Publications

2023

    2022

      2021

      1. A Framework for Institutional Risk Identification using Knowledge Graphs and Automated News Profiling
        Mahmoud Mahfouz, Armineh Nourbakhsh, and Sameena Shah
        arXiv preprint arXiv:2109.09103, 2021
      2. How Robust are Limit Order Book Representations under Data Perturbation?
        Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni, and Manuela Veloso
        arXiv preprint arXiv:2110.04752, 2021
      3. Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets
        Mahmoud Mahfouz, Tucker Balch, Manuela Veloso, and Danilo Mandic
        In Proceedings of the Second ACM International Conference on AI in Finance, 2021
      4. Towards Robust Representation of Limit Orders Books for Deep Learning Models
        Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni, and Manuela Veloso
        arXiv preprint arXiv:2110.05479, 2021

      2020

      1. Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
        Svitlana Vyetrenko, David Byrd, Nick Petosa, Mahmoud Mahfouz, Danial Dervovic, Manuela Veloso, and Tucker Balch
        In Proceedings of the First ACM International Conference on AI in Finance, 2020
      2. Generating Synthetic Data in Finance: Opportunities, Challenges and Pitfalls
        Samuel A Assefa, Danial Dervovic, Mahmoud Mahfouz, Robert E Tillman, Prashant Reddy, and Manuela Veloso
        In Proceedings of the First ACM International Conference on AI in Finance, 2020

      2019

      1. Tucker Tensor Layer in Fully Connected Neural Networks
        Giuseppe G Calvi, Ahmad Moniri, Mahmoud Mahfouz, Zeyang Yu, Qibin Zhao, and Danilo P Mandic
        arXiv preprint arXiv:1903.06133, 2019
      2. How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?
        Tucker Hybinette Balch, Mahmoud Mahfouz, Joshua Lockhart, Maria Hybinette, and David Byrd
        arXiv preprint arXiv:1906.12010, 2019
      3. On the Importance of Opponent Modeling in Auction Markets
        Mahmoud Mahfouz, Angelos Filos, Cyrine Chtourou, Joshua Lockhart, Samuel Assefa, Manuela Veloso, Danilo Mandic, and Tucker Balch
        arXiv preprint arXiv:1911.12816, 2019