Calibration-Induced Degeneracy: When an Expensive LLM Feature Receives Zero Weight
A. Mohanty · 2026
Ce que cela signifie pour vous
Avant de payer pour un signal sophistiqué, vérifiez deux choses : qu'il peut mécaniquement changer la réponse, et qu'il bat une alternative quasi gratuite.
Résumé
A fully audit-trailed case study in which an LLM scores the market importance of daily news headlines, and that score is added to implied-volatility baselines to forecast next-day equity risk. Calibration assigned the feature a weight of exactly zero, making every augmented forecast mathematically identical to its baseline, after the full-history inference had already been purchased. A near-free control that merely counts headlines did improve variance forecasting. The paper prescribes a viability checkpoint, fit first, perturb second, acquire last, that detects a feature which cannot move the output before any inference is paid for.