18 papers
Deep Reinforcement Learning for Optimal Portfolio Allocation: A Comparative Study with Mean-Variance Optimization
Srijan Sood, Kassiani Papasotiriou, Marius Vaiciulis +1
Portfolio Management is the process of overseeing a group of investments, referred to as a portfolio, with the objective of achieving predetermined investment goals. Portfolio opti…
The Agentic Regulator: Risks for AI in Finance and a Proposed Agent-based Framework for Governance
Eren Kurshan, Tucker Balch, David Byrd
Generative and agentic artificial intelligence is entering financial markets faster than existing governance can adapt. Current model-risk frameworks assume static, well-specified…
Is All the Information in the Price? LLM Embeddings versus the EMH in Stock Clustering
Bingyang Wang, Grant Johnson, Maria Hybinette +1
This paper investigates whether artificial intelligence can enhance stock clustering compared to traditional methods. We consider this in the context of the semi-strong Efficient M…
ABIDES-Economist: Agent-Based Simulator of Economic Systems with Learning Agents
Kshama Dwarakanath, Tucker Balch, Svitlana Vyetrenko
We present ABIDES-Economist, an agent-based simulator for economic systems that includes heterogeneous households, firms, a central bank, and a government. Agent behavior can be de…
Variational Neural Stochastic Differential Equations with Change Points
Yousef El-Laham, Zhongchang Sun, Haibei Zhu +2
In this work, we explore modeling change points in time-series data using neural stochastic differential equations (neural SDEs). We propose a novel model formulation and training…
Distributionally and Adversarially Robust Logistic Regression via Intersecting Wasserstein Balls
Aras Selvi, Eleonora Kreacic, Mohsen Ghassemi +3
Adversarially robust optimization (ARO) has emerged as the *de facto* standard for training models that hedge against adversarial attacks in the test stage. While these models are…