Repository for the code of the paper

Cartea, Álvaro and Drissi, Fayçal and Osselin, Pierre, Bandits for Algorithmic Trading with Signals (June 19, 2023). Available at SSRN: https://ssrn.com/abstract=4484004 or http://dx.doi.org/10.2139/ssrn.4484004

Run the notebook in Notebook/Example.ipynb to produce all the results of the paper. The MTGP-LR bandit is in AOE/gp_bandit_finance.py