Adversarial Attacks on Deep Algorithmic Trading Policies

Deep Reinforcement Learning (DRL) has become an appealing solution to algorithmic trading such as high frequency trading of stocks and cyptocurrencies. However, DRL have been shown to be susceptible to adversarial attacks. It follows that algorithmic trading DRL agents may also be compromised by such adversarial techniques, leading to policy manipulation. In this paper, we develop a threat model for deep trading policies, and propose two attack techniques for manipulating the performance of such policies at test-time. Furthermore, we demonstrate the effectiveness of the proposed attacks against benchmark and real-world DQN trading agents.

PermuteAttack: Counterfactual Explanation of Machine Learning Credit Scorecards

This paper is a note on new directions and methodologies for validation and explanation of Machine Learning (ML) models employed for retail credit scoring in finance. Our proposed framework draws motivation from the field of Artificial Intelligence (AI) security and adversarial ML where the need for certifying the performance of the ML algorithms in the face of their overwhelming complexity poses a need for rethinking the traditional notions of model architecture selection, sensitivity analysis and stress testing. Our point of view is that the phenomenon of adversarial perturbations when detached from the AI security domain, has purely algorithmic roots and fall within the scope of model risk assessment. We propose a model criticism and explanation framework based on adversarially generated counterfactual examples for tabular data. A counterfactual example to a given instance in this context is defined as a synthetically generated data point sampled from the estimated data distribution which is treated differently by a model. The counterfactual examples can be used to provide a black-box instance-level explanation of the model behaviour as well as studying the regions in the input space where the model performance deteriorates. Adversarial example generating algorithms are extensively studied in the image and natural language processing (NLP) domains. However, most financial data come in tabular format and naive application of the existing techniques on this class of datasets generates unrealistic samples. In this paper, we propose a counterfactual example generation method capable of handling tabular data including discrete and categorical variables. Our proposed algorithm uses a gradient-free optimization based on genetic algorithms and therefore is applicable to any classification model.

Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds

This paper studies an application of machine learning in extracting features from the historical market implied corporate bond yields. We consider an example of a hypothetical illiquid fixed income market. After choosing a surrogate liquid market, we apply the Denoising Autoencoder (DAE) algorithm to learn the features of the missing yield parameters from the historical data of the instruments traded in the chosen liquid market. The DAE algorithm is then challenged by two "point-in-time" inpainting algorithms taken from the image processing and computer vision domain. It is observed that, when tested on unobserved rate surfaces, the DAE algorithm exhibits superior performance thanks to the features it has learned from the historical shapes of yield curves.

Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)

This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields. We consider the example of a hypothetical illiquid fixed income market. After choosing a surrogate liquid market, we apply the Denoising Autoencoder algorithm from the field of computer vision and pattern recognition to learn the features of the missing yield parameters from the historically implied data of the instruments traded in the chosen liquid market. The results of the trained machine learning algorithm are compared with the outputs of a point in- time 2 dimensional interpolation algorithm known as the Thin Plate Spline. Finally, the performances of the two algorithms are compared.