21 citations · 46 across the 9 of their papers we have counts for
9 papers
Capacity Planning and Scheduling for Jobs with Uncertainty in Resource Usage and Duration
Sunandita Patra, Mehtab Pathan, Mahmoud Mahfouz +4
Organizations around the world schedule jobs (programs) regularly to perform various tasks dictated by their end users. With the major movement towards using a cloud computing infr…
Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets
Mahmoud Mahfouz, Tucker Balch, Manuela Veloso +1
Continuous double auctions such as the limit order book employed by exchanges are widely used in practice to match buyers and sellers of a variety of financial instruments. In this…
How Robust are Limit Order Book Representations under Data Perturbation?
Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni +1
The success of machine learning models in the financial domain is highly reliant on the quality of the data representation. In this paper, we focus on the representation of limit o…
Towards Robust Representation of Limit Orders Books for Deep Learning Models
Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni +1
The success of deep learning-based limit order book forecasting models is highly dependent on the quality and the robustness of the input data representation. A significant body of…
A Framework for Institutional Risk Identification using Knowledge Graphs and Automated News Profiling
Mahmoud Mahfouz, Armineh Nourbakhsh, Sameena Shah
Organizations around the world face an array of risks impacting their operations globally. It is imperative to have a robust risk identification process to detect and evaluate the…
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…
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…
Compression and Interpretability of Deep Neural Networks via Tucker Tensor Layer: From First Principles to Tensor Valued Back-Propagation
Giuseppe G. Calvi, Ahmad Moniri, Mahmoud Mahfouz +2
This work aims to help resolve the two main stumbling blocks in the application of Deep Neural Networks (DNNs), that is, the exceedingly large number of trainable parameters and th…