thomson sampling for non-stationary market-making","publication_year":2025,"publication_date":"2025-07-19","ids":{"openalex":"https://openalex.org/W4412873015","doi":"https://doi.org/10.1007/s10462-025-11312-9"},"language":"en","primary_location":{"id":"doi:10.1007/s10462-025-11312-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10462-025-11312-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10462-025-11312-9.pdf","source":{"id":"https://openalex.org/S122814990","display_name":"Artificial Intelligence Review","issn_l":"0269-2821","issn":["0269-2821","1573-7462"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Artificial Intelligence Review","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10462-025-11312-9.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014144208","display_name":"\u00d3scar Fern\u00e1ndez Vicente","orcid":"https://orcid.org/0000-0002-5304-490X"},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"\u00d3scar Fern\u00e1ndez Vicente","raw_affiliation_strings":["Universidad Carlos III, Legan\u00e9s, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universidad Carlos III, Legan\u00e9s, Spain","institution_ids":["https://openalex.org/I50357001"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100645872","display_name":"Javier Garc\u00eda","orcid":"https://orcid.org/0000-0002-5638-5240"},"institutions":[{"id":"https://openalex.org/I200284239","display_name":"Universidade de Santiago de Compostela","ror":"https://ror.org/030eybx10","country_code":"ES","type":"education","lineage":["https://openalex.org/I200284239"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Javier Garc\u00eda","raw_affiliation_strings":["Universidad Santiago de Compostela, Santiago de Compostela, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universidad Santiago de Compostela, Santiago de Compostela, Spain","institution_ids":["https://openalex.org/I200284239"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5004703726","display_name":"Fernando Fern\u00e1ndez","orcid":"https://orcid.org/0000-0003-3801-6801"},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Fernando Fern\u00e1ndez","raw_affiliation_strings":["Universidad Carlos III, Legan\u00e9s, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universidad Carlos III, Legan\u00e9s, Spain","institution_ids":["https://openalex.org/I50357001"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5014144208"],"corresponding_institution_ids":["https://openalex.org/I50357001"],"apc_list":{"value":3090,"currency":"USD","value_usd":3090},"apc_paid":{"value":3090,"currency":"USD","value_usd":3090},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.19161392,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"58","issue":"10","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11182","display_name":"Auction Theory and Applications","score":0.9944999814033508,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11182","display_name":"Auction Theory and Applications","score":0.9944999814033508,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10328","display_name":"Supply Chain and Inventory Management","score":0.9918000102043152,"subfield":{"id":"https://openalex.org/subfields/1404","display_name":"Management Information Systems"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11161","display_name":"Consumer Market Behavior and Pricing","score":0.9868000149726868,"subfield":{"id":"https://openalex.org/subfields/1406","display_name":"Marketing"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/weighting","display_name":"Weighting","score":0.6072617769241333},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5586244463920593},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.41566652059555054},{"id":"https://openalex.org/keywords/sampling","display_name":"Sampling (signal processing)","score":0.4151782989501953},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.23852092027664185},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10079696774482727}],"concepts":[{"id":"https://openalex.org/C183115368","wikidata":"https://www.wikidata.org/wiki/Q856577","display_name":"Weighting","level":2,"score":0.6072617769241333},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5586244463920593},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41566652059555054},{"id":"https://openalex.org/C140779682","wikidata":"https://www.wikidata.org/wiki/Q210868","display_name":"Sampling (signal processing)","level":3,"score":0.4151782989501953},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.23852092027664185},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10079696774482727},{"id":"https://openalex.org/C24890656","wikidata":"https://www.wikidata.org/wiki/Q82811","display_name":"Acoustics","level":1,"score":0.0},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","level":2,"score":0.0},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s10462-025-11312-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10462-025-11312-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10462-025-11312-9.pdf","source":{"id":"https://openalex.org/S122814990","display_name":"Artificial Intelligence Review","issn_l":"0269-2821","issn":["0269-2821","1573-7462"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Artificial Intelligence Review","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1007/s10462-025-11312-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10462-025-11312-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10462-025-11312-9.pdf","source":{"id":"https://openalex.org/S122814990","display_name":"Artificial Intelligence Review","issn_l":"0269-2821","issn":["0269-2821","1573-7462"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Artificial Intelligence Review","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2262748287","display_name":null,"funder_award_id":"501100011033","funder_id":"https://openalex.org/F4320335598","funder_display_name":"Agencia Estatal de Investigaci\u00f3n"},{"id":"https://openalex.org/G3480869486","display_name":null,"funder_award_id":"13039","funder_id":"https://openalex.org/F4320335598","funder_display_name":"Agencia Estatal de Investigaci\u00f3n"},{"id":"https://openalex.org/G451917667","display_name":null,"funder_award_id":"13039/501100011033","funder_id":"https://openalex.org/F4320335322","funder_display_name":"European Regional Development Fund"},{"id":"https://openalex.org/G5967599077","display_name":null,"funder_award_id":"501100011033","funder_id":"https://openalex.org/F4320335322","funder_display_name":"European Regional Development Fund"},{"id":"https://openalex.org/G7084143925","display_name":null,"funder_award_id":"AEI/10","funder_id":"https://openalex.org/F4320335598","funder_display_name":"Agencia Estatal de Investigaci\u00f3n"},{"id":"https://openalex.org/G7266728691","display_name":null,"funder_award_id":"13039/501100011033","funder_id":"https://openalex.org/F4320335598","funder_display_name":"Agencia Estatal de Investigaci\u00f3n"}],"funders":[{"id":"https://openalex.org/F4320323770","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210"},{"id":"https://openalex.org/F4320335322","display_name":"European Regional Development Fund","ror":"https://ror.org/00k4n6c32"},{"id":"https://openalex.org/F4320335598","display_name":"Agencia Estatal de Investigaci\u00f3n","ror":null}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4412873015.pdf","grobid_xml":"https://content.openalex.org/works/W4412873015.grobid-xml"},"referenced_works_count":56,"referenced_works":["https://openalex.org/W1543572792","https://openalex.org/W1587845729","https://openalex.org/W1705315349","https://openalex.org/W1966977762","https://openalex.org/W1987725948","https://openalex.org/W1989049578","https://openalex.org/W1995210069","https://openalex.org/W2012612381","https://openalex.org/W2025268472","https://openalex.org/W2031730654","https://openalex.org/W2060277733","https://openalex.org/W2090479989","https://openalex.org/W2094622857","https://openalex.org/W2116522068","https://openalex.org/W2145339207","https://openalex.org/W2146917784","https://openalex.org/W2158145505","https://openalex.org/W2162288466","https://openalex.org/W2535351973","https://openalex.org/W2560647685","https://openalex.org/W2609388481","https://openalex.org/W2743151379","https://openalex.org/W2902332709","https://openalex.org/W2943927637","https://openalex.org/W2963760579","https://openalex.org/W2973557046","https://openalex.org/W3027406032","https://openalex.org/W3030364939","https://openalex.org/W3033083249","https://openalex.org/W3035574064","https://openalex.org/W3084357044","https://openalex.org/W3091958244","https://openalex.org/W3094116649","https://openalex.org/W3100789280","https://openalex.org/W3118302104","https://openalex.org/W3119264617","https://openalex.org/W3124438845","https://openalex.org/W3128632573","https://openalex.org/W3186499994","https://openalex.org/W4200186852","https://openalex.org/W4214717370","https://openalex.org/W4214905207","https://openalex.org/W4234228486","https://openalex.org/W4243838529","https://openalex.org/W4283320336","https://openalex.org/W4285333894","https://openalex.org/W4287266177","https://openalex.org/W4299819903","https://openalex.org/W4306962598","https://openalex.org/W4316035578","https://openalex.org/W4381996893","https://openalex.org/W4390190870","https://openalex.org/W4404351479","https://openalex.org/W4404351505","https://openalex.org/W4404351593","https://openalex.org/W4412005352"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2899084033","https://openalex.org/W2748952813","https://openalex.org/W2180954594","https://openalex.org/W2052835778","https://openalex.org/W2049003611","https://openalex.org/W2127804977","https://openalex.org/W2108418243","https://openalex.org/W164103134","https://openalex.org/W2040545019"],"abstract_inverted_index":{"Abstract":[0],"Market-making":[1],"is":[2],"an":[3],"essential":[4],"activity":[5],"in":[6,53,79,163,199],"every":[7],"financial":[8,41,81,164],"market.":[9],"They":[10],"provide":[11],"liquidity":[12,208],"to":[13,32,73,95,107,126,205],"the":[14,55,61,75,99,108,160,177,190],"system":[15],"by":[16,51,130],"placing":[17],"buy":[18],"and":[19,35,173,192,209],"sell":[20],"orders":[21],"at":[22],"multiple":[23],"price":[24],"levels.":[25],"While":[26],"performing":[27],"this":[28],"task,":[29],"they":[30,47],"aim":[31],"earn":[33],"profit":[34],"manage":[36],"inventory":[37,175],"levels":[38],"simultaneously.":[39],"However,":[40],"markets":[42,82],"are":[43],"not":[44,104,144],"stationary":[45],"environments;":[46],"constantly":[48],"evolve,":[49],"influenced":[50],"changes":[52],"participants,":[54],"occurrence":[56],"of":[57,77,154,180,194],"economic":[58],"events,":[59],"or":[60,152],"market":[62,128,181,207],"trading":[63],"hours,":[64],"among":[65],"others.":[66],"This":[67],"study":[68],"introduces":[69],"a":[70,120,184],"novel":[71,121],"approach":[72,167],"address":[74],"challenge":[76],"market-making":[78],"non-stationary":[80,96,200],"with":[83],"multi-objective":[84],"Reinforcement":[85],"Learning":[86],"(RL).":[87],"Traditional":[88],"RL":[89],"methods":[90],"often":[91],"struggle":[92],"when":[93],"applied":[94],"environments,":[97,201],"as":[98,149],"learned":[100],"optimal":[101],"policy":[102],"may":[103],"be":[105],"adapted":[106],"new":[109],"dynamics.":[110],"We":[111],"present":[112],"Policy":[113],"Weighting":[114],"through":[115],"Discounted":[116],"Thompson":[117],"Sampling":[118],"(POW-dTS),":[119],"dynamic":[122],"algorithm":[123],"that":[124],"adapts":[125],"changing":[127],"conditions":[129],"effectively":[131],"weighting":[132],"pre-trained":[133],"policies":[134],"across":[135],"various":[136],"contexts.":[137],"Unlike":[138],"some":[139],"conventional":[140],"methods,":[141],"POW-dTS":[142,195],"does":[143],"require":[145],"additional":[146],"artifacts":[147],"such":[148],"change-point":[150],"detection":[151],"models":[153],"transitions,":[155],"making":[156],"it":[157],"robust":[158],"against":[159,196],"unpredictability":[161],"inherent":[162],"markets.":[165],"Our":[166],"focuses":[168],"on":[169],"optimizing":[170],"trade":[171],"profitability":[172],"managing":[174],"risk,":[176],"dual":[178],"objectives":[179],"makers.":[182],"Through":[183],"detailed":[185],"comparative":[186],"analysis,":[187],"we":[188],"highlight":[189],"strengths":[191],"adaptability":[193],"traditional":[197],"techniques":[198],"demonstrating":[202],"its":[203],"potential":[204],"enhance":[206],"efficiency.":[210]},"counts_by_year":[],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}