4th ACM International Conference on AI in Finance (ICAIF-23)

Accepted papers are outlined on this page. Paper awards will be posted at a later date.

Reminders:

Authors accepted for oral presentation must have at least one of the authors/presenters attend in person.
All authors should register in person or virtually for the papers to be included in the proceedings.

Full List of Accepted Papers

Arranged alphabetically by paper title:

Paper Title	Authors
A Fast Non-Linear Coupled Tensor Completion Algorithm for Financial Data Integration and Imputation	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); Xinyuan Tao (New Jersey Institute of Technology); Dantong Yu (New Jersey Institute of Technology)
A GANs-Based Approach for Stock Price Anomaly Detection and Investment Risk Management	Seyoung Kim (UNIST); Joohwan Hong (UNIST); Yongjae Lee (UNIST)*
A Generative Approach for Comprehensive Financial Event Extraction at the Document Level	Jinan Zou (The university of Adelaide)*; Yanxi Liu (The University of Adelaide); Yuankai Qi (The University of Adelaide); Haiyao Cao (The University of Adelaide); Lingqiao Liu (University of Adelaide); Javen Qinfeng Shi (University of Adelaide)
A Machine Learning Plus-Features Based Approach for Optimal Asset Allocation	Domingo J Ramirez (Fintual AGF)*; Jose-Manuel Peña (Fintual AGF); Fernando Suárez (Fintual AGF); Omar Larré (Fintual AGF); Arturo Cifuentes (CLAPES UC)
A supervised generative optimization approach for tabular data	Fadi Hamad (University of Pittsburgh); Shinpei Nakamura-Sakai (Yale University)*; Saheed Obitayo (JP Morgan); Vamsi Potluru (J.P. Morgan AI Research)
Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling	Masanori Hirano(The University of Tokyo)*; Kentaro Minami (Preferred Networks, Inc. ); Kentaro Imajo (Preferred Networks, Inc. )
Bayesian Networks Improve Out-of-Distribution Calibration for Agribusiness Delinquency Risk Assessment	Ana Clara Teixeira (Traive Inc.); Hamed Yazdanpanah (University of São Paulo)*; Aline Pezente (Traive Inc.); Mohammad Ghassemi (Traive Inc.)
Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective	Nelson Vadori (J.P. Morgan AI Research)*
Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness	Andrea Coletta (JPMorgan); Joseph Jerome (University of Liverpool); Rahul Savani (Univ. of Liverpool)*; Svitlana Vyetrenko (J. P. Morgan Chase)
Conservative Predictions on Noisy Financial Data	Omkar Nabar (BITS Pilani, Goa)*; Gautam Shroff (Tata Consultancy Services Ltd.)
Correlation Matrix Clustering for Statistical Arbitrage Portfolios	Qi Jin (University of Oxford)*; Mihai Cucuringu (University of Oxford and The Alan Turing Institute); Álvaro Cartea (University of Oxford)
Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation	Xin Du (Waseda University)*; Kai Moriyama (Waseda University); Kumiko Tanaka-Ishii (Waseda University)
Cryptocurrency volatility forecasting using commonality in intraday volatility	Emmanuel Djanga (University of Oxford)*; Mihai Cucuringu (University of Oxford and The Alan Turing Institute); Chao Zhang (University of Oxford)
CVA Hedging with Reinforcement Learning	Roberto Daluiso (Intesa Sanpaolo); Marco Pinciroli (Intesa Sanpaolo); Michele Trapletti (Intesa Sanpaolo); Edoardo Vittori (Intesa Sanpaolo)*
Decision-Aware Conditional GANs for Time Series Data	He Sun (Harvard University)*; Zhun Deng (Columbia University); Hui Chen (MIT); David Parkes (Harvard University)
Deep Calibration of Market Simulations using Neural Density Estimators and Embedding Networks	Namid R Stillman (Simudyne)*; Rory Baggott (Simudyne); Justin Lyon (Simudyne); Perukrishnen Vytelingum (Simudyne)
Deeper Hedging: A New Agent-based Model for Effective Deep Hedging	Kang Gao (Imperial College London)*; Stephen Weston (Deloitte UK); Perukrishnen Vytelingum (Simudyne Ltd.); Namid Stillman (Simudyne Ltd.); Wayne Luk (Imperial College London); Ce Guo (Imperial College London)
Detecting Financial Market Manipulation with Statistical Physics Tools	Haochen Li (King’s College London)*; Maria Polukarov (King’s College London); Carmine Ventre (King’s College London)
DRL Trading with CPT Actor and Truncated Quantile Critics	Marcus Foo (ntu); Nixie S Lesmana (Nanyang Technological University)*; Chi Seng Pun (Nanyang Technological University)
Dynamic Covariance Estimation under Structural Assumptions via a Joint Optimization Approach	Riade Benbaki (Massachusetts Institute of Technology); Rahul Mazumder (Massachusetts Institute of Technology); Yada Zhu (IBM Research); Wenyu Chen (Massachusetts Institute of Technology)*
Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models	Yichi Zhang (University of Oxford)*; Mihai Cucuringu (University of Oxford and The Alan Turing Institute); Alexander Shestopaloff (Queen Mary University of London); Stefan Zohren (University of Oxford)
Dyn-GWN: Time-Series Forecasting using Time-varying Graphs with Applications to Finance and Traffic Prediction	Shibal Ibrahim (Massachusetts Institute of Technology)*; Max Tell (MIT); Rahul Mazumder (Massachusetts Institute of Technology)
E2EAI: End-to-End Deep Learning Framework for Active Investing	Zikai Wei (The Chinese University of Hong Kong)*; Bo Dai (Shanghai AI Lab); Dahua Lin (The Chinese University of Hong Kong)
Earnings Call Analysis Using a Sparse Attention Based Encoder and Multi-Source Counterfactual Augmentation	Zixuan Yuan (Rutgers University)*; Yada Zhu (IBM Research); Wei Zhang (Wayfair); Hui Xiong (The Hong Kong University of Science and Technology (Guangzhou))
Efficient Event Series Data Modeling via First-Order Constrained Optimization	Niccolo Dalmasso (JPMorgan AI Research)*; Renbo Zhao (University of Iowa); Mohsen Ghassemi (JP Morgan Chase); Vamsi Potluru (J.P. Morgan AI Research); Tucker Balch (JP Morgan); Manuela Veloso (J.P. Morgan AI Research )
Enhancing Credit Risk Reports Generation using LLMs: An Integration of Bayesian Networks and Labeled Guide Prompting	Ana Clara Teixeira (Traive Inc.); Vaishali Marar (Traive Inc.); Hamed Yazdanpanah (University of São Paulo)*; Aline Pezente (Traive Inc.); Mohammad Ghassemi (Traive Inc.)
Enhancing Financial Sentiment Analysis via Retrieval Augmented Large Language Models	Boyu Zhang (The University of Adelaide); Hongyang Yang (Columbia University)*; Tianyu Zhou (Brown University); Muhammad Ali Babar (The University of Adelaide); Xiao-Yang Liu (Columbia University)
FinBERT-FOMC: Fine-Tuned FinBERT Model with Sentiment Focus Method for Enhancing Sentiment Analysis of FOMC Minutes	Sandro Gössi (University of St.Gallen)*; Ziwei Chen (University of St.Gallen); Wonseong Kim (Korea University); Bernhard Bermeitinger (University of St.Gallen); Siegfried Handschuh (University of St.Gallen)
FinDiff: Diffusion Models for Financial Tabular Data Generation	Timur Sattarov (University of St.Gallen)*; Marco Schreyer (University of St. Gallen); Damian Borth (University of St. Gallen)
Fine-Tuning Pretrained Language Models to Enhance Dialogue Summarization in Customer Service Centers	Jiseon Yun (KakaoBank); Jae Eui Sohn (KakaoBank); Sunghyon Kyeong (KakaoBank)*
FlowMind: Automatic Workflow Generation with LLMs	Zhen Zeng (J.P. Morgan AI Research)*; William Watson (JP Morgan & Chase); Nicole Cho (J.P.Morgan); Saba Rahimi (J.P. Morgan AI Research); Shayleen Reynolds (J.P. Morgan AI Research); Tucker Balch (JP Morgan); Manuela Veloso (J.P. Morgan AI Research )
From Detection to Action: a Human-in-the-loop Toolkit for Anomaly Reasoning and Management	Xueying Ding (Carnegie Mellon University)*; Nikita V Seleznev (Capital One); Senthil Kumar (Capital One); C. Bayan Bruss (Capital One); Leman Akoglu (CMU)
From Pixels to Predictions: Spectrogram and Vision Transformer for Better Time Series Forecasting	Zhen Zeng (J.P. Morgan AI Research)*; Rachneet Kaur (J.P. Morgan AI Research ); Suchetha Siddagangappa (J.P. Morgan AI Research); Tucker Balch (JP Morgan); Manuela Veloso (J.P. Morgan AI Research )
From random-walks to graph-sprints: a low-latency node embedding framework on continuous-time dynamic graphs	Jacopo Bono (Feedzai)*; Ahmad Naser Eddin (Feedzai); David Aparicio (Zendesk); Hugo Ferreira (Feedzai); João Tiago T Ascensão (Feedzai); Pedro Ribeiro (University of Porto); Pedro Bizarro (Feedzai)
Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network	Peer Nagy (University of Oxford)*; Sascha Y Frey (University of Oxford); Silvia Sapora (University of Oxford); Kang Li (University of Oxford); Anisoara Calinescu (University of Oxford); Stefan Zohren (University of Oxford); Jakob N Foerster (University of Oxford)
GoSage: Heterogeneous Graph Neural Network Using Hierarchical Attention for Collusion Fraud Detection	Soumava Ghosh (Gojek)*; Ravi Anand (Gojek); Tanmoy Bhowmik (Gojek); Siddhanth Chandrashekhar (Gojek)
Gradient-Assisted Calibration for Financial Agent-Based Models	Joel Dyer (University of Oxford)*; Arnau Quera-Bofarull (University of Oxford); Ayush Chopra (MIT); J. Doyne Farmer (University of Oxford); Anisoara Calinescu (University of Oxford); Michael Wooldridge (Oxford University)
Graph Denoising Networks: A Deep Learning Framework for Equity Portfolio Construction	Edward Turner (University of Oxford)*; Mihai Cucuringu (University of Oxford and The Alan Turing Institute)
Improving the Robustness of Financial Models through Identification of the Minimal Vulnerable Feature Set	Anubha Pandey (Mastercard)*; Himanshu Chaudhary (Mastercard); Alekhya Bhatraju (Mastercard ); Deepak Bhatt (Mastercard); Maneet Singh (Mastercard, India)
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading	Sascha Y Frey (University of Oxford)*; Kang Li (University of Oxford); Peer Nagy (University of Oxford); Silvia Sapora (University of Oxford); Christopher Lu (University of Oxford); Stefan Zohren (University of Oxford); Jakob Foerster (University of Oxford); Anisoara Calinescu (University of Oxford)
Large Language Models in Finance: A Survey	Yinheng Li (Columbia University)*; Shaofei Wang (Columbia University); Han Ding (Columbia University); Hang Chen (New York University)
Large Scale Financial Time Series Forecasting with Uniform Multi-faceted Model	Defu Cao (University of Southern California)*; Yixiang Zheng (University of Southern California); Parisa Hassanzadeh (JPMorgan Chase); Simran Lamba (JP Morgan); Xiaomo Liu (JP Morgan); Yan Liu (USC)
Learning Temporal Representations of Bipartite Financial Graphs	Pritam Kumar Nath (mastercard)*; Govind Waghmare (Mastercard); Nikhil Tumbde (Mastercard); Nitish Kumar (Mastercard); Siddhartha Asthana (Mastercard)
Learning to Manipulate a Financial Benchmark	Megan J Shearer (University of Michigan); Gabriel Rauterberg (University of Michigan); Michael Wellman (University of Michigan)*
Lifting Volterra Diffusions via Kernel Decomposition	Francois Buet-Golfouse (UCL)*; Nicholas WD Martin (JPMorgan Chase)
Liquidity and Solvency Risks in Financial Networks	Lingxiao Zhao (Kings College London)*; Maria Polukarov (King’s College London); Carmine Ventre (King’s College London)
Liquidity takers behavior representation through a contrastive learning approach	Ruihua Ruan(Ceremade Paris-Dauphine University PSL)*
LLMs Analyzing the Analysts: Do BERT and GPT Extract More Value from Financial Analyst Reports?	Seonmi Kim (Ulsan National Institute of Science and Technology); Seyoung Kim (UNIST); Yejin Kim (UNIST); Junpyo Park (UNIST); Seongjin Kim (UNIST); Moolkyeol Kim (UNIST); Chang Hwan Sung (Invesco); Joohwan Hong (UNIST); Yongjae Lee (UNIST)*
LLMs for Financial Advisement: A Fairness and Efficacy Study in Personal Decision Making	Kausik Lakkaraju (University of South Carolina)*; Sara E Jones (Artificial Intelligence Institute at UofSC); Sai Krishna Revanth Vuruma (University of South Carolina); Vishal Pallagani (University of South Carolina); Bharath C Muppasani (University of South Carolina); Biplav Srivastava (Univ. of South Carolina)
Making LLMs Worth Every Penny: Resource-Limited Text Classification in Finance	Lefteris Loukas (EY AI Center of Excellence)*; Ilias Stogiannidis (Helvia.io); Odysseas Diamantopoulos (Helvia.io); Prodromos Malakasiotis (Institute of Informatics & Telecommunications, NCSR “Demokritos”); Stavros Vassos (Helvia.ai)
Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints	Jingyi Gu (New Jersey Institute of Technology); Wenlu Du (New Jersey Institute of Technology); A M Muntasir Rahman (New Jersey Institute of Technology); Guiling Wang (New Jersey Institute of Technology)*
Mbt-gym: Reinforcement learning for model-based limit order book trading	Joseph Jerome (University of Liverpool); Leandro Sánchez-Betancourt (Imperial College London); Rahul Savani (Univ. of Liverpool)*; Martin Herdegen (University of Warwick)
ML-Assisted Optimization of Securities Lending	Abhinav Prasad (BNY Mellon); Prakash Arunachalam (The Bank of New York Mellon); Ali Motamedi (BNY Mellon); Ranjeeta Bhattacharya (BNY Mellon); Beibei Liu (BNY Mellon); Hays McCormick (The Bank of New York Mellon); Shengzhe Xu (Virginia Tech); NIKHIL Muralidhar (Stevens Institute of Technology); Naren Ramakrishnan (Virginia Tech)*
Modeling Inverse Demand Function with Explainable Dual Neural Networks	Zhiyu Cao (Stevens Institute of Technology)*; Zihan Chen (Stevens Institute of Technology); Prerna Mishra (Georgia State University); Hamed Amini (University of Florida); Zachary Feinstein (Stevens Institute of Technology)
Modeling Momentum Spillover with Economic Links Discovered from Financial Documents	Andy Chung (The University of Tokyo)*; Kumiko Tanaka-Ishii (Waseda University)
Multi-Modal Financial Time-Series Retrieval Through Latent Space Projections	Tom Bamford (J. P. Morgan)*; Andrea Coletta (JPMorgan); Elizabeth Fons (J.P. Morgan AI Research); Sriram Gopalakrishnan (JP Morgan and Chase); Svitlana Vyetrenko (J. P. Morgan Chase); Tucker Balch (JP Morgan); Manuela Veloso (J.P. Morgan AI Research )
Multireference Alignment for Lead-Lag Detection in Multivariate Time Series and Equity Trading	Danni Shi (University of Oxford)*; Mihai Cucuringu (University of Oxford and The Alan Turing Institute); Jan-Peter Calliess (University of Oxford)
NFT Primary Sale Price and Secondary Sale Prediction via Deep Learning	Emre Sefer (Ozyegin University)*; Betul Seyhan (Ozyegin University)
NMTucker: Non-linear Matryoshka Tucker Decomposition for Financial Time Series Imputation	Uras Varolgunes ( New Jersey Institute of Technology)*; Dan Zhou (New Jersey Institute of Technology); Dantong Yu (New Jersey Institute of Technology); Ajim Uddin (New Jersey Institute of Technology)
On Correlated Stock Market Time Series Generation	Giuseppe Masi (Sapienza University of Rome)*; Matteo Prata (Sapienza University of Rome); Michele Conti (Sapienza University of Rome); Novella Bartolini (Sapienza University of Rome); Svitlana Vyetrenko (J. P. Morgan Chase)
Order Flow Decomposition for Price Impact Analysis in Equity Limit Order Books	Bogdan Sitaru (University of Oxford)*; Mihai Cucuringu (University of Oxford and The Alan Turing Institute); Anisoara Calinescu (University of Oxford)
Portfolio Optimization via Credal Probabilistic Circuits	David Ricardo Montalvan Hernandez (TU Eindhoven)*; Cassio de Campos (TU Eindhoven)
Predictability of Post-Earnings Announcement Drift with Textual and Contextual Factors of Earnings Calls	Andy Chung (The University of Tokyo)*; Kumiko Tanaka-Ishii (Waseda University)
Quantifying Outlierness of Funds from their Categories using Supervised Similarity	Dhruv Desai (BlackRock, Inc.); Ashmita Dhiman (BlackRock, Inc.); Tushar Sharma (BlackRock, Inc.); Deepika Sharma (BlackRock, Inc.); Dhagash Mehta (BlackRock, Inc.)*; Stefano Pasquali (BlackRock, Inc.)
Reinforcement Learning for Combining Search Methods in the Calibration of Economic ABMs	Aldo Glielmo (Bank of Italy)*; Marco Favorito (Bank of Italy); Debmallya Chanda (Università Cattolica del Sacro Cuore); Domenico Delli Gatti (Università Cattolica)
Robust Market Making: To Quote, or not To Quote	Ziyi Want (King’s College London)*; Carmine Ventre (King’s College London); Maria Polukarov (King’s College London)
Sequential Fair Resource Allocation under a Markov Decision Process Framework	Parisa Hassanzadeh (JPMorgan Chase & Co.); Eleonora Kreacic (JP Morgan AI Research); Sihan Zeng (JPMorgan AI Research)*; Yuchen Xiao (J.P. Morgan Chase); Sumitra Ganesh (JPMorgan)
SigFormer: Signature Transformers for Deep Hedging	Anh Tong (KAIST)*; Thanh Nguyen-Tang (Johns Hopkins University); Dongeun Lee (Texas A&M University-Commerce); Toan M Tran (VinAI Research); Jaesik Choi (KAIST/INEEJI)
SimStock : Representation Model for Stock Similarities	Yoontae Hwang (UNIST); Junhyeong Lee (UNIST); Daham Kim (Cornell university); Seunghwan Noh (UNIST); Joohwan Hong (UNIST); Yongjae Lee (UNIST)*
TGEditor: Task-Guided Graph Editing for Augmenting Temporal Financial Transaction Networks	Shuaicheng Zhang (Virginia Tech)*; Yada Zhu (IBM Research); Dawei Zhou (Virginia Tech)
The complexity of financial wellness: examining survey patterns via kernel metric learning and clustering of mixed-type data	Jesse S Ghashti (University of British Columbia)*; John R.J. Thompson (University of British Columbia)
The Default Cascade Process in Stochastic Financial Networks	Hamed Amini (University of Florida)*; Zhongyuan Cao (INRIA Paris); Agnes Sulem (INRIA Paris)
The GANfather: Controllable generation of malicious activity to improve defence systems	Ricardo R Pereira (Feedzai)*; jacopo bono (feedzai); Pedro Bizarro (Feedzai)
The Network of Mutual Funds: A Dynamic Heterogeneous Graph Neural Network for Estimating Mutual Funds Performance	Siqi Jiang (New Jersey Institute of Technology)*; Ajim Uddin (New Jersey Institute of Technology); Zhi Wei (New Jersey Institute of Technology); Dantong Yu (New Jersey Institute of Technology)
Topological Portfolio Selection and Optimization	Yuanrong Wang (UCL)*; Antonio Briola (University College London); Tomaso Aste (Univesity College London)
Towards a Foundation Purchasing Model: Pretrained Generative Autoregression on Transaction Sequences	Piotr Skalski (Featurespace)*; David Sutton (Featurespace); Stuart Burrell (Featurespace); Iker Perez (Featurespace); Jason Wong (Featurespace)
Turbo-Charging Deep Learning Methods for Partial Differential Equations	Francois Buet-Golfouse (UCL)*; Islam Utyagulov (Independent); Parth Pahwa (Independent); Peter M Hill (Independent)
Using Generative Machine Learning for Multivariate Equity Returns	Ruslan Tepelyan (Bloomberg); Achintya Gopal (Bloomberg LP)*
Variational Inference for GARCH-family Models	Martin Magris (Aarhus university)*; Alexandros Iosifidis (Aarhus University)