ICAIF’22 Accepted Papers

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A Deep Learning Approach for Dynamic Balance Sheet Stress TestingAnastasios Petropoulos (Cyprus University of Technology); Vassilis Siakoulis (Cyprus University of Technology); Konstantinos Panousis (Cyprus University of Technology)*; Loukas Papadoulas (Ethical AI Novelties); Sotirios  Chatzis (Cyprus University of Technology)
Intelligent Inventory Management for Cryptocurrency BrokersChristopher Felder (University of Tubingen)*; Johannes Seemueller (Boerse Stuttgart)
Multivariate Realized Volatility Forecasting with Graph Neural NetworkQinkai Chen (Ecole Polytechnique)*; Christian-Yann Robert (ENSAE Paris)
Sequential asset ranking in nonstationary time seriesGabriel F Borrageiro (University College London)*, Nick Firoozye (University College London), Paolo Barucca (University College London)
RESHAPE: Explaining Accounting Anomalies in Financial Statement Audits by enhancing SHapley Additive exPlanationsRicardo Muller (University of St.Gallen)*; Marco Schreyer (University of St. Gallen); Timur Sattarov (Deutsche Bundesbank); Damian Borth (University of St. Gallen)
Deep Learning for Systemic Risk MeasuresYichen Feng (University of California Santa Barbara)*; Ming Min (University of California, Santa Barbara); Jean-Pierre Fouque (University of California, Santa Barbara)
Optimal Stopping with Gaussian ProcessesKshama Dwarakanath (JP Morgan Chase)*; Danial Dervovic (J.P. Morgan Chase & Co.); Peyman Tavallali (JP Morgan Chase); Svitlana Vyetrenko (J. P. Morgan Chase); Tucker Balch (JP Morgan)
Equitable Marketplace Mechanism DesignKshama Dwarakanath (JP Morgan Chase)*; Svitlana Vyetrenko (J. P. Morgan Chase); Tucker Balch (JP Morgan)
Federated and Privacy-Preserving Learning of Accounting Data in Financial Statement AuditsMarco Schreyer (University of St. Gallen)*; Timur Sattarov (Deutsche Bundesbank); Damian Borth (University of St. Gallen)
Machine Learning for Earnings Prediction: A Nonlinear Tensor Approach for Data Integration and CompletionAjim Uddin (New Jersey Institute of Technology)*; Xinyuan Tao (New Jersey Institute of Technology); Chia-Ching Chou (Central Michigan University); Dantong Yu (New Jersey Institute of Technology)
Network Filtering of Spatial-temporal GNN for Multivariate Time-series PredictionYuanrong Wang (UCL)*; Tomaso Aste (University College London)
Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer CreditRaad Khraishi (University College London)*; Ramin Okhrati (University College London)
Can maker-taker fees prevent algorithmic cooperation in market making?Bingyan Han (University of Michigan)*
Denoised Labels for Financial Time Series Data via Self-Supervised LearningYanqing Ma (King’s College London)*; Carmine Ventre (King’s College London); Maria Polukarov (King’s College London)
Monotonic Neural Additive Models: Pursuing Regulated Machine Learning Models for Credit ScoringDangxing Chen (Duke Kunshan University)*; Weicheng Ye (Carnegie Mellon University)
Risk-Aware Linear Bandits with Application in Smart Order Routing Jingwei Ji (University of Southern California)*; Renyuan Xu (University of Southern California); Ruihao Zhu (Cornell University)
Sequential Banking Products Recommendation and User Profiling in One GoGeorge Farajalla (Genify.ai); Davide Liu (Genify.ai)*; Alexandre Boulenger (Genify.ai)
Knowledge Graph Guided Simultaneous Forecasting and Network Learning for Multivariate Financial Time SeriesShibal Ibrahim (Massachusetts Institute of Technology)*; Wenyu Chen (Massachusetts Institute of Technology); Yada Zhu (IBM Research); Pin-Yu Chen (IBM Research); Yang Zhang (IBM T. J. Watson Research); Rahul Mazumder (Massachusetts Institute of Technology)
Synthetic Data Augmentation for Deep Reinforcement Learning in Financial TradingChunli Liu (King’s College London)*; Carmine Ventre (King’s College London); Maria Polukarov (King’s College London)
Mapping of Financial Services datasets using Human-in-the-LoopShubhi Asthana (IBM Research – Almaden)*; Ruchi Mahindru (IBM Watson Research Center)
Incentivising Market Making in Financial MarketJI QI (KING’S COLLEGE LONDON)*; Carmine Ventre (King’s College London)
Portfolio Selection: A Statistical Learning ApproachYiming Peng (Northwestern University)*; Vadim  Linetsky (Northwestern University)
Core Matrix Regression and Prediction with RegularizationDan Zhou (New Jersey Institute of Technology)*; Ajim Uddin (New Jersey Institute of Technology); Zuofeng Shang (New Jersey Institute of Technology); Cheickna  Sylla (New Jersey Institute of Technology); Dantong Yu (New Jersey Institute of Technology)
Graph and tensor-train recurrent neural networks for high-dimensional models of limit order booksJacobo Roa Vicens (University College London)*; Yao Lei Xu (Imperial College London); Ricardo Silva (University College London); Danilo P. Mandic ((Imperial College of London, UK))
Computationally Efficient Feature Significance and Importance for Predictive ModelsEnguerrand Horel (Stanford University)*; Kay Giesecke (Stanford University)
Asymmetric Autoencoders for Factor-Based Covariance Matrix EstimationKevin Huynh (University of Basel); Gregor Lenhard (University of Basel)*
Theoretically Motivated Data Augmentation and Regularization for Portfolio ConstructionLiu Ziyin (University of Tokyo)*; Kentaro Minami (Preferred Networks, Inc. ); Kentaro Imajo (Preferred Networks, Inc. )
An Interpretable Deep Classifier for Counterfactual GenerationWei Zhang (Columbia University)*; Brian Barr (Capital One ); John Paisley (Columbia University)
Adversarial Fraud Generation for Improved DetectionAnubha Pandey (Mastercard)*; Alekhya  Bhatraju  (Mastercard ); Shiv Markam (Mastercard); Deepak Bhatt (Mastercard)
LaundroGraph: Self-Supervised Graph Representation Learning for Anti-Money LaunderingM√°rio Cardoso (Feedzai)*; Pedro Saleiro (Feedzai); Pedro Bizarro (Feedzai)
Dark-Pool Smart Order Routing: a Combinatorial Multi-armed Bandit ApproachMartino Bernasconi (Politecnico di Milano); Stefano Martino (Politecnico di Milano); Edoardo Vittori (Politecnico di Milano)*; Francesco Trovò (Politecnico di Milano); Marcello Restelli (Politecnico di Milano)
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk AversionsPhillip Murray (JP Morgan)*; Ben Wood (JP Morgan); Hans  Buehler (Technical University of Munich); Magnus R Wiese (University of Kaiserslautern); Mikko S Pakkanen (Imperial College London)
Supervised similarity learning for corporate bonds using Random Forest proximitiesJerinsh Jeyapaulraj (BlackRock, Inc); Dhruv Desai (BlackRock, Inc.); Dhagash Mehta (BlackRock, Inc.)*; Peter Chu (BlackRock, Inc.); Stefano Pasquali (BlackRock, Inc.); Philip Sommer (BlackRock, Inc.)
Asset Price and Direction Prediction via Deep 2D Transformer and Convolutional Neural NetworksEmre Sefer (Ozyegin University)*; Tuna Tuncer (Ozyegin University); Uygat Kaya (Ozyegin University); Onur Alacam (Ozyegin University); Tugcan Hoser (Ozyegin University)
Model-Agnostic Pricing of Exotic Derivatives Using SignaturesAndrew Alden (King’s College London)*; Carmine Ventre (King’s College London); Blanka N Horvath (TUM and KCL ); Gordon Lee (N/A)
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control GameJimin Lin (University of California, Santa Barbara)*; Andrea Angiuli (Amazon); Nils Detering (University of California, Santa Barbara); Jean-Pierre Fouque (University of California, Santa Barbara); Mathieu Laurière (NYU Shanghai)
Market Making with Scaled Beta PoliciesJoseph Jerome (University of Liverpool); Gregory Palmer (L3S Research Center); Rahul Savani (Univ. of Liverpool)*
Learning Mutual Fund Categorization using Natural Language ProcessingDimitrios Vamvourellis (BlackRock, Inc.); Mate Toth (BlackRock, Inc.); Dhruv Desai (BlackRock, Inc.); Dhagash Mehta (BlackRock, Inc.)*; Stefano Pasquali (BlackRock, Inc.)
Temporal Bipartite Graph Neural Networks for Bond PredictionDan Zhou (New Jersey Institute of Technology); Ajim Uddin (New Jersey Institute of Technology); Xinyuan  Tao (New Jersey Institute of Technology); Zuofeng Shang (New Jersey Institute of Technology); Dantong Yu (New Jersey Institute of Technology)*
Learning to simulate realistic limit order book markets from data as a World AgentAndrea Coletta (JP Morgan)*; Aymeric Moulin (J.P. Morgan); Svitlana Vyetrenko (J. P. Morgan Chase); Tucker Balch (JP Morgan)
Collusion Resistant Federated Learning with Oblivious Distributed Differential PrivacyDavid Byrd (Bowdoin College)*; Vaikkunth Mugunthan (DynamoFL); antigoni polychroniadou (JPMorgan AI Research ); Tucker Balch (JP Morgan)
Efficient Calibration of Multi-Agent Simulation Models from Output Series with Bayesian OptimizationYuanlu Bai (Columbia University)*; Henry Lam (Columbia University); Tucker Balch (JP Morgan); Svitlana Vyetrenko (J. P. Morgan Chase)
Contact-Industry Interest Model: A Graph-Based Collaborative Filtering Model with Applications in FinanceYue Leng (JPMorgan Chase & Co)*; Evangelia Skiani (JPMorgan Chase & Co); William Peak (JPMorgan Chase & Co); Ewan Mackie (JPMorgan Chase & Co); Fuyuan Li (JPMorgan Chase & Co); Thwisha Charvi (JPMorgan Chase & Co); Jennifer Law (JPMorgan Chase & Co); Kieran Daly (JPMorgan Chase & Co)
Understanding counterfactual generation using maximum mean discrepancyWei Zhang (Columbia University)*; Brian Barr (Capital One ); John Paisley (Columbia University)
Achieving Mean–Variance Efficiency by Continuous-Time Reinforcement LearningYilie Huang (Columbia University); Yanwei Jia (Columbia university)*; Xun Yu Zhou (Columbia University)
Cost-Efficient Reinforcement Learning for Optimal Trade Execution on Dynamic Market EnvironmentDi Chen (Cornell University); Yada Zhu (IBM Research)*; Miao Liu (IBM Research); Jianbo Li (Three Bridges Capital)
Objective Driven Portfolio Construction Using Reinforcement LearningRuiwen Wang (Vanguard)*; Jithin Pradeep (The Vanguard Group); Zikun Chen (The Vanguard Group)
Learning Not to SpoofDavid Byrd (Bowdoin College)*
Strategic Asset Allocation with Illiquid AlternativesEric S Luxenberg (Stanford)*; stephen boyd (stanford university)
Online Learning for Mixture of Multivariate Hawkes ProcessesMohsen Ghassemi (JP Morgan Chase)*; Niccolo Dalmasso (JPMorgan AI Research); Simran Lamba (JP Morgan); Vamsi K Potluru (JP Morgan AI Research); Tucker Balch (JP Morgan); Sameena Shah (J.P. Morgan AI Research); Manuela Veloso (J.P. Morgan AI Research )
StyleTime: Style Transfer for Synthetic Time Series GenerationYousef H El-Laham (JP Morgan AI Research)*; Svitlana Vyetrenko (J. P. Morgan Chase)
Differential Liquidity Provision in Uniswap v3 and Implications for Contract DesignZhou Fan (Harvard University); Francisco  J.  Marmolejo-Coss√≠o (Harvard University )*; Ben Altschuler (Harvard University); He Sun (Harvard University); XINTONG WANG (Harvard University); David Parkes (Harvard University)
Addressing Extreme Market Responses Using Secure AggregationSahar  Mazloom (J.P. Morgan AI Research)*; Antigoni Polychroniadou (JPMorgan AI Research); Tucker Balch (JP Morgan)
Dynamic Calibration of Order Flow Models with Generative Adversarial NetworksFelix Prenzel (University of Oxford)*; Rama Cont (University of Oxford); Mihai  Cucuringu (University of Oxford and The Alan Turing Institute); Jonathan Kochems (JP Morgan)
Addressing Non-Stationarity in FX Trading with Online Model Selection of Offline RL ExpertsAntonio Riva (Politecnico di Milano); Lorenzo Bisi (Politecnico di Milano)*; Pierre Liotet (Politecnico di Milano); Luca Sabbioni (Politecnico di Milano); Edoardo Vittori (Politecnico di Milano); Marco Pinciroli (Banca Intesa Sanpaolo); Michele Trapletti (Banca Intesa Sanpaolo); Marcello Restelli (Politecnico di Milano)
Guided Self-Training based Semi-Supervised Learning for Fraud DetectionAwanish Kumar (Indian Institute of Technology Bombay); Soumyadeep Ghosh (Mastercard)*; Janu Verma (Mastercard AI Garage)
Decentralization Analysis of Pooling Behavior in Cardano Proof of StakeChristina Ovezik (University of Edinburgh)*; Aggelos Kiayias (University of Edinburgh)
CaPE: Category Preserving Embeddings for Similarity-Search in Financial GraphsGaurav Oberoi (Mastercard ); Pranav Poduval (Mastercard)*; Karamjit Singh (Mastercard); Sangam Verma (Mastercard); Pranay Gupta (MasterCard)
Market Making under Order Stacking Framework: A Deep Reinforcement Learning ApproachGuhyuk Chung (KAIST); Munki Chung (Korea Advanced Institute of Science and Technology); Yongjae Lee (UNIST); Woo Chang Kim (KAIST)*
Eigenvector-based Graph Neural Network Embeddings and Trust Rating Prediction in Bitcoin NetworksPin Ni (University College London)*; QiAo Yuan (University of Liverpool); Raad Khraishi (University College London); Ramin Okhrati (University College London); Aldo Lipani (University College London); Francesca Medda (University College London)
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