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Best Paper Awards:
- Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game. Jimin 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)
- Dynamic Calibration of Order Flow Models with Generative Adversarial Networks. Felix Prenzel (University of Oxford)*; Rama Cont (University of Oxford); Mihai Cucuringu (University of Oxford and The Alan Turing Institute); Jonathan Kochems (JP Morgan)
- Learning Not to Spoof. David Byrd (Bowdoin College)*
Full List of Accepted Papers:
| Paper | Authors |
|---|---|
| A Deep Learning Approach for Dynamic Balance Sheet Stress Testing | Anastasios 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 Brokers | Christopher Felder (University of Tubingen)*; Johannes Seemueller (Boerse Stuttgart) |
| Multivariate Realized Volatility Forecasting with Graph Neural Network | Qinkai Chen (Ecole Polytechnique)*; Christian-Yann Robert (ENSAE Paris) |
| Sequential asset ranking in nonstationary time series | Gabriel 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 exPlanations | Ricardo 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 Measures | Yichen 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 Processes | Kshama 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 Design | Kshama 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 Audits | Marco 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 Completion | Ajim 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 Prediction | Yuanrong Wang (UCL)*; Tomaso Aste (University College London) |
| Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer Credit | Raad 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 Learning | Yanqing 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 Scoring | Dangxing 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 Go | George Farajalla (Genify.ai); Davide Liu (Genify.ai)*; Alexandre Boulenger (Genify.ai) |
| Knowledge Graph Guided Simultaneous Forecasting and Network Learning for Multivariate Financial Time Series | Shibal 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 Trading | Chunli 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-Loop | Shubhi Asthana (IBM Research – Almaden)*; Ruchi Mahindru (IBM Watson Research Center) |
| Incentivising Market Making in Financial Market | JI QI (KING’S COLLEGE LONDON)*; Carmine Ventre (King’s College London) |
| Portfolio Selection: A Statistical Learning Approach | Yiming Peng (Northwestern University)*; Vadim Linetsky (Northwestern University) |
| Core Matrix Regression and Prediction with Regularization | Dan 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 books | Jacobo 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 Models | Enguerrand Horel (Stanford University)*; Kay Giesecke (Stanford University) |
| Asymmetric Autoencoders for Factor-Based Covariance Matrix Estimation | Kevin Huynh (University of Basel); Gregor Lenhard (University of Basel)* |
| Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction | Liu Ziyin (University of Tokyo)*; Kentaro Minami (Preferred Networks, Inc. ); Kentaro Imajo (Preferred Networks, Inc. ) |
| An Interpretable Deep Classifier for Counterfactual Generation | Wei Zhang (Columbia University)*; Brian Barr (Capital One ); John Paisley (Columbia University) |
| Adversarial Fraud Generation for Improved Detection | Anubha Pandey (Mastercard)*; Alekhya Bhatraju (Mastercard ); Shiv Markam (Mastercard); Deepak Bhatt (Mastercard) |
| LaundroGraph: Self-Supervised Graph Representation Learning for Anti-Money Laundering | M√°rio Cardoso (Feedzai)*; Pedro Saleiro (Feedzai); Pedro Bizarro (Feedzai) |
| Dark-Pool Smart Order Routing: a Combinatorial Multi-armed Bandit Approach | Martino 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 Aversions | Phillip 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 proximities | Jerinsh 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 Networks | Emre 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 Signatures | Andrew 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 Game | Jimin 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 Policies | Joseph Jerome (University of Liverpool); Gregory Palmer (L3S Research Center); Rahul Savani (Univ. of Liverpool)* |
| Learning Mutual Fund Categorization using Natural Language Processing | Dimitrios 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 Prediction | Dan 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 Agent | Andrea 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 Privacy | David 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 Optimization | Yuanlu 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 Finance | Yue 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 discrepancy | Wei Zhang (Columbia University)*; Brian Barr (Capital One ); John Paisley (Columbia University) |
| Achieving Mean–Variance Efficiency by Continuous-Time Reinforcement Learning | Yilie Huang (Columbia University); Yanwei Jia (Columbia university)*; Xun Yu Zhou (Columbia University) |
| Cost-Efficient Reinforcement Learning for Optimal Trade Execution on Dynamic Market Environment | Di Chen (Cornell University); Yada Zhu (IBM Research)*; Miao Liu (IBM Research); Jianbo Li (Three Bridges Capital) |
| Objective Driven Portfolio Construction Using Reinforcement Learning | Ruiwen Wang (Vanguard)*; Jithin Pradeep (The Vanguard Group); Zikun Chen (The Vanguard Group) |
| Learning Not to Spoof | David Byrd (Bowdoin College)* |
| Strategic Asset Allocation with Illiquid Alternatives | Eric S Luxenberg (Stanford)*; stephen boyd (stanford university) |
| Online Learning for Mixture of Multivariate Hawkes Processes | Mohsen 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 Generation | Yousef H El-Laham (JP Morgan AI Research)*; Svitlana Vyetrenko (J. P. Morgan Chase) |
| Differential Liquidity Provision in Uniswap v3 and Implications for Contract Design | Zhou Fan (Harvard University); Francisco J. Marmolejo-Cossío (Harvard University )*; Ben Altschuler (Harvard University); He Sun (Harvard University); XINTONG WANG (Harvard University); David Parkes (Harvard University) |
| Addressing Extreme Market Responses Using Secure Aggregation | Sahar Mazloom (J.P. Morgan AI Research)*; Antigoni Polychroniadou (JPMorgan AI Research); Tucker Balch (JP Morgan) |
| Dynamic Calibration of Order Flow Models with Generative Adversarial Networks | Felix 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 Experts | Antonio 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 Detection | Awanish Kumar (Indian Institute of Technology Bombay); Soumyadeep Ghosh (Mastercard)*; Janu Verma (Mastercard AI Garage) |
| Decentralization Analysis of Pooling Behavior in Cardano Proof of Stake | Christina Ovezik (University of Edinburgh)*; Aggelos Kiayias (University of Edinburgh) |
| CaPE: Category Preserving Embeddings for Similarity-Search in Financial Graphs | Gaurav Oberoi (Mastercard ); Pranav Poduval (Mastercard)*; Karamjit Singh (Mastercard); Sangam Verma (Mastercard); Pranay Gupta (MasterCard) |
| Market Making under Order Stacking Framework: A Deep Reinforcement Learning Approach | Guhyuk 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 Networks | Pin 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) |