Publications
2023
2022
2021
- A Framework for Institutional Risk Identification using Knowledge Graphs and Automated News ProfilingarXiv preprint arXiv:2109.09103, 2021
- How Robust are Limit Order Book Representations under Data Perturbation?arXiv preprint arXiv:2110.04752, 2021
- Learning to Classify and Imitate Trading Agents in Continuous Double Auction MarketsIn Proceedings of the Second ACM International Conference on AI in Finance, 2021
- Towards Robust Representation of Limit Orders Books for Deep Learning ModelsarXiv preprint arXiv:2110.05479, 2021
2020
- Get Real: Realism Metrics for Robust Limit Order Book Market SimulationsIn Proceedings of the First ACM International Conference on AI in Finance, 2020
- Generating Synthetic Data in Finance: Opportunities, Challenges and PitfallsIn Proceedings of the First ACM International Conference on AI in Finance, 2020
2019
- Tucker Tensor Layer in Fully Connected Neural NetworksarXiv preprint arXiv:1903.06133, 2019
- How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?arXiv preprint arXiv:1906.12010, 2019
- On the Importance of Opponent Modeling in Auction MarketsarXiv preprint arXiv:1911.12816, 2019