35 citations · 225 across the 65 of their papers we have counts for
7 papers · 1 filter
Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
Svitlana Vyetrenko, David Byrd, Nick Petosa +4
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important…
On the Importance of Opponent Modeling in Auction Markets
Mahmoud Mahfouz, Angelos Filos, Cyrine Chtourou +5
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. D…
Intra-day Equity Price Prediction using Deep Learning as a Measure of Market Efficiency
David Byrd, Tucker Hybinette Balch
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show tha…
The Effect of Visual Design in Image Classification
Naftali Cohen, Tucker Balch, Manuela Veloso
Financial companies continuously analyze the state of the markets to rethink and adjust their investment strategies. While the analysis is done on the digital form of data, decisio…
Trading via Image Classification
Naftali Cohen, Tucker Balch, Manuela Veloso
The art of systematic financial trading evolved with an array of approaches, ranging from simple strategies to complex algorithms all relying, primary, on aspects of time-series an…
How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?
Tucker Hybinette Balch, Mahmoud Mahfouz, Joshua Lockhart +2
We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Ou…
ABIDES: Towards High-Fidelity Market Simulation for AI Research
David Byrd, Maria Hybinette, Tucker Hybinette Balch
We introduce ABIDES, an Agent-Based Interactive Discrete Event Simulation environment. ABIDES is designed from the ground up to support AI agent research in market applications. Wh…