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09/04/2023
ATMS: Algorithmic Trading-Guided Market Simulation
The effective construction of an Algorithmic Trading (AT) strategy often...
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08/22/2023
Exploring the Effectiveness of GPT Models in Test-Taking: A Case Study of the Driver's License Knowledge Test
Large language models such as Open AI's Generative Pre-trained Transform...
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06/19/2023
Differentially Private Synthetic Data Using KD-Trees
Creation of a synthetic dataset that faithfully represents the data dist...
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04/11/2023
Financial Time Series Forecasting using CNN and Transformer
Time series forecasting is important across various domains for decision...
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02/23/2023
K-SHAP: Policy Clustering Algorithm for Anonymous State-Action Pairs
Learning agent behaviors from observational data has shown to improve ou...
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12/12/2022
Fast Learning of Multidimensional Hawkes Processes via Frank-Wolfe
Hawkes processes have recently risen to the forefront of tools when it c...
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10/13/2022
Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations
We study a game between liquidity provider and liquidity taker agents in...
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09/26/2022
Learning to simulate realistic limit order book markets from data as a World Agent
Multi-agent market simulators usually require careful calibration to emu...
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09/22/2022
Optimal Stopping with Gaussian Processes
We propose a novel group of Gaussian Process based algorithms for fast a...
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09/22/2022
Equitable Marketplace Mechanism Design
We consider a trading marketplace that is populated by traders with dive...
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08/16/2022
Online Learning for Mixture of Multivariate Hawkes Processes
Online learning of Hawkes processes has received increasing attention in...
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07/27/2022
Differentially Private Learning of Hawkes Processes
Hawkes processes have recently gained increasing attention from the mach...
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02/02/2022
CTMSTOU driven markets: simulated environment for regime-awareness in trading policies
Market regimes is a popular topic in quantitative finance even though th...
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12/03/2021
Efficient Calibration of Multi-Agent Market Simulators from Time Series with Bayesian Optimization
Multi-agent market simulation is commonly used to create an environment ...
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10/29/2021
Profit equitably: An investigation of market maker's impact on equitable outcomes
We look at discovering the impact of market microstructure on equitabili...
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10/27/2021
ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets
Model-free Reinforcement Learning (RL) requires the ability to sample tr...
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10/25/2021
Towards Realistic Market Simulations: a Generative Adversarial Networks Approach
Simulated environments are increasingly used by trading firms and invest...
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08/02/2021
Learning who is in the market from time series: market participant discovery through adversarial calibration of multi-agent simulators
In electronic trading markets often only the price or volume time series...
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07/02/2021
Visual Time Series Forecasting: An Image-driven Approach
In this work, we address time-series forecasting as a computer vision ta...
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05/27/2021
Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Set
Stochastic simulation aims to compute output performance for complex mod...
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02/24/2021
Deep Video Prediction for Time Series Forecasting
Time series forecasting is essential for decision making in many domains...
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11/18/2020
Visual Forecasting of Time Series with Image-to-Image Regression
Time series forecasting is essential for agents to make decisions in man...
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10/12/2020
SURF: Improving classifiers in production by learning from busy and noisy end users
Supervised learning classifiers inevitably make mistakes in production, ...
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04/27/2020
Some people aren't worth listening to: periodically retraining classifiers with feedback from a team of end users
Document classification is ubiquitous in a business setting, but often t...
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02/21/2020
Adversarial Attacks on Machine Learning Systems for High-Frequency Trading
Algorithmic trading systems are often completely automated, and deep lea...
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10/29/2019
Multiplayer AlphaZero
The AlphaZero algorithm has achieved superhuman performance in two-playe...
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07/23/2019
Trading via Image Classification
The art of systematic financial trading evolved with an array of approac...
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07/22/2019