A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The generation of artificial data based on existing observations, known as data augmentation, is a technique used in machine learning to improve model accuracy, generalisation, and to control overfitting. Augmentor is a software package, available in both Python and Julia versions, that provides a high level API for th…
Due to the high computational demands executing a rigorous comparison between hyperparameter optimization (HPO) methods is often cumbersome. The goal of this paper is to facilitate a better empirical evaluation of HPO methods by providing benchmarks that are cheap to evaluate, but still represent realistic use cases. W…
Despite its great success, machine learning can have its limits when dealing with insufficient training data. A potential solution is the additional integration of prior knowledge into the training process which leads to the notion of informed machine learning. In this paper, we present a structured overview of various…
The explosion of digital data has created multiple opportunities for organizations and individuals to leverage machine learning (ML) to transform the way they operate. However, the shortage of experts in the field of machine learning -- data scientists -- is often a setback to the use of ML. In an attempt to alleviate …
To solve a machine learning problem, one typically needs to perform data preprocessing, modeling, and hyperparameter tuning, which is known as model selection and hyperparameter optimization.The goal of automated machine learning (AutoML) is to design methods that can automatically perform model selection and hyperpara…
Regret analysis is challenging in Multi-Agent Reinforcement Learning (MARL) primarily due to the dynamical environments and the decentralized information among agents. We attempt to solve this challenge in the context of decentralized learning in multi-agent linear-quadratic (LQ) dynamical systems. We begin with a simp…
We formulate and analyze a multi-agent model for the evolution of individual and systemic risk in which the local agents interact with each other through a central agent who, in turn, is influenced by the mean field of the local agents. The central agent is stabilized by a bistable potential, the only stabilizing force…
We present an effective technique for training deep learning agents capable of negotiating on a set of clauses in a contract agreement using a simple communication protocol. We use Multi Agent Reinforcement Learning to train both agents simultaneously as they negotiate with each other in the training environment. We al…
In mix-game which is an extension of minority game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. This paper studies the change of the average winnings of agents and volatilities vs. the change of mixture of agents in mix-game model. It finds that the correlatio…
We propose a method for modeling and learning turn-taking behaviors for accessing a shared resource. We model the individual behavior for each agent in an interaction and then use a multi-agent fusion model to generate a summary over the expected actions of the group to render the model independent of the number of age…
Reinforcement learning (RL) algorithms allow agents to learn skills and strategies to perform complex tasks without detailed instructions or expensive labelled training examples. That is, RL agents can learn, as we learn. Given the importance of learning in our intelligence, RL has been thought to be one of key compone…
Agents collaborate to reduce regret in a multi-agent linear bandit problem with side information.
problem Reducing regret in a multi-agent stochastic linear bandit with side information.
method A decentralized algorithm where agents communicate subspace indices and each plays a projected LinUCB on the corresponding low-dimensional subspace.
result Per-agent finite-time regret is much smaller when agents communicate compared to non-communicating case.
The ability of modeling the other agents, such as understanding their intentions and skills, is essential to an agent's interactions with other agents. Conventional agent modeling relies on passive observation from demonstrations. In this work, we propose an interactive agent modeling scheme enabled by encouraging an a…
The behavioral dynamics of multi-agent systems have a rich and orderly structure, which can be leveraged to understand these systems, and to improve how artificial agents learn to operate in them. Here we introduce Relational Forward Models (RFM) for multi-agent learning, networks that can learn to make accurate predic…
This paper presents an analytical treatment of economic systems with an arbitrary number of agents that keeps track of the systems' interactions and agents' complexity. This formalism does not seek to aggregate agents. It rather replaces the standard optimization approach by a probabilistic description of both the enti…
We propose a unified mechanism for achieving coordination and communication in Multi-Agent Reinforcement Learning (MARL), through rewarding agents for having causal influence over other agents' actions. Causal influence is assessed using counterfactual reasoning. At each timestep, an agent simulates alternate actions t…
A simple learning agent learns to trade in an agent-based market model.
problem Optimal execution of trades in an agent-based financial market model.
method Asynchronous trading through a matching engine, varying initial order sizes and state spaces, calibration of empirical stylized facts and price impact curves.
result Smaller state space agents converge faster in learning and can trade intuitively using spread and volume states.
This paper addresses reward estimation and incentive design for agents with hidden rewards.
problem Estimating and incentivizing agents with unknown rewards in a learning setting.
method Repeated adverse selection game with a self-interested learning agent and a learning principal. Introduces an estimator for consistent reward estimation and a data-driven incentive policy.
result Finite-sample consistency of the estimator and a rigorous regret bound for the principal.