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@inproceedings{DBLP:conf/icaif/0001MI23,
author = {Masanori Hirano and
Kentaro Minami and
Kentaro Imajo},
title = {Adversarial Deep Hedging: Learning to Hedge without Price Process
Modeling},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {19--26},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626846},
doi = {10.1145/3604237.3626846},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/0001MI23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AminiCS23,
author = {Hamed Amini and
Zhongyuan Cao and
Agn{\`{e}}s Sulem},
title = {The Default Cascade Process in Stochastic Financial Networks},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {227--234},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626845},
doi = {10.1145/3604237.3626845},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/AminiCS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BamfordCFGVBV23,
author = {Tom Bamford and
Andrea Coletta and
Elizabeth Fons and
Sriram Gopalakrishnan and
Svitlana Vyetrenko and
Tucker Balch and
Manuela Veloso},
title = {Multi-Modal Financial Time-Series Retrieval Through Latent Space Projections},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {498--506},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626901},
doi = {10.1145/3604237.3626901},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/BamfordCFGVBV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BonoEA0A0B23,
author = {Jacopo Bono and
Ahmad Naser Eddin and
David Apar{\'{\i}}cio and
Hugo Ferreira and
Jo{\~{a}}o Tiago Ascens{\~{a}}o and
Pedro Ribeiro and
Pedro Bizarro},
title = {From random-walks to graph-sprints: a low-latency node embedding framework
on continuous-time dynamic graphs},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {176--184},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626842},
doi = {10.1145/3604237.3626842},
timestamp = {Mon, 27 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/BonoEA0A0B23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Buet-GolfouseM23,
author = {Francois Buet{-}Golfouse and
Nicholas William David Martin},
title = {Lifting Volterra Diffusions via Kernel Decomposition},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {481--489},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626914},
doi = {10.1145/3604237.3626914},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/Buet-GolfouseM23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Buet-GolfouseUP23,
author = {Francois Buet{-}Golfouse and
Islam Utyagulov and
Parth Pahwa and
Peter Hill},
title = {Turbo-Charging Deep Learning Methods for Partial Differential Equations},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {150--158},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626900},
doi = {10.1145/3604237.3626900},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/Buet-GolfouseUP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/CaoCMAF23,
author = {Zhiyu Cao and
Zihan Chen and
Prerna Mishra and
Hamed Amini and
Zachary Feinstein},
title = {Modeling Inverse Demand Function with Explainable Dual Neural Networks},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {108--115},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626887},
doi = {10.1145/3604237.3626887},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/CaoCMAF23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/CaoZHLLL23,
author = {Defu Cao and
Yixiang Zheng and
Parisa Hassanzadeh and
Simran Lamba and
Xiaomo Liu and
Yan Liu},
title = {Large Scale Financial Time Series Forecasting with Multi-faceted Model},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {472--480},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626868},
doi = {10.1145/3604237.3626868},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/CaoZHLLL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChenBZM23,
author = {Wenyu Chen and
Riade Benbaki and
Yada Zhu and
Rahul Mazumder},
title = {Dynamic Covariance Estimation under Structural Assumptions via a Joint
Optimization Approach},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {445--453},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626885},
doi = {10.1145/3604237.3626885},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ChenBZM23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChungT23,
author = {Andy Chung and
Kumiko Tanaka{-}Ishii},
title = {Predictability of Post-Earnings Announcement Drift with Textual and
Contextual Factors of Earnings Calls},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {401--408},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626861},
doi = {10.1145/3604237.3626861},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ChungT23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChungT23a,
author = {Andy Chung and
Kumiko Tanaka{-}Ishii},
title = {Modeling Momentum Spillover with Economic Links Discovered from Financial
Documents},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {490--497},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626862},
doi = {10.1145/3604237.3626862},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ChungT23a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ColettaJSV23,
author = {Andrea Coletta and
Joseph Jerome and
Rahul Savani and
Svitlana Vyetrenko},
title = {Conditional Generators for Limit Order Book Environments: Explainability,
Challenges, and Robustness},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {27--35},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626854},
doi = {10.1145/3604237.3626854},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ColettaJSV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DalmassoZGPBV23,
author = {Niccol{\`{o}} Dalmasso and
Renbo Zhao and
Mohsen Ghassemi and
Vamsi K. Potluru and
Tucker Balch and
Manuela Veloso},
title = {Efficient Event Series Data Modeling via First-Order Constrained Optimization},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {463--471},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626893},
doi = {10.1145/3604237.3626893},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DalmassoZGPBV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DaluisoPTV23,
author = {Roberto Daluiso and
Marco Pinciroli and
Michele Trapletti and
Edoardo Vittori},
title = {{CVA} Hedging with Reinforcement Learning},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {261--269},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626852},
doi = {10.1145/3604237.3626852},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DaluisoPTV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DesaiDSSMP23,
author = {Dhruv Desai and
Ashmita Dhiman and
Tushar Sharma and
Deepika Sharma and
Dhagash Mehta and
Stefano Pasquali},
title = {Quantifying Outlierness of Funds from their Categories using Supervised
Similarity},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {655--663},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626878},
doi = {10.1145/3604237.3626878},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DesaiDSSMP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DingSKBA23,
author = {Xueying Ding and
Nikita Seleznev and
Senthil Kumar and
C. Bayan Bruss and
Leman Akoglu},
title = {From Detection to Action: a Human-in-the-loop Toolkit for Anomaly
Reasoning and Management},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {279--287},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626872},
doi = {10.1145/3604237.3626872},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DingSKBA23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DjangaCZ23,
author = {Emmanuel Djanga and
Mihai Cucuringu and
Chao Zhang},
title = {Cryptocurrency volatility forecasting using commonality in intraday
volatility},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {436--444},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626912},
doi = {10.1145/3604237.3626912},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DjangaCZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DuMT23,
author = {Xin Du and
Kai Moriyama and
Kumiko Tanaka{-}Ishii},
title = {Co-Training Realized Volatility Prediction Model with Neural Distributional
Transformation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {418--426},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626870},
doi = {10.1145/3604237.3626870},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DuMT23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DyerQCFCW23,
author = {Joel Dyer and
Arnau Quera{-}Bofarull and
Ayush Chopra and
J. Doyne Farmer and
Anisoara Calinescu and
Michael J. Wooldridge},
title = {Gradient-Assisted Calibration for Financial Agent-Based Models},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {288--296},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626857},
doi = {10.1145/3604237.3626857},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/DyerQCFCW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FooLP23,
author = {Marcus Jun Rong Foo and
Nixie S. Lesmana and
Chi Seng Pun},
title = {{DRL} Trading with {CPT} Actor and Truncated Quantile Critics},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {574--582},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626886},
doi = {10.1145/3604237.3626886},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/FooLP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FreyLNS0ZFC23,
author = {Sascha Yves Frey and
Kang Li and
Peer Nagy and
Silvia Sapora and
Christopher Lu and
Stefan Zohren and
Jakob N. Foerster and
Anisoara Calinescu},
title = {{JAX-LOB:} {A} GPU-Accelerated limit order book simulator to unlock
large scale reinforcement learning for trading},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {583--591},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626880},
doi = {10.1145/3604237.3626880},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/FreyLNS0ZFC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GaoWVSLG23,
author = {Kang Gao and
Stephen Weston and
Perukrishnen Vytelingum and
Namid R. Stillman and
Wayne Luk and
Ce Guo},
title = {Deeper Hedging: {A} New Agent-based Model for Effective Deep Hedging},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {270--278},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626913},
doi = {10.1145/3604237.3626913},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GaoWVSLG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GhashtiT23,
author = {Jesse S. Ghashti and
John R. J. Thompson},
title = {The complexity of financial wellness: examining survey patterns via
kernel metric learning and clustering of mixed-type data},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {314--322},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626849},
doi = {10.1145/3604237.3626849},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GhashtiT23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GhoshABC23,
author = {Soumava Ghosh and
Ravi Anand and
Tanmoy Bhowmik and
Siddhanth Chandrashekhar},
title = {GoSage: Heterogeneous Graph Neural Network Using Hierarchical Attention
for Collusion Fraud Detection},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {185--192},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626856},
doi = {10.1145/3604237.3626856},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GhoshABC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GlielmoFCG23,
author = {Aldo Glielmo and
Marco Favorito and
Debmallya Chanda and
Domenico Delli Gatti},
title = {Reinforcement Learning for Combining Search Methods in the Calibration
of Economic ABMs},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {305--313},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626889},
doi = {10.1145/3604237.3626889},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GlielmoFCG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GossiCKBH23,
author = {Sandro G{\"{o}}ssi and
Ziwei Chen and
Wonseong Kim and
Bernhard Bermeitinger and
Siegfried Handschuh},
title = {FinBERT-FOMC: Fine-Tuned FinBERT Model with Sentiment Focus Method
for Enhancing Sentiment Analysis of {FOMC} Minutes},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {357--364},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626843},
doi = {10.1145/3604237.3626843},
timestamp = {Mon, 27 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GossiCKBH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GuDR023,
author = {Jingyi Gu and
Wenlu Du and
A M. Muntasir Rahman and
Guiling Wang},
title = {Margin Trader: {A} Reinforcement Learning Framework for Portfolio
Management with Margin and Constraints},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {610--618},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626906},
doi = {10.1145/3604237.3626906},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GuDR023.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HamadNOP23,
author = {Fadi Hamad and
Shinpei Nakamura{-}Sakai and
Saheed Obitayo and
Vamsi K. Potluru},
title = {A supervised generative optimization approach for tabular data},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {10--18},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626907},
doi = {10.1145/3604237.3626907},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/HamadNOP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HassanzadehKZXG23,
author = {Parisa Hassanzadeh and
Eleonora Kreacic and
Sihan Zeng and
Yuchen Xiao and
Sumitra Ganesh},
title = {Sequential Fair Resource Allocation under a Markov Decision Process
Framework},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {673--680},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626860},
doi = {10.1145/3604237.3626860},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/HassanzadehKZXG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HernandezC23,
author = {David Ricardo Montalvan Hernandez and
Cassio de Campos},
title = {Portfolio Optimization via Credal Probabilistic Circuits},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {646--654},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626853},
doi = {10.1145/3604237.3626853},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/HernandezC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HwangLKNHL23,
author = {Yoontae Hwang and
Junhyeong Lee and
Daham Kim and
Seunghwan Noh and
Joohwan Hong and
Yongjae Lee},
title = {SimStock : Representation Model for Stock Similarities},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {533--540},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626888},
doi = {10.1145/3604237.3626888},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/HwangLKNHL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/IbrahimTM23,
author = {Shibal Ibrahim and
Max Tell and
Rahul Mazumder},
title = {Dyn-GWN: Time-Series Forecasting using Time-varying Graphs with Applications
to Finance and Traffic Prediction},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {167--175},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626864},
doi = {10.1145/3604237.3626864},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/IbrahimTM23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/JeromeSSH23,
author = {Joseph Jerome and
Leandro S{\'{a}}nchez{-}Betancourt and
Rahul Savani and
Martin Herdegen},
title = {Mbt-gym: Reinforcement learning for model-based limit order book trading},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {619--627},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626873},
doi = {10.1145/3604237.3626873},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/JeromeSSH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/JiangUWY23,
author = {Siqi Jiang and
Ajim Uddin and
Zhi Wei and
Dantong Yu},
title = {The Network of Mutual Funds: {A} Dynamic Heterogeneous Graph Neural
Network for Estimating Mutual Funds Performance},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {235--243},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626910},
doi = {10.1145/3604237.3626910},
timestamp = {Mon, 11 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/JiangUWY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/JinCC23,
author = {Qi Jin and
Mihai Cucuringu and
{\'{A}}lvaro Cartea},
title = {Correlation Matrix Clustering for Statistical Arbitrage Portfolios},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {557--564},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626894},
doi = {10.1145/3604237.3626894},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/JinCC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KimHL23,
author = {Seyoung Kim and
Joohwan Hong and
Yongjae Lee},
title = {A GANs-Based Approach for Stock Price Anomaly Detection and Investment
Risk Management},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {1--9},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626892},
doi = {10.1145/3604237.3626892},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/KimHL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KimKKPKKSHL23,
author = {Seonmi Kim and
Seyoung Kim and
Yejin Kim and
Junpyo Park and
Seongjin Kim and
Moolkyeol Kim and
Chang Hwan Sung and
Joohwan Hong and
Yongjae Lee},
title = {LLMs Analyzing the Analysts: Do {BERT} and {GPT} Extract More Value
from Financial Analyst Reports?},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {383--391},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3627721},
doi = {10.1145/3604237.3627721},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KimKKPKKSHL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LakkarajuJVPMS23,
author = {Kausik Lakkaraju and
Sara E. Jones and
Sai Krishna Revanth Vuruma and
Vishal Pallagani and
Bharath C. Muppasani and
Biplav Srivastava},
title = {LLMs for Financial Advisement: {A} Fairness and Efficacy Study in
Personal Decision Making},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {100--107},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626867},
doi = {10.1145/3604237.3626867},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/LakkarajuJVPMS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiPV23,
author = {Haochen Li and
Maria Polukarov and
Carmine Ventre},
title = {Detecting Financial Market Manipulation with Statistical Physics Tools},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {1},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626871},
doi = {10.1145/3604237.3626871},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/LiPV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiWDC23,
author = {Yinheng Li and
Shaofei Wang and
Han Ding and
Hang Chen},
title = {Large Language Models in Finance: {A} Survey},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {374--382},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626869},
doi = {10.1145/3604237.3626869},
timestamp = {Sun, 21 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/LiWDC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LoukasSDMV23,
author = {Lefteris Loukas and
Ilias Stogiannidis and
Odysseas Diamantopoulos and
Prodromos Malakasiotis and
Stavros Vassos},
title = {Making LLMs Worth Every Penny: Resource-Limited Text Classification
in Banking},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {392--400},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626891},
doi = {10.1145/3604237.3626891},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/LoukasSDMV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MagrisI23,
author = {Martin Magris and
Alexandros Iosifidis},
title = {Variational Inference for GARCH-family Models},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {541--548},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626863},
doi = {10.1145/3604237.3626863},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/MagrisI23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MasiPCBV23,
author = {Giuseppe Masi and
Matteo Prata and
Michele Conti and
Novella Bartolini and
Svitlana Vyetrenko},
title = {On Correlated Stock Market Time Series Generation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {524--532},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626895},
doi = {10.1145/3604237.3626895},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/MasiPCBV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/NabarS23,
author = {Omkar Nabar and
Gautam Shroff},
title = {Conservative Predictions on Noisy Financial Data},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {427--435},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626859},
doi = {10.1145/3604237.3626859},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/NabarS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/NagyFSLCZF23,
author = {Peer Nagy and
Sascha Frey and
Silvia Sapora and
Kang Li and
Anisoara Calinescu and
Stefan Zohren and
Jakob N. Foerster},
title = {Generative {AI} for End-to-End Limit Order Book Modelling: {A} Token-Level
Autoregressive Generative Model of Message Flow Using a Deep State
Space Network},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {91--99},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626898},
doi = {10.1145/3604237.3626898},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/NagyFSLCZF23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/NathWTKA23,
author = {Pritam Kumar Nath and
Govind Waghmare and
Nikhil Tumbde and
Nitish Kumar and
Siddhartha Asthana},
title = {Learning Temporal Representations of Bipartite Financial Graphs},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {202--209},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626911},
doi = {10.1145/3604237.3626911},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/NathWTKA23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PandeyCBBS23,
author = {Anubha Pandey and
Himanshu Chaudhary and
Alekhya Bhatraju and
Deepak Bhatt and
Maneet Singh},
title = {Improving the Robustness of Financial Models through Identification
of the Minimal Vulnerable Feature Set},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {297--304},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626890},
doi = {10.1145/3604237.3626890},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/PandeyCBBS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PereiraBAA0B23,
author = {Ricardo Ribeiro Pereira and
Jacopo Bono and
Jo{\~{a}}o Tiago Ascens{\~{a}}o and
David Apar{\'{\i}}cio and
Pedro Ribeiro and
Pedro Bizarro},
title = {The GANfather: Controllable generation of malicious activity to improve
defence systems},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {133--140},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626882},
doi = {10.1145/3604237.3626882},
timestamp = {Mon, 27 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/PereiraBAA0B23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PrasadAMBLMXMR23,
author = {Abhinav Prasad and
Prakash Arunachalam and
Ali Motamedi and
Ranjeeta Bhattacharya and
Beibei Liu and
Hays McCormick and
Shengzhe Xu and
Nikhil Muralidhar and
Naren Ramakrishnan},
title = {ML-Assisted Optimization of Securities Lending},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {628--636},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626877},
doi = {10.1145/3604237.3626877},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/PrasadAMBLMXMR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/RamirezPSLC23,
author = {Domingo Ram{\'{\i}}rez and
Jos{\'{e}}{-}Manuel Pe{\~{n}}a and
Fernando Su{\'{a}}rez and
Omar Larr{\'{e}} and
Arturo Cifuentes},
title = {A Machine Learning Plus-Features Based Approach for Optimal Asset
Allocation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {549--556},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626865},
doi = {10.1145/3604237.3626865},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/RamirezPSLC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Ruan23,
author = {Ruihua Ruan},
title = {Liquidity takers behavior representation through a contrastive learning
approach},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {601--609},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626851},
doi = {10.1145/3604237.3626851},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/Ruan23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SattarovSB23,
author = {Timur Sattarov and
Marco Schreyer and
Damian Borth},
title = {FinDiff: Diffusion Models for Financial Tabular Data Generation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {64--72},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626876},
doi = {10.1145/3604237.3626876},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SattarovSB23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SeyhanS23,
author = {Betul Seyhan and
Emre Sefer},
title = {{NFT} Primary Sale Price and Secondary Sale Prediction via Deep Learning},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {116--123},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626896},
doi = {10.1145/3604237.3626896},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SeyhanS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ShearerRW23,
author = {Megan Shearer and
Gabriel Rauterberg and
Michael P. Wellman},
title = {Learning to Manipulate a Financial Benchmark},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {592--600},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626847},
doi = {10.1145/3604237.3626847},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ShearerRW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ShiCC23,
author = {Danni Shi and
Jan{-}Peter Calliess and
Mihai Cucuringu},
title = {Multireference Alignment for Lead-Lag Detection in Multivariate Time
Series and Equity Trading},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {507--515},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626879},
doi = {10.1145/3604237.3626879},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ShiCC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SitaruCC23,
author = {Bogdan Sitaru and
Anisoara Calinescu and
Mihai Cucuringu},
title = {Order Flow Decomposition for Price Impact Analysis in Equity Limit
Order Books},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {637--645},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626874},
doi = {10.1145/3604237.3626874},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SitaruCC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SkalskiSBPW23,
author = {Piotr Skalski and
David Sutton and
Stuart Burrell and
Iker Perez and
Jason Wong},
title = {Towards a Foundation Purchasing Model: Pretrained Generative Autoregression
on Transaction Sequences},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {141--149},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626850},
doi = {10.1145/3604237.3626850},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SkalskiSBPW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/StillmanBLZZCV23,
author = {Namid R. Stillman and
Rory Baggott and
Justin Lyon and
Jianfei Zhang and
Dingqiu Zhu and
Tao Chen and
Perukrishnen Vytelingum},
title = {Deep Calibration of Market Simulations using Neural Density Estimators
and Embedding Networks},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {46--54},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626881},
doi = {10.1145/3604237.3626881},
timestamp = {Sat, 03 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/StillmanBLZZCV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SunDCP23,
author = {He Sun and
Zhun Deng and
Hui Chen and
David C. Parkes},
title = {Decision-Aware Conditional GANs for Time Series Data},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {36--45},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626855},
doi = {10.1145/3604237.3626855},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SunDCP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TeixeiraMYPG23,
author = {Ana Clara Teixeira and
Vaishali Marar and
Hamed Yazdanpanah and
Aline Pezente and
Mohammad Ghassemi},
title = {Enhancing Credit Risk Reports Generation using LLMs: An Integration
of Bayesian Networks and Labeled Guide Prompting},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {340--348},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626902},
doi = {10.1145/3604237.3626902},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/TeixeiraMYPG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TeixeiraYPG23,
author = {Ana Clara Teixeira and
Hamed Yazdanpanah and
Aline Pezente and
Mohammad Ghassemi},
title = {Bayesian Networks Improve Out-of-Distribution Calibration for Agribusiness
Delinquency Risk Assessment},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {244--252},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626897},
doi = {10.1145/3604237.3626897},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/TeixeiraYPG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TepelyanG23,
author = {Ruslan Tepelyan and
Achintya Gopal},
title = {Generative Machine Learning for Multivariate Equity Returns},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {159--166},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626884},
doi = {10.1145/3604237.3626884},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/TepelyanG23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TongN0TC23,
author = {Anh Tong and
Thanh Nguyen{-}Tang and
Dongeun Lee and
Toan M. Tran and
Jaesik Choi},
title = {SigFormer: Signature Transformers for Deep Hedging},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {124--132},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626841},
doi = {10.1145/3604237.3626841},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/TongN0TC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TurnerC23,
author = {Edward Turner and
Mihai Cucuringu},
title = {Graph Denoising Networks: {A} Deep Learning Framework for Equity Portfolio
Construction},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {193--201},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626903},
doi = {10.1145/3604237.3626903},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/TurnerC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Vadori23,
author = {Nelson Vadori},
title = {Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement
Learning Perspective},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {253--260},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626837},
doi = {10.1145/3604237.3626837},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/Vadori23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VarolgunesZYU23,
author = {Uras Varolgunes and
Dan Zhou and
Dantong Yu and
Ajim Uddin},
title = {NMTucker: Non-linear Matryoshka Tucker Decomposition for Financial
Time Series Imputation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {516--523},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626909},
doi = {10.1145/3604237.3626909},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/VarolgunesZYU23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WangBA23,
author = {Yuanrong Wang and
Antonio Briola and
Tomaso Aste},
title = {Topological Portfolio Selection and Optimization},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {681--688},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626875},
doi = {10.1145/3604237.3626875},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/WangBA23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WangVP23,
author = {Ziyi Wang and
Carmine Ventre and
Maria Polukarov},
title = {Robust Market Making: To Quote, or not To Quote},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {664--672},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626858},
doi = {10.1145/3604237.3626858},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/WangVP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Wei0L23,
author = {Zikai Wei and
Bo Dai and
Dahua Lin},
title = {{E2EAI:} End-to-End Deep Learning Framework for Active Investing},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {55--63},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626848},
doi = {10.1145/3604237.3626848},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/Wei0L23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/YuanZ0023,
author = {Zixuan Yuan and
Yada Zhu and
Wei Zhang and
Hui Xiong},
title = {Earnings Call Analysis Using a Sparse Attention Based Encoder and
Multi-Source Counterfactual Augmentation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {331--339},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626839},
doi = {10.1145/3604237.3626839},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/YuanZ0023.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/YunSK23,
author = {Jiseon Yun and
Jae Eui Sohn and
Sunghyon Kyeong},
title = {Fine-Tuning Pretrained Language Models to Enhance Dialogue Summarization
in Customer Service Centers},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {365--373},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626838},
doi = {10.1145/3604237.3626838},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/YunSK23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZengKSBV23,
author = {Zhen Zeng and
Rachneet Kaur and
Suchetha Siddagangappa and
Tucker Balch and
Manuela Veloso},
title = {From Pixels to Predictions: Spectrogram and Vision Transformer for
Better Time Series Forecasting},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {82--90},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626905},
doi = {10.1145/3604237.3626905},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZengKSBV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZengWCRRBV23,
author = {Zhen Zeng and
William Watson and
Nicole Cho and
Saba Rahimi and
Shayleen Reynolds and
Tucker Balch and
Manuela Veloso},
title = {FlowMind: Automatic Workflow Generation with LLMs},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {73--81},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626908},
doi = {10.1145/3604237.3626908},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZengWCRRBV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhangCSZ23,
author = {Yichi Zhang and
Mihai Cucuringu and
Alexander Y. Shestopaloff and
Stefan Zohren},
title = {Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged
Multi-Factor Models},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {454--462},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626904},
doi = {10.1145/3604237.3626904},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZhangCSZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhangYZ0L23,
author = {Boyu Zhang and
Hongyang Yang and
Tianyu Zhou and
Ali Babar and
Xiao{-}Yang Liu},
title = {Enhancing Financial Sentiment Analysis via Retrieval Augmented Large
Language Models},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {349--356},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626866},
doi = {10.1145/3604237.3626866},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZhangYZ0L23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhangZ023,
author = {Shuaicheng Zhang and
Yada Zhu and
Dawei Zhou},
title = {TGEditor: Task-Guided Graph Editing for Augmenting Temporal Financial
Transaction Networks},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {219--226},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626883},
doi = {10.1145/3604237.3626883},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZhangZ023.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhaoPV23,
author = {Lingxiao Zhao and
Maria Polukarov and
Carmine Ventre},
title = {Liquidity and Solvency Risks in Financial Networks},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {210--218},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626840},
doi = {10.1145/3604237.3626840},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZhaoPV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhouUSSTY23,
author = {Dan Zhou and
Ajim Uddin and
Zuofeng Shang and
Cheickna Sylla and
Xinyuan Tao and
Dantong Yu},
title = {A Fast Non-Linear Coupled Tensor Completion Algorithm for Financial
Data Integration and Imputation},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {409--417},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626899},
doi = {10.1145/3604237.3626899},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZhouUSSTY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZouLQCLS23,
author = {Jinan Zou and
Yanxi Liu and
Yuankai Qi and
Haiyao Cao and
Lingqiao Liu and
Javen Qinfeng Shi},
title = {A Generative Approach for Comprehensive Financial Event Extraction
at the Document Level},
booktitle = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
pages = {323--330},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237.3626844},
doi = {10.1145/3604237.3626844},
timestamp = {Tue, 27 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ZouLQCLS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@proceedings{DBLP:conf/icaif/2023,
title = {4th {ACM} International Conference on {AI} in Finance, {ICAIF} 2023,
Brooklyn, NY, USA, November 27-29, 2023},
publisher = {{ACM}},
year = {2023},
url = {https://doi.org/10.1145/3604237},
doi = {10.1145/3604237},
timestamp = {Mon, 27 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/2023.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/0001ZLL22,
author = {Di Chen and
Yada Zhu and
Miao Liu and
Jianbo Li},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Cost-Efficient Reinforcement Learning for Optimal Trade Execution
on Dynamic Market Environment},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {386--393},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561761},
doi = {10.1145/3533271.3561761},
timestamp = {Fri, 25 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/0001ZLL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AldenVHL22,
author = {Andrew Alden and
Carmine Ventre and
Blanka Horvath and
Gordon Lee},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Model-Agnostic Pricing of Exotic Derivatives Using Signatures},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {96--104},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561740},
doi = {10.1145/3533271.3561740},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AldenVHL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AsthanaM22,
author = {Shubhi Asthana and
Ruchi Mahindru},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Mapping of Financial Services datasets using Human-in-the-Loop},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {183--191},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561705},
doi = {10.1145/3533271.3561705},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AsthanaM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BaiLBV22,
author = {Yuanlu Bai and
Henry Lam and
Tucker Balch and
Svitlana Vyetrenko},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Efficient Calibration of Multi-Agent Simulation Models from Output
Series with Bayesian Optimization},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {437--445},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561755},
doi = {10.1145/3533271.3561755},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BaiLBV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BernasconiMVTR22,
author = {Martino Bernasconi and
Stefano Martino and
Edoardo Vittori and
Francesco Trov{\`{o}} and
Marcello Restelli},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Dark-Pool Smart Order Routing: a Combinatorial Multi-armed Bandit
Approach},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {352--360},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561728},
doi = {10.1145/3533271.3561728},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BernasconiMVTR22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BorrageiroFB22,
author = {Gabriel Francisco Borrageiro and
Nick Firoozye and
Paolo Barucca},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Sequential asset ranking in nonstationary time series},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {454--462},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561666},
doi = {10.1145/3533271.3561666},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/BorrageiroFB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BoulengerLF22,
author = {Alexandre Boulenger and
Davide Liu and
George Philippe Farajalla},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Sequential Banking Products Recommendation and User Profiling in One
Go},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {317--324},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561697},
doi = {10.1145/3533271.3561697},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BoulengerLF22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Byrd22,
author = {David Byrd},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Learning Not to Spoof},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {139--147},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561767},
doi = {10.1145/3533271.3561767},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Byrd22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ByrdMPB22,
author = {David Byrd and
Vaikkunth Mugunthan and
Antigoni Polychroniadou and
Tucker Balch},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Collusion Resistant Federated Learning with Oblivious Distributed
Differential Privacy},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {114--122},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561754},
doi = {10.1145/3533271.3561754},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ByrdMPB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/CardosoSB22,
author = {M{\'{a}}rio Cardoso and
Pedro Saleiro and
Pedro Bizarro},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {LaundroGraph: Self-Supervised Graph Representation Learning for Anti-Money
Laundering},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {130--138},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561727},
doi = {10.1145/3533271.3561727},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/CardosoSB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChenR22,
author = {Qinkai Chen and
Christian{-}Yann Robert},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Multivariate Realized Volatility Forecasting with Graph Neural Network},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {156--164},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561663},
doi = {10.1145/3533271.3561663},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ChenR22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChenY22,
author = {Dangxing Chen and
Weicheng Ye},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Monotonic Neural Additive Models: Pursuing Regulated Machine Learning
Models for Credit Scoring},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {70--78},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561691},
doi = {10.1145/3533271.3561691},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ChenY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChungCLK22,
author = {Guhyuk Chung and
Munki Chung and
Yongjae Lee and
Woo Chang Kim},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Market Making under Order Stacking Framework: {A} Deep Reinforcement
Learning Approach},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {223--231},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561789},
doi = {10.1145/3533271.3561789},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ChungCLK22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ColettaMVB22,
author = {Andrea Coletta and
Aymeric Moulin and
Svitlana Vyetrenko and
Tucker Balch},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Learning to simulate realistic limit order book markets from data
as a World Agent},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {428--436},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561753},
doi = {10.1145/3533271.3561753},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ColettaMVB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DwarakanathDTVB22,
author = {Kshama Dwarakanath and
Danial Dervovic and
Peyman Tavallali and
Svitlana Vyetrenko and
Tucker Balch},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Optimal Stopping with Gaussian Processes},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {497--505},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561670},
doi = {10.1145/3533271.3561670},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/DwarakanathDTVB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DwarakanathVB22,
author = {Kshama Dwarakanath and
Svitlana Vyetrenko and
Tucker Balch},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Equitable Marketplace Mechanism Design},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {232--239},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561673},
doi = {10.1145/3533271.3561673},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/DwarakanathVB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/El-LahamV22,
author = {Yousef El{-}Laham and
Svitlana Vyetrenko},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {StyleTime: Style Transfer for Synthetic Time Series Generation},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {489--496},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561772},
doi = {10.1145/3533271.3561772},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/El-LahamV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FanCASWP22,
author = {Zhou Fan and
Francisco J. Marmolejo Coss{\'{\i}}o and
Ben Altschuler and
He Sun and
Xintong Wang and
David C. Parkes},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Differential Liquidity Provision in Uniswap v3 and Implications for
Contract Design{\unicode{10033}}},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {9--17},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561775},
doi = {10.1145/3533271.3561775},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/FanCASWP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FelderS22,
author = {Christopher Felder and
Johannes Seem{\"{u}}ller},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Intelligent Inventory Management for Cryptocurrency Brokers},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {1--8},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561661},
doi = {10.1145/3533271.3561661},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/FelderS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FengMF22,
author = {Yichen Feng and
Ming Min and
Jean{-}Pierre Fouque},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Deep Learning for Systemic Risk Measures},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {62--69},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561669},
doi = {10.1145/3533271.3561669},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/FengMF22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GhassemiDLPBSV22,
author = {Mohsen Ghassemi and
Niccol{\`{o}} Dalmasso and
Simran Lamba and
Vamsi K. Potluru and
Tucker Balch and
Sameena Shah and
Manuela Veloso},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Online Learning for Mixture of Multivariate Hawkes Processes},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {506--513},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561771},
doi = {10.1145/3533271.3561771},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/GhassemiDLPBSV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Han22,
author = {Bingyan Han},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Can maker-taker fees prevent algorithmic cooperation in market making?},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {199--206},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561685},
doi = {10.1145/3533271.3561685},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Han22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HorelG22,
author = {Enguerrand Horel and
Kay Giesecke},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Computationally Efficient Feature Significance and Importance for
Predictive Models},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {300--307},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561713},
doi = {10.1145/3533271.3561713},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/HorelG22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HuangJZ22,
author = {Yilie Huang and
Yanwei Jia and
Xun Yu Zhou},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Achieving Mean-Variance Efficiency by Continuous-Time Reinforcement
Learning},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {377--385},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561760},
doi = {10.1145/3533271.3561760},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/HuangJZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HuynhL22,
author = {Kevin Huynh and
Gregor Lenhard},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Asymmetric Autoencoders for Factor-Based Covariance Matrix Estimation},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {403--410},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561715},
doi = {10.1145/3533271.3561715},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/HuynhL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/IbrahimCZCZM22,
author = {Shibal Ibrahim and
Wenyu Chen and
Yada Zhu and
Pin{-}Yu Chen and
Yang Zhang and
Rahul Mazumder},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Knowledge Graph Guided Simultaneous Forecasting and Network Learning
for Multivariate Financial Time Series},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {480--488},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561702},
doi = {10.1145/3533271.3561702},
timestamp = {Fri, 25 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/IbrahimCZCZM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/JeromePS22,
author = {Joseph Jerome and
Gregory Palmer and
Rahul Savani},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Market Making with Scaled Beta Policies},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {214--222},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561745},
doi = {10.1145/3533271.3561745},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/JeromePS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/JeyapaulrajDMCP22,
author = {Jerinsh Jeyapaulraj and
Dhruv Desai and
Dhagash Mehta and
Peter Chu and
Stefano Pasquali and
Philip Sommer},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Supervised similarity learning for corporate bonds using Random Forest
proximities},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {411--419},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561736},
doi = {10.1145/3533271.3561736},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/JeyapaulrajDMCP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/JiXZ22,
author = {Jingwei Ji and
Renyuan Xu and
Ruihao Zhu},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Risk-Aware Linear Bandits with Application in Smart Order Routing},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {334--342},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561692},
doi = {10.1145/3533271.3561692},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/JiXZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KhraishiO22,
author = {Raad Khraishi and
Ramin Okhrati},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Offline Deep Reinforcement Learning for Dynamic Pricing of Consumer
Credit},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {325--333},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561682},
doi = {10.1145/3533271.3561682},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KhraishiO22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KumarGV22,
author = {Awanish Kumar and
Soumyadeep Ghosh and
Janu Verma},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Guided Self-Training based Semi-Supervised Learning for Fraud Detection},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {148--155},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561783},
doi = {10.1145/3533271.3561783},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KumarGV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LengSPMLCLD22,
author = {Yue Leng and
Evangelia D. Skiani and
William Peak and
Ewan Mackie and
Fuyuan Li and
Thwisha Charvi and
Jennifer Law and
Kieran Daly},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Customer-Category Interest Model: {A} Graph-Based Collaborative Filtering
Model with Applications in Finance},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {165--173},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561757},
doi = {10.1145/3533271.3561757},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LengSPMLCLD22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LinADFL22,
author = {Jimin Lin and
Andrea Angiuli and
Nils Detering and
Jean{-}Pierre Fouque and
Mathieu Lauri{\`{e}}re},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending
Mean Field Control Game},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {369--376},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561743},
doi = {10.1145/3533271.3561743},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LinADFL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiuMI22,
author = {Ziyin Liu and
Kentaro Minami and
Kentaro Imajo},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Theoretically Motivated Data Augmentation and Regularization for Portfolio
Construction},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {273--281},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561720},
doi = {10.1145/3533271.3561720},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LiuMI22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiuVP22,
author = {Chunli Liu and
Carmine Ventre and
Maria Polukarov},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Synthetic Data Augmentation for Deep Reinforcement Learning in Financial
Trading},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {343--351},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561704},
doi = {10.1145/3533271.3561704},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LiuVP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LuxenbergBBCK22,
author = {Eric Luxenberg and
Stephen P. Boyd and
Misha van Beek and
Wen Cao and
Mykel J. Kochenderfer},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Strategic Asset Allocation with Illiquid Alternatives},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {249--256},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561769},
doi = {10.1145/3533271.3561769},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LuxenbergBBCK22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MaVP22,
author = {Yanqing Ma and
Carmine Ventre and
Maria Polukarov},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Denoised Labels for Financial Time Series Data via Self-Supervised
Learning},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {471--479},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561687},
doi = {10.1145/3533271.3561687},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MaVP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MazloomPB22,
author = {Sahar Mazloom and
Antigoni Polychroniadou and
Tucker Balch},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Addressing Extreme Market Responses Using Secure Aggregation},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {192--198},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561776},
doi = {10.1145/3533271.3561776},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MazloomPB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MullerSSB22,
author = {Ricardo M{\"{u}}ller and
Marco Schreyer and
Timur Sattarov and
Damian Borth},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {{RESHAPE:} Explaining Accounting Anomalies in Financial Statement
Audits by enhancing SHapley Additive exPlanations},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {174--182},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561667},
doi = {10.1145/3533271.3561667},
timestamp = {Sun, 17 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/MullerSSB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MurrayWBWP22,
author = {Phillip Murray and
Ben Wood and
Hans Buehler and
Magnus Wiese and
Mikko Pakkanen},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Deep Hedging: Continuous Reinforcement Learning for Hedging of General
Portfolios across Multiple Risk Aversions},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {361--368},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561731},
doi = {10.1145/3533271.3561731},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MurrayWBWP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/NiYKOLM22,
author = {Pin Ni and
Qiao Yuan and
Raad Khraishi and
Ramin Okhrati and
Aldo Lipani and
Francesca Medda},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Eigenvector-based Graph Neural Network Embeddings and Trust Rating
Prediction in Bitcoin Networks},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {27--35},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561793},
doi = {10.1145/3533271.3561793},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/NiYKOLM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/OberoiPSVG22,
author = {Gaurav Oberoi and
Pranav Poduval and
Karamjit Singh and
Sangam Verma and
Pranay Gupta},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {CaPE: Category Preserving Embeddings for Similarity-Search in Financial
Graphs},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {420--427},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561788},
doi = {10.1145/3533271.3561788},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/OberoiPSVG22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/OvezikK22,
author = {Christina Ovezik and
Aggelos Kiayias},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Decentralization Analysis of Pooling Behavior in Cardano Proof of
Stake},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {18--26},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561787},
doi = {10.1145/3533271.3561787},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/OvezikK22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PandeyBMB22,
author = {Anubha Pandey and
Alekhya Bhatraju and
Shiv Markam and
Deepak Bhatt},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Adversarial Fraud Generation for Improved Detection},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {123--129},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561723},
doi = {10.1145/3533271.3561723},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PandeyBMB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PengL22,
author = {Yiming Peng and
Vadim Linetsky},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Portfolio Selection: {A} Statistical Learning Approach},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {257--263},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561707},
doi = {10.1145/3533271.3561707},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PengL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PetropoulosSPPC22,
author = {Anastasios Petropoulos and
Vasilis Siakoulis and
Konstantinos P. Panousis and
Loukas Papadoulas and
Sotirios Chatzis},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {A Deep Learning Approach for Dynamic Balance Sheet Stress Testing},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {53--61},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561656},
doi = {10.1145/3533271.3561656},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PetropoulosSPPC22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PrenzelCCK22,
author = {Felix Prenzel and
Rama Cont and
Mihai Cucuringu and
Jonathan Kochems},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Dynamic Calibration of Order Flow Models with Generative Adversarial
Networks},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {446--453},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561777},
doi = {10.1145/3533271.3561777},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PrenzelCCK22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/QiV22,
author = {Ji Qi and
Carmine Ventre},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Incentivising Market Making in Financial Markets},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {240--248},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561706},
doi = {10.1145/3533271.3561706},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/QiV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/RivaBLSVPTR22,
author = {Antonio Riva and
Lorenzo Bisi and
Pierre Liotet and
Luca Sabbioni and
Edoardo Vittori and
Marco Pinciroli and
Michele Trapletti and
Marcello Restelli},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Addressing Non-Stationarity in {FX} Trading with Online Model Selection
of Offline {RL} Experts},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {394--402},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561780},
doi = {10.1145/3533271.3561780},
timestamp = {Sun, 17 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/RivaBLSVPTR22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Roa-VicensXSM22,
author = {Jacobo Roa{-}Vicens and
Yao Lei Xu and
Ricardo Silva and
Danilo P. Mandic},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Graph and tensor-train recurrent neural networks for high-dimensional
models of limit order books},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {207--213},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561710},
doi = {10.1145/3533271.3561710},
timestamp = {Wed, 31 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Roa-VicensXSM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SchreyerSB22,
author = {Marco Schreyer and
Timur Sattarov and
Damian Borth},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Federated and Privacy-Preserving Learning of Accounting Data in Financial
Statement Audits},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {105--113},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561674},
doi = {10.1145/3533271.3561674},
timestamp = {Sun, 17 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SchreyerSB22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TuncerKSAH22,
author = {Tuna Tuncer and
Uygar Kaya and
Emre Sefer and
Onur Alacam and
Tugcan Hoser},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Asset Price and Direction Prediction via Deep 2D Transformer and Convolutional
Neural Networks},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {79--86},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561738},
doi = {10.1145/3533271.3561738},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/TuncerKSAH22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/UddinTCY22,
author = {Ajim Uddin and
Xinyuan Tao and
Chia{-}Ching Chou and
Dantong Yu},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Machine Learning for Earnings Prediction: {A} Nonlinear Tensor Approach
for Data Integration and Completion},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {282--290},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561677},
doi = {10.1145/3533271.3561677},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/UddinTCY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VamvourellisTDM22,
author = {Dimitrios Vamvourellis and
M{\'{a}}t{\'{e}} T{\'{o}}th and
Dhruv Desai and
Dhagash Mehta and
Stefano Pasquali},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Learning Mutual Fund Categorization using Natural Language Processing},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {87--95},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561748},
doi = {10.1145/3533271.3561748},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VamvourellisTDM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WangA22,
author = {Yuanrong Wang and
Tomaso Aste},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Network Filtering of Spatial-temporal {GNN} for Multivariate Time-series
Prediction},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {463--470},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561678},
doi = {10.1145/3533271.3561678},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/WangA22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WangPC22,
author = {Tina Ruiwen Wang and
Jithin Pradeep and
Jerry Zikun Chen},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Objective Driven Portfolio Construction Using Reinforcement Learning},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {264--272},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561764},
doi = {10.1145/3533271.3561764},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/WangPC22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhangBP22,
author = {Wei Zhang and
Brian Barr and
John Paisley},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {An Interpretable Deep Classifier for Counterfactual Generation},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {36--43},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561722},
doi = {10.1145/3533271.3561722},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhangBP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhangBP22a,
author = {Wei Zhang and
Brian Barr and
John Paisley},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Understanding Counterfactual Generation using Maximum Mean Discrepancy},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {44--52},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561759},
doi = {10.1145/3533271.3561759},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhangBP22a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhouUSSY22,
author = {Dan Zhou and
Ajim Uddin and
Zuofeng Shang and
Cheickna Sylla and
Dantong Yu},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Core Matrix Regression and Prediction with Regularization},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {291--299},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561709},
doi = {10.1145/3533271.3561709},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhouUSSY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhouUTSY22,
author = {Dan Zhou and
Ajim Uddin and
Xinyuan Tao and
Zuofeng Shang and
Dantong Yu},
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {Temporal Bipartite Graph Neural Networks for Bond Prediction},
booktitle = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
pages = {308--316},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271.3561751},
doi = {10.1145/3533271.3561751},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhouUTSY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@proceedings{DBLP:conf/icaif/2022,
editor = {Daniele Magazzeni and
Senthil Kumar and
Rahul Savani and
Renyuan Xu and
Carmine Ventre and
Blanka Horvath and
Ruimeng Hu and
Tucker Balch and
Francesca Toni},
title = {3rd {ACM} International Conference on {AI} in Finance, {ICAIF} 2022,
New York, NY, USA, November 2-4, 2022},
publisher = {{ACM}},
year = {2022},
url = {https://doi.org/10.1145/3533271},
doi = {10.1145/3533271},
isbn = {978-1-4503-9376-8},
timestamp = {Tue, 25 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/2022.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Altman21,
author = {Erik Altman},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Synthesizing credit card transactions},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {13:1--13:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494378},
doi = {10.1145/3490354.3494378},
timestamp = {Wed, 11 May 2022 10:03:17 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Altman21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AmrouniMVVBV21,
author = {Selim Amrouni and
Aymeric Moulin and
Jared Vann and
Svitlana Vyetrenko and
Tucker Balch and
Manuela Veloso},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {ABIDES-gym: gym environments for multi-agent discrete event simulation
and application to financial markets},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {30:1--30:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494433},
doi = {10.1145/3490354.3494433},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AmrouniMVVBV21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AngL21,
author = {Gary Ang and
Ee{-}Peng Lim},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Learning knowledge-enriched company embeddings for investment management},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {25:1--25:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494390},
doi = {10.1145/3490354.3494390},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AngL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ArdonVSXVG21,
author = {Leo Ardon and
Nelson Vadori and
Thomas Spooner and
Mengda Xu and
Jared Vann and
Sumitra Ganesh},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Towards a fully rl-based market simulator},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {7:1--7:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494372},
doi = {10.1145/3490354.3494372},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ArdonVSXVG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AsharovBP21,
author = {Gilad Asharov and
Tucker Balch and
Antigoni Polychroniadou},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Privacy-preserving portfolio pricing},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {35:1--35:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494400},
doi = {10.1145/3490354.3494400},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AsharovBP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AthanasopoulouD21,
author = {Maria Eleni Athanasopoulou and
Justina Deveikyte and
Alan Mosca and
Ilaria Peri and
Alessandro Provetti},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {A hybrid model for forecasting short-term electricity demand},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {6:1--6:6},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494371},
doi = {10.1145/3490354.3494371},
timestamp = {Thu, 23 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AthanasopoulouD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BarataLPSAB21,
author = {Ricardo Barata and
Miguel Leite and
Ricardo Pacheco and
Marco O. P. Sampaio and
Jo{\~{a}}o Tiago Ascens{\~{a}}o and
Pedro Bizarro},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Active learning for imbalanced data under cold start},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {17:1--17:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494423},
doi = {10.1145/3490354.3494423},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BarataLPSAB21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChalkidisS21,
author = {Nestoras Chalkidis and
Rahul Savani},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Trading via selective classification},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {14:1--14:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494379},
doi = {10.1145/3490354.3494379},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ChalkidisS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChoN21,
author = {Christopher J. Cho and
Timothy J. Norman},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Bit by bit: how to realistically simulate a crypto-exchange},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {15:1--15:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494380},
doi = {10.1145/3490354.3494380},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ChoN21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ColettaPCMBMVB21,
author = {Andrea Coletta and
Matteo Prata and
Michele Conti and
Emanuele Mercanti and
Novella Bartolini and
Aymeric Moulin and
Svitlana Vyetrenko and
Tucker Balch},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Towards realistic market simulations: a generative adversarial networks
approach},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {46:1--46:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494411},
doi = {10.1145/3490354.3494411},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ColettaPCMBMVB21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DAcuntoBBM21,
author = {Gabriele D'Acunto and
Paolo Bajardi and
Francesco Bonchi and
Gianmarco De Francisci Morales},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {The evolving causal structure of equity risk factors},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {5:1--5:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494370},
doi = {10.1145/3490354.3494370},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/DAcuntoBBM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DasKGBR21,
author = {Debasmita Das and
Yatin Katyal and
Ram Ganesh and
Rohit Bhattacharya and
Rajesh Kumar Ranjan},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {AuthSHAP: authentication vulnerability detection on tabular data in
black box setting},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {52:1--52:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494417},
doi = {10.1145/3490354.3494417},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/DasKGBR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DwarakanathVB21,
author = {Kshama Dwarakanath and
Svitlana S. Vyetrenko and
Tucker Balch},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Profit equitably: an investigation of market maker's impact on equitable
outcomes},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {4:1--4:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494369},
doi = {10.1145/3490354.3494369},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/DwarakanathVB21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FengRW0C21,
author = {Fuli Feng and
Xilin Rui and
Wenjie Wang and
Yixin Cao and
Tat{-}Seng Chua},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Pre-training and evaluation of numeracy-oriented language model},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {47:1--47:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494412},
doi = {10.1145/3490354.3494412},
timestamp = {Mon, 04 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/FengRW0C21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FengW0NC21,
author = {Fuli Feng and
Xiang Wang and
Xiangnan He and
Ritchie Ng and
Tat{-}Seng Chua},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Time horizon-aware modeling of financial texts for stock price prediction},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {51:1--51:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494416},
doi = {10.1145/3490354.3494416},
timestamp = {Fri, 14 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/FengW0NC21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GoldblumSPG21,
author = {Micah Goldblum and
Avi Schwarzschild and
Ankit B. Patel and
Tom Goldstein},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Adversarial attacks on machine learning systems for high-frequency
trading},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {2:1--2:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494367},
doi = {10.1145/3490354.3494367},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/GoldblumSPG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GongVO21,
author = {Zheng Gong and
Carmine Ventre and
John G. O'Hara},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {The efficient hedging frontier with deep neural networks},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {27:1--27:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494392},
doi = {10.1145/3490354.3494392},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/GongVO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GuanL21,
author = {Mao Guan and
Xiao{-}Yang Liu},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Explainable deep reinforcement learning for portfolio management:
an empirical approach},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {50:1--50:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494415},
doi = {10.1145/3490354.3494415},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/GuanL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HassanzadehDARV21,
author = {Parisa Hassanzadeh and
Danial Dervovic and
Samuel Assefa and
Prashant Reddy and
Manuela Veloso},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Tradeoffs in streaming binary classification under limited inspection
resources},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {36:1--36:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494401},
doi = {10.1145/3490354.3494401},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/HassanzadehDARV21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KanellopoulosKZ21,
author = {Panagiotis Kanellopoulos and
Maria Kyropoulou and
Hao Zhou},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Financial network games},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {26:1--26:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494391},
doi = {10.1145/3490354.3494391},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KanellopoulosKZ21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Kurshan0SS21,
author = {Eren Kurshan and
Jiahao Chen and
Victor Storchan and
Hongda Shen},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {On the current and emerging challenges of developing fair and ethical
{AI} solutions in financial services},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {43:1--43:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494408},
doi = {10.1145/3490354.3494408},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Kurshan0SS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Li21,
author = {Lin Li},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {An automated portfolio trading system with feature preprocessing and
recurrent reinforcement learning},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {11:1--11:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494376},
doi = {10.1145/3490354.3494376},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Li21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiLZWWG21,
author = {Zechu Li and
Xiao{-}Yang Liu and
Jiahao Zheng and
Zhaoran Wang and
Anwar Walid and
Jian Guo},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {FinRL-podracer: high performance and scalable deep reinforcement learning
for quantitative finance},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {48:1--48:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494413},
doi = {10.1145/3490354.3494413},
timestamp = {Wed, 27 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/LiLZWWG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiSTW21,
author = {Yinfei Li and
Jiafeng Shou and
Philip C. Treleaven and
Jun Wang},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Graph neural network for merger and acquisition prediction},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {3:1--3:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494368},
doi = {10.1145/3490354.3494368},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LiSTW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LinZL021,
author = {Hengxu Lin and
Dong Zhou and
Weiqing Liu and
Jiang Bian},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Deep risk model: a deep learning solution for mining latent risk factors
to improve covariance matrix estimation},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {12:1--12:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494377},
doi = {10.1145/3490354.3494377},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LinZL021.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiuPV0K21,
author = {Buhong Liu and
Maria Polukarov and
Carmine Ventre and
Lingbo Li and
Leslie Kanthan},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Agent-based markets: equilibrium strategies and robustness},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {24:1--24:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494389},
doi = {10.1145/3490354.3494389},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LiuPV0K21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LiuYGW21,
author = {Xiao{-}Yang Liu and
Hongyang Yang and
Jiechao Gao and
Christina Dan Wang},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {FinRL: deep reinforcement learning framework to automate trading in
quantitative finance},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {1:1--1:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494366},
doi = {10.1145/3490354.3494366},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LiuYGW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MahfouzBVM21,
author = {Mahmoud Mahfouz and
Tucker Balch and
Manuela Veloso and
Danilo P. Mandic},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Learning to classify and imitate trading agents in continuous double
auction markets},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {21:1--21:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494386},
doi = {10.1145/3490354.3494386},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MahfouzBVM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MartinCK21,
author = {Blake Martin and
Mithun Chakraborty and
Sindhu Kutty},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Timing is money: the impact of arrival order in beta-bernoulli prediction
markets},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {41:1--41:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494406},
doi = {10.1145/3490354.3494406},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MartinCK21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MayoFW21,
author = {Katherine Mayo and
Shaily Fozdar and
Michael P. Wellman},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {An agent-based model of strategic adoption of real-time payments},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {45:1--45:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494410},
doi = {10.1145/3490354.3494410},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MayoFW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MayoW21,
author = {Katherine Mayo and
Michael P. Wellman},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {A strategic analysis of portfolio compression},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {20:1--20:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494385},
doi = {10.1145/3490354.3494385},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MayoW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/NiSVXWL21,
author = {Hao Ni and
Lukasz Szpruch and
Marc Sabate Vidales and
Baoren Xiao and
Magnus Wiese and
Shujian Liao},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Sig-wasserstein GANs for time series generation},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {28:1--28:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494393},
doi = {10.1145/3490354.3494393},
timestamp = {Wed, 20 Mar 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/NiSVXWL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PagliaroMSWX21,
author = {Cynthia Pagliaro and
Dhagash Mehta and
Han{-}Tai Shiao and
Shaofei Wang and
Luwei Xiong},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Investor behavior modeling by analyzing financial advisor notes: a
machine learning perspective},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {23:1--23:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494388},
doi = {10.1145/3490354.3494388},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PagliaroMSWX21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PaivaFBC21,
author = {Francisco Caio Lima Paiva and
Leonardo Kanashiro Felizardo and
Reinaldo Augusto da Costa Bianchi and
Anna Helena Reali Costa},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Intelligent trading systems: a sentiment-aware reinforcement learning
approach},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {40:1--40:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494445},
doi = {10.1145/3490354.3494445},
timestamp = {Wed, 07 Dec 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/PaivaFBC21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ReddyPCSVSB21,
author = {Shivshankar Reddy and
Pranav Poduval and
Anand Vir Singh Chauhan and
Maneet Singh and
Sangam Verma and
Karamjit Singh and
Tanmoy Bhowmik},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {TeGraF: temporal and graph based fraudulent transaction detection
framework},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {18:1--18:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494383},
doi = {10.1145/3490354.3494383},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ReddyPCSVSB21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/RivaBLSVPTR21,
author = {Antonio Riva and
Lorenzo Bisi and
Pierre Liotet and
Luca Sabbioni and
Edoardo Vittori and
Marco Pinciroli and
Michele Trapletti and
Marcello Restelli},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Learning {FX} trading strategies with {FQI} and persistent actions},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {38:1--38:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494403},
doi = {10.1145/3490354.3494403},
timestamp = {Sun, 17 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/RivaBLSVPTR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SatoneDM21,
author = {Vipul Satone and
Dhruv Desai and
Dhagash Mehta},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Fund2Vec: mutual funds similarity using graph learning},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {16:1--16:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494381},
doi = {10.1145/3490354.3494381},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/SatoneDM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SchreyerSB21,
author = {Marco Schreyer and
Timur Sattarov and
Damian Borth},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Multi-view contrastive self-supervised learning of accounting data
representations for downstream audit tasks},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {8:1--8:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494373},
doi = {10.1145/3490354.3494373},
timestamp = {Sun, 17 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SchreyerSB21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ShearerBBW21,
author = {Megan Shearer and
David Byrd and
Tucker Hybinette Balch and
Michael P. Wellman},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Stability effects of arbitrage in exchange traded funds: an agent-based
model},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {49:1--49:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494414},
doi = {10.1145/3490354.3494414},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ShearerBBW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SiebenbrunnerS21,
author = {Christoph Siebenbrunner and
Michael Sigmund},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Learning regulator influence on internal risk weights},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {31:1--31:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494396},
doi = {10.1145/3490354.3494396},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/SiebenbrunnerS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SoodZCBV21,
author = {Srijan Sood and
Zhen Zeng and
Naftali Cohen and
Tucker Balch and
Manuela Veloso},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Visual time series forecasting: an image-driven approach},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {22:1--22:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494387},
doi = {10.1145/3490354.3494387},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/SoodZCBV21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ThirupathiAG21,
author = {Abhinav Nadh Thirupathi and
Tuka Alhanai and
Mohammad M. Ghassemi},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {A machine learning approach to detect early signs of startup success},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {9:1--9:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494374},
doi = {10.1145/3490354.3494374},
timestamp = {Thu, 23 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ThirupathiAG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TuorLM21,
author = {Tiffany Tuor and
Joshua Lockhart and
Daniele Magazzeni},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Asynchronous collaborative learning across data silos},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {29:1--29:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494394},
doi = {10.1145/3490354.3494394},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/TuorLM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VicenteRG21,
author = {Oscar Fern{\'{a}}ndez Vicente and
Fernando Fern{\'{a}}ndez Rebollo and
Francisco Javier Garc{\'{\i}}a{-}Polo},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Deep Q-learning market makers in a multi-agent simulated stock market},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {19:1--19:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494448},
doi = {10.1145/3490354.3494448},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VicenteRG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VittoriLR21,
author = {Edoardo Vittori and
Amarildo Likmeta and
Marcello Restelli},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Monte carlo tree search for trading and hedging},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {37:1--37:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494402},
doi = {10.1145/3490354.3494402},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VittoriLR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WangYZWXP021,
author = {Siyi Wang and
Xing Yan and
Bangqi Zheng and
Hu Wang and
Wangli Xu and
Nanbo Peng and
Qi Wu},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Risk and return prediction for pricing portfolios of non-performing
consumer credit},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {10:1--10:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494375},
doi = {10.1145/3490354.3494375},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/WangYZWXP021.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WuBZPLC21,
author = {Qiong Wu and
Christopher G. Brinton and
Zheng Zhang and
Andrea Pizzoferrato and
Zhenming Liu and
Mihai Cucuringu},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Equity2Vec: end-to-end deep learning framework for cross-sectional
asset pricing},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {44:1--44:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494409},
doi = {10.1145/3490354.3494409},
timestamp = {Wed, 07 Dec 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/WuBZPLC21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/XiongC21,
author = {Wei Xiong and
Rama Cont},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Interactions of market making algorithms: a study on perceived collusion},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {32:1--32:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494397},
doi = {10.1145/3490354.3494397},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/XiongC21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZavitsanosMBSLP21,
author = {Elias Zavitsanos and
Dimitris Mavroeidis and
Konstantinos Bougiatiotis and
Eirini Spyropoulou and
Lefteris Loukas and
Georgios Paliouras},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Financial misstatement detection: a realistic evaluation},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {34:1--34:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494453},
doi = {10.1145/3490354.3494453},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZavitsanosMBSLP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZengBV21,
author = {Zhen Zeng and
Tucker Balch and
Manuela Veloso},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Deep video prediction for time series forecasting},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {39:1--39:7},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494404},
doi = {10.1145/3490354.3494404},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZengBV21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhaoL21,
author = {Muchen Zhao and
Vadim Linetsky},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {High frequency automated market making algorithms with adverse selection
risk control via reinforcement learning},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {33:1--33:9},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494398},
doi = {10.1145/3490354.3494398},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhaoL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhuCZGL21,
author = {Yada Zhu and
Wenyu Chen and
Yang Zhang and
Tian Gao and
Jianbo Li},
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {Probabilistic framework for modeling event shocks to financial time
series},
booktitle = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
pages = {42:1--42:8},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354.3494407},
doi = {10.1145/3490354.3494407},
timestamp = {Fri, 25 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhuCZGL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@proceedings{DBLP:conf/icaif/2021,
editor = {Anisoara Calinescu and
Lukasz Szpruch},
title = {ICAIF'21: 2nd {ACM} International Conference on {AI} in Finance, Virtual
Event, November 3 - 5, 2021},
publisher = {{ACM}},
year = {2021},
url = {https://doi.org/10.1145/3490354},
doi = {10.1145/3490354},
isbn = {978-1-4503-9148-1},
timestamp = {Wed, 11 May 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/2021.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AkioyamenTH20,
author = {Peter Akioyamen and
Yi Zhou Tang and
Hussien Hussien},
editor = {Tucker Balch},
title = {A hybrid learning approach to detecting regime switches in financial
markets},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {33:1--33:7},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422521},
doi = {10.1145/3383455.3422521},
timestamp = {Fri, 08 Oct 2021 09:02:48 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AkioyamenTH20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ArribasSS20,
author = {Imanol P{\'{e}}rez Arribas and
Cristopher Salvi and
Lukasz Szpruch},
editor = {Tucker Balch},
title = {Sig-SDEs model for quantitative finance},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {7:1--7:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422553},
doi = {10.1145/3383455.3422553},
timestamp = {Mon, 08 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ArribasSS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/AssefaDMTRV20,
author = {Samuel A. Assefa and
Danial Dervovic and
Mahmoud Mahfouz and
Robert E. Tillman and
Prashant Reddy and
Manuela Veloso},
editor = {Tucker Balch},
title = {Generating synthetic data in finance: opportunities, challenges and
pitfalls},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {44:1--44:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422554},
doi = {10.1145/3383455.3422554},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/AssefaDMTRV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BalchDP20,
author = {Tucker Balch and
Benjamin E. Diamond and
Antigoni Polychroniadou},
editor = {Tucker Balch},
title = {SecretMatch: inventory matching from fully homomorphic encryption},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {15:1--15:7},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422569},
doi = {10.1145/3383455.3422569},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BalchDP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BisiLSRMRC20,
author = {Lorenzo Bisi and
Pierre Liotet and
Luca Sabbioni and
Gianmarco Reho and
Nico Montali and
Marcello Restelli and
Cristiana Corno},
editor = {Tucker Balch},
title = {Foreign exchange trading: a risk-averse batch reinforcement learning
approach},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {26:1--26:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422571},
doi = {10.1145/3383455.3422571},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BisiLSRMRC20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/BorrajoVS20,
author = {Daniel Borrajo and
Manuela Veloso and
Sameena Shah},
editor = {Tucker Balch},
title = {Simulating and classifying behavior in adversarial environments based
on action-state traces: an application to money laundering},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {3:1--3:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422536},
doi = {10.1145/3383455.3422536},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/BorrajoVS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ByrdP20,
author = {David Byrd and
Antigoni Polychroniadou},
editor = {Tucker Balch},
title = {Differentially private secure multi-party computation for federated
learning in financial applications},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {16:1--16:9},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422562},
doi = {10.1145/3383455.3422562},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ByrdP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/CastroCP20,
author = {Leo de Castro and
Jiahao Chen and
Antigoni Polychroniadou},
editor = {Tucker Balch},
title = {CryptoCredit: securely training fair models},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {17:1--17:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422567},
doi = {10.1145/3383455.3422567},
timestamp = {Thu, 09 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/CastroCP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChenL20,
author = {Qian Chen and
Xiao{-}Yang Liu},
editor = {Tucker Balch},
title = {Quantifying {ESG} alpha using scholar big data: an automated machine
learning approach},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {41:1--41:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422529},
doi = {10.1145/3383455.3422529},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ChenL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ChenV20,
author = {Jiahao Chen and
Manuela Veloso},
editor = {Tucker Balch},
title = {Paying down metadata debt: learning the representation of concepts
using topic models},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {43:1--43:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422537},
doi = {10.1145/3383455.3422537},
timestamp = {Thu, 09 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/ChenV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/Chew20,
author = {Peter A. Chew},
editor = {Tucker Balch},
title = {Unsupervised-learning financial reconciliation: a robust, accurate
approach inspired by machine translation},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {46:1--46:12},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422517},
doi = {10.1145/3383455.3422517},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/Chew20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/CohenBV20,
author = {Naftali Cohen and
Tucker Balch and
Manuela Veloso},
editor = {Tucker Balch},
title = {Trading via image classification},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {53:1--53:6},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422544},
doi = {10.1145/3383455.3422544},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/CohenBV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/CohenLR20,
author = {Naftali Cohen and
Simran Lamba and
Prashant Reddy},
editor = {Tucker Balch},
title = {What can be learned from satisfaction assessments?},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {35:1--35:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422535},
doi = {10.1145/3383455.3422535},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/CohenLR20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/DianaKN020,
author = {Emily Diana and
Michael Kearns and
Seth Neel and
Aaron Roth},
editor = {Tucker Balch},
title = {Optimal, truthful, and private securities lending},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {48:1--48:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422541},
doi = {10.1145/3383455.3422541},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/DianaKN020.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/FazelniaIMWP20,
author = {Ghazal Fazelnia and
Mark Ibrahim and
Ceena Modarres and
Kevin Wu and
John W. Paisley},
editor = {Tucker Balch},
title = {Mixed membership recurrent neural networks for modeling customer purchases},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {36:1--36:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422543},
doi = {10.1145/3383455.3422543},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/FazelniaIMWP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GlassermanKLM20,
author = {Paul Glasserman and
Kriste Krstovski and
Paul Laliberte and
Harry Mamaysky},
editor = {Tucker Balch},
title = {Choosing news topics to explain stock market returns},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {39:1--39:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422557},
doi = {10.1145/3383455.3422557},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/GlassermanKLM20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GogoglouNSRB20,
author = {Antonia Gogoglou and
Brian Nguyen and
Alan Salimov and
Jonathan B. Rider and
C. Bayan Bruss},
editor = {Tucker Balch},
title = {Navigating the dynamics of financial embeddings over time},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {21:1--21:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422552},
doi = {10.1145/3383455.3422552},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/GogoglouNSRB20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/GongVO20,
author = {Zheng Gong and
Carmine Ventre and
John G. O'Hara},
editor = {Tucker Balch},
title = {Classifying high-frequency {FX} rate movements with technical indicators
and inception model},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {50:1--50:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422560},
doi = {10.1145/3383455.3422560},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/GongVO20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/HorelGSC20,
author = {Enguerrand Horel and
Kay Giesecke and
Victor Storchan and
Naren Chittar},
editor = {Tucker Balch},
title = {Explainable clustering and application to wealth management compliance},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {47:1--47:6},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422530},
doi = {10.1145/3383455.3422530},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/HorelGSC20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KarpeFMW20,
author = {Mich{\"{a}}el Karpe and
Jin Fang and
Zhongyao Ma and
Chen Wang},
editor = {Tucker Balch},
title = {Multi-agent reinforcement learning in a realistic limit order book
market simulation},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {30:1--30:7},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422570},
doi = {10.1145/3383455.3422570},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/KarpeFMW20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KlabjanH20,
author = {Diego Klabjan and
Mark Harmon},
editor = {Tucker Balch},
title = {Dynamic prediction length for time series with sequence to sequence
network},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {4:1--4:9},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422533},
doi = {10.1145/3383455.3422533},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KlabjanH20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KleanthousCC20,
author = {Christos Kleanthous and
Theodoros Christophides and
Sotirios Chatzis},
editor = {Tucker Balch},
title = {Power-law mixtures of bayesian forests for value added tax audit case
selection},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {22:1--22:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422515},
doi = {10.1145/3383455.3422515},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KleanthousCC20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KoshiyamaFT20,
author = {Adriano S. Koshiyama and
Nick Firoozye and
Philip C. Treleaven},
editor = {Tucker Balch},
title = {Algorithms in future capital markets: a survey on AI, {ML} and associated
algorithms in capital markets},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {14:1--14:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422539},
doi = {10.1145/3383455.3422539},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/KoshiyamaFT20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/KurshanS020,
author = {Eren Kurshan and
Hongda Shen and
Jiahao Chen},
editor = {Tucker Balch},
title = {Towards self-regulating {AI:} challenges and opportunities of {AI}
model governance in financial services},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {49:1--49:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422564},
doi = {10.1145/3383455.3422564},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/KurshanS020.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LinXR20,
author = {Yusen Lin and
Jinming Xue and
Louiqa Raschid},
editor = {Tucker Balch},
title = {Predicting the behavior of dealers in over-the-counter corporate bond
markets},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {29:1--29:3},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422542},
doi = {10.1145/3383455.3422542},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LinXR20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LockhartAAABV20,
author = {Joshua Lockhart and
Samuel Assefa and
Ayham Alajdad and
Andrew Alexander and
Tucker Balch and
Manuela Veloso},
editor = {Tucker Balch},
title = {{SURF:} improving classifiers in production by learning from busy
and noisy end users},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {37:1--37:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422547},
doi = {10.1145/3383455.3422547},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LockhartAAABV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/LorenzSAAB20,
author = {Joana Lorenz and
Maria In{\^{e}}s Silva and
David Apar{\'{\i}}cio and
Jo{\~{a}}o Tiago Ascens{\~{a}}o and
Pedro Bizarro},
editor = {Tucker Balch},
title = {Machine learning methods to detect money laundering in the bitcoin
blockchain in the presence of label scarcity},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {23:1--23:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422549},
doi = {10.1145/3383455.3422549},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/LorenzSAAB20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MaL00P20,
author = {Shumin Ma and
Cheuk Hang Leung and
Qi Wu and
Wei Liu and
Nanbo Peng},
editor = {Tucker Balch},
title = {Understanding distributional ambiguity via non-robust chance constraint},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {42:1--42:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422522},
doi = {10.1145/3383455.3422522},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MaL00P20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MaWBL20,
author = {Zhiqiang Ma and
Chong Wang and
Grace Bang and
Xiaomo Liu},
editor = {Tucker Balch},
title = {Utilization of deep learning to mine insights from earning calls for
stock price movement predictions},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {38:1--38:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422524},
doi = {10.1145/3383455.3422524},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MaWBL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/MehtaDP20,
author = {Dhagash Mehta and
Dhruv Desai and
Jithin Pradeep},
editor = {Tucker Balch},
title = {Machine learning fund categorizations},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {13:1--13:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422555},
doi = {10.1145/3383455.3422555},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/MehtaDP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/OliveiraFDP20,
author = {Renato Arantes de Oliveira and
Heitor Soares Ramos Filho and
Daniel Hasan Dalip and
Adriano C{\'{e}}sar Machado Pereira},
editor = {Tucker Balch},
title = {A tabular sarsa-based stock market agent},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {32:1--32:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422559},
doi = {10.1145/3383455.3422559},
timestamp = {Sun, 12 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/OliveiraFDP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PapadimitriouPK20,
author = {Antony Papadimitriou and
Urjitkumar Patel and
Lisa Kim and
Grace Bang and
Azadeh Nematzadeh and
Xiaomo Liu},
editor = {Tucker Balch},
title = {A multi-faceted approach to large scale financial forecasting},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {5:1--5:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422551},
doi = {10.1145/3383455.3422551},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PapadimitriouPK20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ParkESC20,
author = {Youngjin Park and
Deokjun Eom and
Byoungki Seo and
Jaesik Choi},
editor = {Tucker Balch},
title = {Improved predictive deep temporal neural networks with trend filtering},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {8:1--8:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422565},
doi = {10.1145/3383455.3422565},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ParkESC20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PeiLIP20,
author = {Yulong Pei and
Fang Lyu and
Werner van Ipenburg and
Mykola Pechenizkiy},
editor = {Tucker Balch},
title = {Subgraph anomaly detection in financial transaction networks},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {18:1--18:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422548},
doi = {10.1145/3383455.3422548},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PeiLIP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/PokhriyalDVV20,
author = {Neeti Pokhriyal and
Abenezer Dara and
Benjamin Valentino and
Soroush Vosoughi},
editor = {Tucker Balch},
title = {Social media data reveals signal for public consumer perceptions},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {34:1--34:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422556},
doi = {10.1145/3383455.3422556},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/PokhriyalDVV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SabbioniRP20,
author = {Luca Sabbioni and
Marcello Restelli and
Andrea Prampolini},
editor = {Tucker Balch},
title = {Fast direct calibration of interest rate derivatives pricing models},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {6:1--6:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422534},
doi = {10.1145/3383455.3422534},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/SabbioniRP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/SchreyerSGRB20,
author = {Marco Schreyer and
Timur Sattarov and
Anita Gierbl and
Bernd Reimer and
Damian Borth},
editor = {Tucker Balch},
title = {Learning sampling in financial statement audits using vector quantised
variational autoencoder neural networks},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {45:1--45:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422546},
doi = {10.1145/3383455.3422546},
timestamp = {Sun, 17 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/SchreyerSGRB20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ShenK20,
author = {Hongda Shen and
Eren Kurshan},
editor = {Tucker Balch},
title = {Deep Q-network-based adaptive alert threshold selection policy for
payment fraud systems in retail banking},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {24:1--24:7},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422563},
doi = {10.1145/3383455.3422563},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ShenK20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ShirotaYMM20,
author = {Yukari Shirota and
Kenji Yamaguchi and
Akane Murakami and
Michiya Morita},
editor = {Tucker Balch},
title = {An analysis of political turmoil effects on stock prices: a case study
of US-China trade friction},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {40:1--40:7},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422558},
doi = {10.1145/3383455.3422558},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ShirotaYMM20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/TillmanRV20,
author = {Robert E. Tillman and
Prashant P. Reddy and
Manuela Veloso},
editor = {Tucker Balch},
title = {Recommending missing and suspicious links in multiplex financial networks},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {20:1--20:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422538},
doi = {10.1145/3383455.3422538},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/TillmanRV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VadoriGRV20,
author = {Nelson Vadori and
Sumitra Ganesh and
Prashant P. Reddy and
Manuela Veloso},
editor = {Tucker Balch},
title = {Risk-sensitive reinforcement learning: a martingale approach to reward
uncertainty},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {28:1--28:9},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422519},
doi = {10.1145/3383455.3422519},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VadoriGRV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VittoriLTR20,
author = {Edoardo Vittori and
Martino {Bernasconi de Luca} and
Francesco Trov{\`{o}} and
Marcello Restelli},
editor = {Tucker Balch},
title = {Dealing with transaction costs in portfolio optimization: online gradient
descent with momentum},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {11:1--11:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422531},
doi = {10.1145/3383455.3422531},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VittoriLTR20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VittoriTR20,
author = {Edoardo Vittori and
Michele Trapletti and
Marcello Restelli},
editor = {Tucker Balch},
title = {Option hedging with risk averse reinforcement learning},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {27:1--27:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422532},
doi = {10.1145/3383455.3422532},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VittoriTR20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/VyetrenkoBPMDVB20,
author = {Svitlana Vyetrenko and
David Byrd and
Nick Petosa and
Mahmoud Mahfouz and
Danial Dervovic and
Manuela Veloso and
Tucker Balch},
editor = {Tucker Balch},
title = {Get real: realism metrics for robust limit order book market simulations},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {2:1--2:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422561},
doi = {10.1145/3383455.3422561},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/VyetrenkoBPMDVB20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WangHW20,
author = {Xintong Wang and
Christopher Hoang and
Michael P. Wellman},
editor = {Tucker Balch},
title = {Learning-based trading strategies in the face of market manipulation},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {25:1--25:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422568},
doi = {10.1145/3383455.3422568},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/WangHW20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WatsonL20,
author = {William Watson and
Bo Liu},
editor = {Tucker Balch},
title = {Financial table extraction in image documents},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {51:1--51:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422520},
doi = {10.1145/3383455.3422520},
timestamp = {Sun, 12 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/WatsonL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/WuGF20,
author = {Hanwei Wu and
Ather Gattami and
Markus Flierl},
editor = {Tucker Balch},
title = {Conditional mutual information-based contrastive loss for financial
time series forecasting},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {9:1--9:7},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422550},
doi = {10.1145/3383455.3422550},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/conf/icaif/WuGF20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/YagiHM20,
author = {Isao Yagi and
Mahiro Hoshino and
Takanobu Mizuta},
editor = {Tucker Balch},
title = {Analysis of the impact of maker-taker fees on the stock market using
agent-based simulation},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {1:1--1:6},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422523},
doi = {10.1145/3383455.3422523},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/YagiHM20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/YangLZW20,
author = {Hongyang Yang and
Xiao{-}Yang Liu and
Shan Zhong and
Anwar Walid},
editor = {Tucker Balch},
title = {Deep reinforcement learning for automated stock trading: an ensemble
strategy},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {31:1--31:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422540},
doi = {10.1145/3383455.3422540},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/YangLZW20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/YuanZ20,
author = {Jie Yuan and
Zhu (Drew) Zhang},
editor = {Tucker Balch},
title = {Connecting the dots: forecasting and explaining short-term market
volatility},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {10:1--10:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422518},
doi = {10.1145/3383455.3422518},
timestamp = {Thu, 30 Mar 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/YuanZ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/YuanZ20a,
author = {Jie Yuan and
Zhu (Drew) Zhang},
editor = {Tucker Balch},
title = {Market volatility prediction based on long- and short-term memory
retrieval architectures},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {52:1--52:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422545},
doi = {10.1145/3383455.3422545},
timestamp = {Thu, 30 Mar 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/YuanZ20a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhanSJL20,
author = {Ni Zhan and
Yijia Sun and
Aman Jakhar and
He Liu},
editor = {Tucker Balch},
title = {Graphical models for financial time series and portfolio selection},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {19:1--19:6},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422566},
doi = {10.1145/3383455.3422566},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhanSJL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icaif/ZhengLXHY20,
author = {Yu Zheng and
Yunpeng Li and
Qiuhua Xu and
Timothy M. Hospedales and
Yongxin Yang},
editor = {Tucker Balch},
title = {Index tracking with differentiate asset selection},
booktitle = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
pages = {12:1--12:8},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455.3422516},
doi = {10.1145/3383455.3422516},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/ZhengLXHY20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@proceedings{DBLP:conf/icaif/2020,
editor = {Tucker Balch},
title = {{ICAIF} '20: The First {ACM} International Conference on {AI} in Finance,
New York, NY, USA, October 15-16, 2020},
publisher = {{ACM}},
year = {2020},
url = {https://doi.org/10.1145/3383455},
doi = {10.1145/3383455},
isbn = {978-1-4503-7584-9},
timestamp = {Fri, 08 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icaif/2020.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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