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1st ICAIF 2020: New York, NY, USA
- Tucker Balch:
ICAIF '20: The First ACM International Conference on AI in Finance, New York, NY, USA, October 15-16, 2020. ACM 2020, ISBN 978-1-4503-7584-9
Simulated markets
- Isao Yagi, Mahiro Hoshino, Takanobu Mizuta:
Analysis of the impact of maker-taker fees on the stock market using agent-based simulation. 1:1-1:6 - Svitlana Vyetrenko, David Byrd, Nick Petosa, Mahmoud Mahfouz, Danial Dervovic, Manuela Veloso, Tucker Balch:
Get real: realism metrics for robust limit order book market simulations. 2:1-2:8 - Daniel Borrajo, Manuela Veloso, Sameena Shah:
Simulating and classifying behavior in adversarial environments based on action-state traces: an application to money laundering. 3:1-3:8
Forecasting financial data
- Diego Klabjan, Mark Harmon:
Dynamic prediction length for time series with sequence to sequence network. 4:1-4:9 - Antony Papadimitriou, Urjitkumar Patel, Lisa Kim, Grace Bang, Azadeh Nematzadeh, Xiaomo Liu:
A multi-faceted approach to large scale financial forecasting. 5:1-5:8 - Luca Sabbioni, Marcello Restelli
, Andrea Prampolini:
Fast direct calibration of interest rate derivatives pricing models. 6:1-6:8 - Imanol Pérez Arribas, Cristopher Salvi, Lukasz Szpruch:
Sig-SDEs model for quantitative finance. 7:1-7:8 - Youngjin Park, Deokjun Eom, Byoungki Seo, Jaesik Choi
Improved predictive deep temporal neural networks with trend filtering. 8:1-8:8 - Hanwei Wu, Ather Gattami, Markus Flierl
Conditional mutual information-based contrastive loss for financial time series forecasting. 9:1-9:7 - Jie Yuan
Connecting the dots: forecasting and explaining short-term market volatility. 10:1-10:8
AI and investing
- Edoardo Vittori
Dealing with transaction costs in portfolio optimization: online gradient descent with momentum. 11:1-11:8 - Yu Zheng, Yunpeng Li, Qiuhua Xu, Timothy M. Hospedales, Yongxin Yang:
Index tracking with differentiate asset selection. 12:1-12:8 - Dhagash Mehta, Dhruv Desai, Jithin Pradeep:
Machine learning fund categorizations. 13:1-13:8 - Adriano S. Koshiyama, Nick Firoozye
Algorithms in future capital markets: a survey on AI, ML and associated algorithms in capital markets. 14:1-14:8
Cryptography in finance
- Tucker Balch, Benjamin E. Diamond, Antigoni Polychroniadou:
SecretMatch: inventory matching from fully homomorphic encryption. 15:1-15:7 - David Byrd, Antigoni Polychroniadou:
Differentially private secure multi-party computation for federated learning in financial applications. 16:1-16:9 - Leo de Castro, Jiahao Chen, Antigoni Polychroniadou:
CryptoCredit: securely training fair models. 17:1-17:8
Graphical models in finance
- Yulong Pei, Fang Lyu, Werner van Ipenburg, Mykola Pechenizkiy:
Subgraph anomaly detection in financial transaction networks. 18:1-18:8 - Ni Zhan, Yijia Sun, Aman Jakhar, He Liu:
Graphical models for financial time series and portfolio selection. 19:1-19:6 - Robert E. Tillman, Prashant P. Reddy, Manuela Veloso:
Recommending missing and suspicious links in multiplex financial networks. 20:1-20:8 - Antonia Gogoglou, Brian Nguyen, Alan Salimov, Jonathan B. Rider, C. Bayan Bruss:
Navigating the dynamics of financial embeddings over time. 21:1-21:8
Combatting financial crime
- Christos Kleanthous, Theodoros Christophides, Sotirios Chatzis:
Power-law mixtures of bayesian forests for value added tax audit case selection. 22:1-22:8 - Joana Lorenz, Maria Inês Silva, David Aparício, João Tiago Ascensão, Pedro Bizarro:
Machine learning methods to detect money laundering in the bitcoin blockchain in the presence of label scarcity. 23:1-23:8 - Hongda Shen, Eren Kurshan:
Deep Q-network-based adaptive alert threshold selection policy for payment fraud systems in retail banking. 24:1-24:7 - Xintong Wang, Christopher Hoang, Michael P. Wellman
Learning-based trading strategies in the face of market manipulation. 25:1-25:8
Risk-averse learning / predicting behavior
- Lorenzo Bisi, Pierre Liotet, Luca Sabbioni, Gianmarco Reho, Nico Montali, Marcello Restelli
Foreign exchange trading: a risk-averse batch reinforcement learning approach. 26:1-26:8 - Edoardo Vittori
Option hedging with risk averse reinforcement learning. 27:1-27:8 - Nelson Vadori, Sumitra Ganesh, Prashant P. Reddy, Manuela Veloso:
Risk-sensitive reinforcement learning: a martingale approach to reward uncertainty. 28:1-28:9 - Yusen Lin, Jinming Xue, Louiqa Raschid:
Predicting the behavior of dealers in over-the-counter corporate bond markets. 29:1-29:3
Learning trading strategies
- Michäel Karpe, Jin Fang, Zhongyao Ma, Chen Wang
Multi-agent reinforcement learning in a realistic limit order book market simulation. 30:1-30:7 - Hongyang Yang, Xiao-Yang Liu, Shan Zhong, Anwar Walid:
Deep reinforcement learning for automated stock trading: an ensemble strategy. 31:1-31:8 - Renato Arantes de Oliveira
A tabular sarsa-based stock market agent. 32:1-32:8 - Peter Akioyamen, Yi Zhou Tang, Hussien Hussien:
A hybrid learning approach to detecting regime switches in financial markets. 33:1-33:7
People and finance
- Neeti Pokhriyal, Abenezer Dara, Benjamin Valentino, Soroush Vosoughi:
Social media data reveals signal for public consumer perceptions. 34:1-34:8 - Naftali Cohen, Simran Lamba, Prashant Reddy:
What can be learned from satisfaction assessments? 35:1-35:8 - Ghazal Fazelnia, Mark Ibrahim, Ceena Modarres, Kevin Wu, John W. Paisley:
Mixed membership recurrent neural networks for modeling customer purchases. 36:1-36:8 - Joshua Lockhart, Samuel Assefa, Ayham Alajdad, Andrew Alexander, Tucker Balch, Manuela Veloso:
SURF: improving classifiers in production by learning from busy and noisy end users. 37:1-37:8
News and markets
- Zhiqiang Ma, Chong Wang, Grace Bang, Xiaomo Liu:
Utilization of deep learning to mine insights from earning calls for stock price movement predictions. 38:1-38:8 - Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky:
Choosing news topics to explain stock market returns. 39:1-39:8 - Yukari Shirota, Kenji Yamaguchi, Akane Murakami, Michiya Morita:
An analysis of political turmoil effects on stock prices: a case study of US-China trade friction. 40:1-40:7 - Qian Chen, Xiao-Yang Liu:
Quantifying ESG alpha using scholar big data: an automated machine learning approach. 41:1-41:8
Data and finance
- Shumin Ma, Cheuk Hang Leung, Qi Wu, Wei Liu, Nanbo Peng:
Understanding distributional ambiguity via non-robust chance constraint. 42:1-42:8 - Jiahao Chen, Manuela Veloso:
Paying down metadata debt: learning the representation of concepts using topic models. 43:1-43:8 - Samuel A. Assefa, Danial Dervovic, Mahmoud Mahfouz, Robert E. Tillman, Prashant Reddy, Manuela Veloso:
Generating synthetic data in finance: opportunities, challenges and pitfalls. 44:1-44:8 - Marco Schreyer
Learning sampling in financial statement audits using vector quantised variational autoencoder neural networks. 45:1-45:8
AI for fairness and compliance
- Peter A. Chew:
Unsupervised-learning financial reconciliation: a robust, accurate approach inspired by machine translation. 46:1-46:12 - Enguerrand Horel, Kay Giesecke, Victor Storchan, Naren Chittar:
Explainable clustering and application to wealth management compliance. 47:1-47:6 - Emily Diana, Michael Kearns, Seth Neel, Aaron Roth
Optimal, truthful, and private securities lending. 48:1-48:8 - Eren Kurshan, Hongda Shen, Jiahao Chen:
Towards self-regulating AI: challenges and opportunities of AI model governance in financial services. 49:1-49:8
Computer vision and finance
- Zheng Gong, Carmine Ventre
Classifying high-frequency FX rate movements with technical indicators and inception model. 50:1-50:8 - William Watson
Financial table extraction in image documents. 51:1-51:8 - Jie Yuan
Market volatility prediction based on long- and short-term memory retrieval architectures. 52:1-52:8 - Naftali Cohen, Tucker Balch, Manuela Veloso:
Trading via image classification. 53:1-53:6
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