249 citations · 586 across the 43 of their papers we have counts for
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LOBERT: Generative AI Foundation Model for Limit Order Book Messages
Eljas Linna, Kestutis Baltakys, Alexandros Iosifidis +1
Modeling the dynamics of financial Limit Order Books (LOB) at the message level is challenging due to irregular event timing, rapid regime shifts, and the reactions of high-frequen…
Prospects of Imitating Trading Agents in the Stock Market
Mateusz Wilinski, Juho Kanniainen
In this work we show how generative tools, which were successfully applied to limit order book data, can be utilized for the task of imitating trading agents. To this end, we propo…
Agent-based model of information diffusion in the limit order book trading
Mateusz Wilinski, Juho Kanniainen
There are multiple explanations for stylized facts in high-frequency trading, including adaptive and informed agents, many of which have been studied through agent-based models. Th…
Variational Graph Convolutional Neural Networks
Illia Oleksiienko, Juho Kanniainen, Alexandros Iosifidis
Estimation of model uncertainty can help improve the explainability of Graph Convolutional Networks and the accuracy of the models at the same time. Uncertainty can also be used in…
Classifying and Clustering Trading Agents
Mateusz Wilinski, Anubha Goel, Alexandros Iosifidis +1
The rapid development of sophisticated machine learning methods, together with the increased availability of financial data, has the potential to transform financial research, but…
Foundation Time-Series AI Model for Realized Volatility Forecasting
Anubha Goel, Puneet Pasricha, Martin Magris +1
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be…
Learning hidden cascades via classification
Derrick Gilchrist Edward Manoharan, Anubha Goel, Alexandros Iosifidis +2
The spreading dynamics in social networks are often studied under the assumption that individuals' statuses, whether informed or infected, are fully observable. However, in many re…