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An Adaptive Stock Tracker For Personalized Trading Advice: Jungsoon Yoo Melinda Gervasio and Pat Langley
An Adaptive Stock Tracker For Personalized Trading Advice: Jungsoon Yoo Melinda Gervasio and Pat Langley
One response would be to repeat our experiment with a other from the rest of the list. We then
ompared the re
-
more experien
ed population of users, but we had no ready ommendations of the
urrent model on these sto
ks to the
a
ess to su
h a subje
t pool. Moreover, as both Drum- user's a
tions (as predi
ted by the syntheti
user model).
mond et al. [6℄ and Gervasio et al. [7℄ have argued, syntheti
As before, we measured the system's a
eptan
e rate as the
subje
ts oer advantages over human users in that they let number of mat
hes divided by the total number of a
tions.
one eliminate improvement due to learning by subje
ts and Finally, the Sto
k Tra
ker updated its model based on the
they generally make it easier to run
arefully
ontrolled and user's a
tions in preparation for the next day. For ea
h
repeatable experiments. Thus, we de
ided to
onstru
t a user, we also ran a
ontrol
ondition where no adaptation
set of su
h syntheti
users to serve as subje
ts in a se
ond o
urred, in that user intera
tion did not modify the model.
experimental study. Figure 5 shows the Sto
k Tra
ker's a
eptan
e rate as a
As before, we wanted to determine whether the Sto
k fun
tion of the number of user a
tions, averaged over the 200
Tra
ker
an tailor its re
ommendations to individual users. users. The graph shows that the adaptive version a
hieves
Re
all that the system
onstru
ts user models of a xed an a
eptan
e rate of about 98% after fewer than 30 user
form based on the MACD te
hni
al analysis. By varying the a
tions (i.e., training examples). In
ontrast, without learn-
threshold parameters in the model, we
an ee
tively
reate ing, the a
eptan
e rate was only about 88%.1 These re-
users with dierent investment styles. We
an interpret the sults with syntheti
subje
ts support our hypothesis that
a
tions that a given model predi
ts as the a
tions made by the Sto
k tra
ker
an su
essfully adapt to experien
ed in-
the
orresponding syntheti
user. As in the previous experi- vestors with dierent trading preferen
es.
ment, we utilized a
eptan
e rate as the dependent variable
to measure su
ess, and we predi
ted that this performan
e 4.3 An Experiment with Default Models
measure would in
rease as the Sto
k Tra
ker gained expe- As we have explained, the Sto
k Tra
ker initializes user mod-
rien
e with ea
h subje
t. However, our syntheti
users did els with a default training set. This is primarily to provide
not attempt to mimi
laten
y in making a sele
tion, so we reasonable re
ommendations even for a new user. However,
did not measure transa
tion time in this study. this relian
e on a default model
an also ae
t the Sto
k
To test our hypothesis about a
eptan
e rate, our exper- Tra
ker's ability to adapt to users. A
ru
ial issue with
iment in
luded 200 syntheti
investors sampled from a uni- adaptive interfa
es, parti
ularly ones that learn online, is
form distribution that ranged from very
onservative to very rapid adaptation from few intera
tions. Thus, it is impor-
aggressive. We repeated the previous experimental setup by tant that a default model provide good initial advi
e without
testing ea
h user in a simulated online fashion on 2001 S&P sa
ri
ing the ability to learn individual preferen
es qui
kly.
data. We started ea
h user at a randomly
hosen date from Three questions arise with respe
t to default models for
the rst 50 days of the year and with the same initial port- sto
k tra
king. The rst
on
erns the trading strategy that
folio. We initialized ea
h user model with a default training it should embody. Preliminary studies suggested that a
set, as des
ribed earlier. For ea
h day, the Sto
k Tra
ker moderate model (i.e., neither too
onservative nor too ag-
used the
urrent model for a given user to generate a list of gressive) oered the best tradeo between re
ommendations
re
ommended transa
tions, ordered by their asso
iated
on- 1
den
e value. We ltered the list to ex
lude any sell or sell The slight upward trend for the nonadaptive
ondition sug-
gests that the a
tions for the sto
k trading situations later
warning re
ommendations for sto
ks the user did not own. in the year were easier to predi
t for the default model. This
To simulate regular user behavior, we then randomly pi
ked
ould be be
ause the latter part of the year was more similar
for evaluation ve of the top ten re
ommendations plus one to the 2000 S&P data on whi
h we based this model.
Figure 5: A
eptan
e rate for Sto
k Tra
ker re
om- Figure 6: A
eptan
e rate for Sto
k Tra
ker re
om-
mendations with and without learning. mendations with dierent default model weights.
the user would a
ept and those he would reje
t, thus giving approa
hes, sto
k tra
king is a temporally sensitive task that
useful feedba
k for updating the model. The se
ond issue requires the
ontinuous monitoring of numeri
variables to
involves the size of the training set used to
onstru
t the de- dete
t trends or
hanges over time. This requires identifying
fault model. We settled on 200 training
ases after prelimi- features that
apture these trends and employing te
hniques
nary experiments showed that this number oers reasonable to gather su
h information for the user. Perhaps the
los-
initial advi
e for dierent types of users. est work in text ltering
omes from Languillon [13℄, who
A third question, whi
h we set out to answer more for- studies the problem of
hanging
ontent, but his task still
mally,
on
erns the appropriate weight pla
ed on the default involves ltering stati
do
uments, rather than items like
training set. Smaller weights give more importan
e to the sto
ks that are themselves
hanging over time.
data generated by user intera
tion; for example, a default Ma
hine learning approa
hes to personalized re
ommen-
weight of 0.1 means that it takes ten default examples to dation are often divided into two broad
lasses. Collabo-
have the same ee
t as one example based on a user a
tion. rative approa
hes [11,19℄ make re
ommendations based on
For dierent weight settings, we
are about the initial a
ep- user similarity as eviden
ed by their item ratings, whereas
tan
e rate, the asymptoti
a
eptan
e rate, and the speed
ontent-based approa
hes [12℄ make re
ommendations based
of
onvergen
e. We predi
ted that an intermediate weight on item similarity as eviden
ed by their
ontent des
riptions.
on the default model would give the best tradeo between Collaborative methods perform well when there is substan-
initial a
eptan
e rate and rapid adaptation. tial overlap between the users and the items they have rated,
To test this hypothesis, we
reated a default training set but fare less well for users with idiosyn
rati
behavior and
using 200 randomly
hosen instan
es from the 2000 S&P on items for whi
h few ratings exist. Content-based ap-
data, whi
h we labeled with the predi
tions of a moder- proa
hes like the Sto
k Tra
ker do not suer from these
ate syntheti
user. We then ran an experiment with 200 limitations, as they learn individual preferen
es over item
syntheti
users, in a simulated online fashion on 2001 S&P attributes. However, they require
ontent des
riptions for
data, as in the previous study. We examined three dierent items and thus are better suited to domains where su
h in-
weights for the default model { 1.0, 0.1, and 0.01 { whi
h formation is available. Resear
h on
ombining
ollaborative
produ
ed the results in Figure 6. As expe
ted, the interme- and
ontent-based te
hniques [2,3℄ attempts to address the
diate weight (0.1) gave a better balan
e between initial and limitations of ea
h and
ould prove useful in our domain.
asymptoti
behavior than did the high weight (1.0). How- Early systems for personalized re
ommendation often im-
ever, the low weight (0.01) produ
ed a very similar learning posed a signi
ant burden on users to provide expli
it feed-
urve to the intermediate
ondition, whi
h we did not anti
i- ba
k on system advi
e. More re
ent work has proposed so-
pate, suggesting the Sto
k Tra
ker's behavior is less sensitive lutions ranging from asking the user to rate the most in-
to this parameter than predi
ted.2 formative items [16℄, using syntheti
users to augment the
user pool [17℄, and using impli
it feedba
k to approximate
5. RELATED AND FUTURE WORK expli
it ratings [5,9℄. Rather than use low-level events su
h
as mouse and keyboard tra
king to indi
ate interest or ap-
Mu
h of the resear
h on adaptive information ltering has proval, the Sto
k Tra
ker relies on the impli
it feedba
k
fo
used on do
ument retrieval or text
ategorization, espe- [4,7,12℄ that
omes naturally in the
ourse of the user in-
ially for appli
ations related to the Internet su
h as Web tera
ting with the system|a
epting re
ommendations to
browsing [2,15℄, e-mail pro
essing [18℄, and news reading buy or sell sto
ks, or exe
uting alternative a
tions.
[4,11℄. Unlike the problems that have been ta
kled by these The experimental results presented in the previous se
tion
2
Be
ause it produ
ed reasonable behavior, we relied on the provide eviden
e that the Sto
k Tra
ker's
an adapt rapidly
intermediate setting in the experiment on syntheti
and hu- to users with dierent investment styles. However, there re-
man users reported earlier in the se
tion. main additional issues to investigate. We should repli
ate
the study on experien
ed syntheti
users with human sub- [6℄ C. Drummond, R. Holte, and D. Iones
u. A
elerat-
je
ts, ensuring that users have a reasonable knowledge of ing browsing by automati
ally inferring a user's sear
h
trading. Additional studies with human subje
ts should ex- goal. Pro
eedings of the Eighth Knowledge-Based Soft-
amine whether user models based on the MACD framework ware Engineering Conferen
e , pages 160{167, 1993.
are suÆ
ient to
apture preferen
es a
ross a wide range of [7℄ M. T. Gervasio, W. Iba, and P. Langley. Learning user
users. We
an easily repla
e the proles utilized in the Sto
k evaluation fun
tions for adaptive s
heduling assistan
e.
Tra
ker's modeling
omponent with any one of the many Pro
eedings of the Sixteenth International Conferen
e
te
hni
al analysis methods available [1℄. We
an also design on Ma
hine Learning , pages 152{161, 1999.
syntheti
users for alternative model types and evaluate the [8℄ Global Industry Classi
ation Standard. Available at
Sto
k Tra
ker's ability to adapt to them. http://www.spglobal.
om/GICSIndexDo
ument.PDF.
An additional open question
on
erns how to en
ode and [9℄ J. Goe
ks and J. Shavlik. Learning users' interests by
a
quire more
omplex models. One approa
h would impose unobtrusively observing their normal behavior. Pro-
a hierar
hy over the available sto
ks, su
h as that dened in
eedings of the Fourth International Conferen
e on Au-
the Global Industry Classi
ation Standard [8℄. We
ould tonomous Agents , pages 129{132, 2000.
extend the Sto
k Tra
ker to adapt to users' preferen
es for [10℄ J. Karat. Evolving the s
ope of user-
entered design.
ea
h node in the hierar
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h would
apture Communi
ations of the ACM, 40(7): 33{38, 1997.
user preferen
es for dierent types of sto
ks, su
h as those [11℄ J. Konstan, B. Miller, D. Maltz., J. Herlo
ker, L. Gor-
for software
ompanies vs. automobile
ompanies, but prob- don, and J. Riedl. GroupLens: Applying
ollaborative
ably at the expense of a slower learning rate than for a sim- ltering to usenet news. Communi
ations of the ACM ,
pler user model. 40(3): 77{87, 1997.
In summary, the Adaptive Sto
k Tra
ker is an informa- [12℄ P. Langley. User modeling in adaptive interfa
es. Pro-
tion ltering system that rapidly tailors its trading re
om-
eedings of the Seventh International Conferen
e on
mendations to users with dierent investment styles. The User Modeling , pages 357{370, 1999.
advisor does this by a
quiring a model of user preferen
es [13℄ C. Lanquillon. Information ltering in
hanging do-
automati
ally from tra
es of user intera
tions, utilizing an mains. Pro
eedings of the Workshop on Ma
hine Learn-
eÆ
ient algorithm that exploits the xed stru
ture of the ing for Information Filtering, pages 41{48, 1999.
user model. The Sto
k Tra
ker does not require users to [14℄ D. D. Lewis, R. E. S
hapire, J. P. Callan, and R. Papka.
ll in lengthy questionnaires about their preferen
es or to Training algorithms for linear text
lassiers. Pro
eed-
provide detailed feedba
k about its re
ommendations. In- ings of the Nineteenth International Conferen
e on Re-
stead, it
olle
ts tra
es in an unobtrusive manner and ex- sear
h and Development in Information Retrieval ,pages
tra
ts training instan
es from its natural intera
tion with 298{306, 1996.
the user. Experimental results with both human and syn- [15℄ H. Lieberman. Letizia: An agent that assists Web
theti
subje
ts provide support for this approa
h, suggesting browsing. Pro
eedings of the Fourteenth International
that the Sto
k Tra
ker learns to make in
reasingly a
ept- Joint Conferen
e on Arti
ial Intelligen
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able re
ommendations as it intera
ts with individual users. 929, 1995.
[16℄ A. M. Rashid, I. Albert, D. Cosley, S. Lam, S. M. M
-
ACKNOWLEDGEMENTS Nee, J. A. Konstan, and J. Riedl. Getting to know
you: Learning new user preferen
es in re
ommender
The resear
h reported in this paper was supported in part systems. Pro
eedings of the International Conferen
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by Grant NCC 2-1220 from NASA Ames Resear
h Center. on Intelligent User Interfa
es , pages 127{134, 2002.
We thank Stephanie Sage and Daniel Shapiro for their
on- [17℄ B. M. Sarwar, J. A. Konstan, A. Bor
hers, J. Herlo
ker,
tributions to the formulation of the problem. B. Miller, and J. Riedl. Using ltering agents to im-
prove predi
tion quality in the GroupLens resear
h
ol-
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