Bayesian Algorithm Execution uses mutual information to infer properties of black-box functions efficiently.
problem Estimating computable properties of expensive black-box functions with limited evaluations.
method Sequentially choosing queries that maximize mutual information with respect to the algorithm's output.
result InfoBAX reduces query counts by up to 500 times compared to the original algorithm.
PS-BAX uses posterior sampling to select evaluation points for efficient Bayesian algorithm execution.
problem Efficiently selecting evaluation points for expensive functions with limited evaluations.
method Posterior sampling to guide sequential selection of evaluation points.
result PS-BAX is faster, simpler, and more scalable than existing methods.
Bayesian methods in machine learning, such as Gaussian processes, have great advantages com-pared to other techniques. In particular, they provide estimates of the uncertainty associated with a prediction. Extending the Bayesian approach to deep architectures has remained a major challenge. Recent results connected dee…
New method improves HPO interpretability without sacrificing performance.
problem Difficulty in understanding HPO algorithms due to black-box nature.
method Coupling Bayesian optimization with Bayesian Algorithm Execution.
result More reliable IML explanations without compromising optimization performance.
Bayesian network approach for efficient cooperative MARL.
problem Leveraging inter-agent coupling information for scalable MARL algorithms.
method Modeling cooperative MARL via Bayesian networks, identifying value dependency sets, proposing P-DTDE paradigm.
result P-DTDE policy gradient estimator has lower total variance than CTDE.
We propose a practical Bayesian optimization method using Gaussian process regression, of which the marginal likelihood is maximized where the number of model selection steps is guided by a pre-defined threshold. Since Bayesian optimization consumes a large portion of its execution time in finding the optimal free para…
Bayesian networks (BN) are used in a big range of applications but they have one issue concerning parameter learning. In real application, training data are always incomplete or some nodes are hidden. To deal with this problem many learning parameter algorithms are suggested foreground EM, Gibbs sampling and RBE algori…
AutoQuant addresses cryptocurrency backtesting fragility by modeling execution costs and improving strategy selection.
problem Fragile backtests of cryptocurrency perpetual futures ignoring microstructure frictions and execution costs.
method Execution-centric framework with Bayesian optimization, double screening, and strict T+1 semantics.
result Fee-only and zero-cost backtests overestimate returns, highlighting the importance of modeling execution costs.
Novel hybrid method for Bayesian network structure learning reduces computational time without sacrificing accuracy.
problem Bayesian network structure learning efficiency and accuracy trade-off.
method Partitioned PC (pPC), p-value adjacency thresholding (PATH), hybrid greedy initialization (HGI). result pHGS achieves significant computational reductions compared to the PC algorithm without sacrificing structure learning accuracy.
The aim of black-box optimization is to optimize an objective function within the constraints of a given evaluation budget. In this problem, it is generally assumed that the computational cost for evaluating a point is large; thus, it is important to search efficiently with as low budget as possible. Bayesian optimizat…
AIRBO optimizes robustly under uncertain inputs.
problem Challenges in Bayesian Optimization due to input uncertainty.
method AIRBO models arbitrary input uncertainty with MMD and accelerates posterior inference.
result AIRBO achieves state-of-the-art performance under various input uncertainties.
A novel MCMC method clusters data faster and more accurately.
problem Efficiently clustering large datasets with unknown number of clusters.
method Master/Worker architecture for distributed MCMC inference.
result Significant improvement in clustering accuracy and speed.
Paper uses DDPG to learn optimal execution strategies in dynamic markets.
problem Learning non-Markovian optimal execution strategies in dynamic financial markets.
method Introduces a novel actor-critic algorithm based on DDPG for transient price impact modeling.
result Successfully approximates optimal execution strategy through numerical experiments.
Paper proposes a new method for more accurate group testing of infected patients.
problem Identifying infected patients efficiently with reduced tests and corrected errors.
method Adaptive design of pools based on Bayesian posterior prediction using belief propagation algorithm.
result The proposed method results in more accurate identification of infected patients.
Optimized execution model using interbank and internal liquidity.
problem Minimizing market impact in trading.
method Integrates interbank limit and market orders with internal market-making liquidity.
result Reduces market impact and improves execution efficiency.
Flexible framework for optimal trading across multiple asset venues.
problem Optimal trading in assets listed on different venues considering liquidity dependencies.
method Bayesian update of model parameters, finite difference method, deep reinforcement learning.
result Adaptive trading strategies improve performance in changing market conditions.
RL optimizes trading algorithms to reduce market impact and costs.
problem Optimizing sophisticated trading algorithms to minimize market impact and costs.
method Reinforcement learning framework within a market simulator.
result RL-derived strategies consistently outperform baselines and operate near the efficient frontier.
Proposes a method to allocate time budgets in mixed criticality systems.
problem Managing execution time variability in mixed criticality systems.
method Quantifies execution time variability using statistical dispersion parameters and proposes a heuristic to allocate time budgets.
result The proposed heuristic reduces the probability of exceeding allocated budgets.
Proposes FIPO-BC for efficient online calibration of complex models.
problem Efficiently calibrating computationally expensive models with large datasets.
method Fixed inducing points online Bayesian calibration (FIPO-BC) algorithm.
result FIPO-BC is at least ten times faster than standard methods and enables online updates.
Neural execution solves complex graph problems like bipartite matching.
problem Solving complex graph algorithms like maximum bipartite matching.
method Reduces bipartite matching to a flow problem and uses Ford-Fulkerson for maximum flow.
result Neural network achieves optimal matching almost 100% of the time.
Bayesian theory explains market impact of large trades.
problem Reduction of price impact from large trades.
method Bayesian approach incorporating all trade information.
result Recovery of market impact laws including square-root and linear regimes.
Paper proposes a novel policy distillation method for better order execution in noisy markets.
problem Effective order execution in noisy and imperfect market conditions.
method Policy distillation method to guide reinforcement learning towards optimal trading strategies.
result Significant improvements over various baselines in order execution.
New method learns from subgroup feedback in complex systems.
problem Optimizing complex systems with heterogeneous components.
method Decomposed Gaussian Process (GP) regression and optimization algorithm.
result Proved lower variance and improved accuracy in subgroup feedback.
Generalist neural learner can execute multiple algorithms.
problem Building models that can execute multiple algorithms.
method Single graph neural network processor, incorporating knowledge from specialist models.
result Generalist learner can execute multiple algorithms with improved performance.
Paper tackles overfitting in RL for trade execution.
problem Overfitting in reinforcement learning methods for optimized trade execution.
method Modeling trade execution as offline RL with dynamic context (ORDC), deriving generalization bound, proposing compact context representations.
result Proposed methods effectively alleviate overfitting and improve performance.
Bayesian approach optimizes quantum circuits for noisy hardware.
problem Optimizing parameterized quantum circuits on noisy quantum hardware.
method Reformulate classical optimisation as Bayesian posterior, combining cost function and prior distribution. Apply dimension reduction and posterior sampling strategies.
result Bayesian approach generates faster, less noisy circuits than classical methods.
AutoStan improves Bayesian models via predictive feedback.
problem Improving Bayesian models written in Stan.
method Iterative improvement of Stan models using NLPD and sampler diagnostics feedback.
result AutoStan can autonomously improve diverse Bayesian models across various structures.
The emergence and development of cancer is a consequence of the accumulation over time of genomic mutations involving a specific set of genes, which provides the cancer clones with a functional selective advantage. In this work, we model the order of accumulation of such mutations during the progression, which eventual…
PolySwarm uses a swarm of LLMs to predict and arbitrage prediction markets.
problem Real-time prediction market trading and latency arbitrage inefficiencies.
method PolySwarm employs a swarm of 50 diverse LLMs, Bayesian combination, and risk-controlled execution.
result Swarm aggregation outperforms single-model baselines in prediction tasks.
We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential future steps of the chain in parallel. The approach can accelerate computation of t…
Study uses agent-based simulation to analyze impact of OBI strategy on financial markets.
problem Improving execution in markets with supply-demand imbalance.
method Built an execution algorithm that accounts for OBI, tested it in artificial markets.
result OBI strategy can improve execution, especially in volatile markets.
Uncertainty computation in deep learning is essential to design robust and reliable systems. Variational inference (VI) is a promising approach for such computation, but requires more effort to implement and execute compared to maximum-likelihood methods. In this paper, we propose new natural-gradient algorithms to red…
Quantum algorithm reduces CVA risk-neutral expectation estimation costs.
problem Reducing Monte Carlo sampling cost for CVA on real quantum hardware.
method Noise-aware quantum workflow combining market calibration, discretisation, and oracle construction.
result CABIQAE achieves lower classical post-processing runtime and more effective error exploitation.
Deep neural networks show great potential as solutions to many sensing application problems, but their excessive resource demand slows down execution time, pausing a serious impediment to deployment on low-end devices. To address this challenge, recent literature focused on compressing neural network size to improve pe…
A new Randomized-Hyperopt method improves XGBoost hyperparameter tuning.
problem Improving the performance of XGBoost through hyperparameter optimization.
method Proposes Randomized-Hyperopt for XGBoost hyperparameter tuning.
result Randomized-Hyperopt outperforms other methods in terms of accuracy and execution time.
The evaluation of machine learning (ML) pipelines is essential during automatic ML pipeline composition and optimisation. The previous methods such as Bayesian-based and genetic-based optimisation, which are implemented in Auto-Weka, Auto-sklearn and TPOT, evaluate pipelines by executing them. Therefore, the pipeline c…
TT-DAC-PS: A deterministic actor-critic approach for optimal trade execution
problem Optimal execution of large stock sell programs
method Twin-Target Deterministic Actor-Critic with Policy Smoothing
result Reduces mean implementation shortfall percentage
Fetal ECG (FECG) telemonitoring is an important branch in telemedicine. The design of a telemonitoring system via a wireless body-area network with low energy consumption for ambulatory use is highly desirable. As an emerging technique, compressed sensing (CS) shows great promise in compressing/reconstructing data with…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient price impact. Existence and uniqueness of a Nash equilibrium is established unde…
Paper optimizes broker performance by estimating execution costs.
problem Minimizing execution costs for large trades.
method Intraday modeling of execution cost components (linear and quadratic).
result Substantial improvements in estimating execution costs.
Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.
As deep learning techniques advance more than ever, hyper-parameter optimization is the new major workload in deep learning clusters. Although hyper-parameter optimization is crucial in training deep learning models for high model performance, effectively executing such a computation-heavy workload still remains a chal…
Optimizes trade execution with reinforcement learning for limit orders.
problem Maximizing revenue in a limit order book with market and limit orders.
method Formulated as a dynamic allocation task, uses multivariate logistic-normal distributions for efficient training.
result Outperforms traditional strategies in simulated environments.
AdaStop improves statistical testing for Deep RL algorithm comparisons.
problem Statistical reproducibility issues in Deep RL.
method AdaStop, a new statistical test based on multiple group sequential tests.
result AdaStop ensures theoretically sound comparisons of Deep RL algorithms.
Automates model comparison in probabilistic programming.
problem Manual derivations for model comparison are error-prone and time-consuming.
method Message passing on a Forney-style factor graph with a custom mixture node.
result Automates Bayesian model averaging, selection, and combination.
MPC framework reduces execution costs and schedule deviations in trading.
problem Executing large orders in markets under time and liquidity constraints.
method Model Predictive Control (MPC) framework balancing order completion, market impact, and opportunity cost.
result Significant reductions in slippage and schedule shortfall compared to benchmarks.
Reinforcement learning (RL) tasks are challenging to implement, execute and test due to algorithmic instability, hyper-parameter sensitivity, and heterogeneous distributed communication patterns. We argue for the separation of logical component composition, backend graph definition, and distributed execution. To this e…
Summarizes key algorithmic trading problems and recent advances.
problem Optimal execution, placement, and price impact in algorithmic trading.
method Discusses recent advances in algorithmic trading using Machine Learning techniques.
result Recent progress in algorithmic trading includes the use of Deep Learning, Reinforcement Learning, and Generative Adversarial Networks.