Modeling subrational agents, such as humans or economic households, is inherently challenging due to the difficulty in calibrating reinforcement learning models or collecting data that involves human subjects. Existing work highlights the ability of Large Language Models (LLMs) to address complex reasoning tasks and mimic human communication, while simulation using LLMs as agents shows emergent social behaviors, potentially improving our comprehension of human conduct. In this paper, we propose to investigate the use of LLMs to generate synthetic human demonstrations, which are then used to learn subrational agent policies though Imitation Learning. We make an assumption that LLMs can be used as implicit computational models of humans, and propose a framework to use synthetic demonstrations derived from LLMs to model subrational behaviors that are characteristic of humans (e.g., myopic behavior or preference for risk aversion). We experimentally evaluate the ability of our framework to model sub-rationality through four simple scenarios, including the well-researched ultimatum game and marshmallow experiment. To gain confidence in our framework, we are able to replicate well-established findings from prior human studies associated with the above scenarios. We conclude by discussing the potential benefits, challenges and limitations of our framework.
Synthetic data has made tremendous strides in various commercial settings including finance, healthcare, and virtual reality. We present a broad overview of prototypical applications of synthetic data in the financial sector and in particular provide richer details for a few select ones. These cover a wide variety of data modalities including tabular, time-series, event-series, and unstructured arising from both markets and retail financial applications. Since finance is a highly regulated industry, synthetic data is a potential approach for dealing with issues related to privacy, fairness, and explainability. Various metrics are utilized in evaluating the quality and effectiveness of our approaches in these applications. We conclude with open directions in synthetic data in the context of the financial domain.
Financial firms commonly process and store billions of time-series data, generated continuously and at a high frequency. To support efficient data storage and retrieval, specialized time-series databases and systems have emerged. These databases support indexing and querying of time-series by a constrained Structured Query Language(SQL)-like format to enable queries like "Stocks with monthly price returns greater than 5%", and expressed in rigid formats. However, such queries do not capture the intrinsic complexity of high dimensional time-series data, which can often be better described by images or language (e.g., "A stock in low volatility regime"). Moreover, the required storage, computational time, and retrieval complexity to search in the time-series space are often non-trivial. In this paper, we propose and demonstrate a framework to store multi-modal data for financial time-series in a lower-dimensional latent space using deep encoders, such that the latent space projections capture not only the time series trends but also other desirable information or properties of the financial time-series data (such as price volatility). Moreover, our approach allows user-friendly query interfaces, enabling natural language text or sketches of time-series, for which we have developed intuitive interfaces. We demonstrate the advantages of our method in terms of computational efficiency and accuracy on real historical data as well as synthetic data, and highlight the utility of latent-space projections in the storage and retrieval of financial time-series data with intuitive query modalities.
The effective construction of an Algorithmic Trading (AT) strategy often relies on market simulators, which remains challenging due to existing methods' inability to adapt to the sequential and dynamic nature of trading activities. This work fills this gap by proposing a metric to quantify market discrepancy. This metric measures the difference between a causal effect from underlying market unique characteristics and it is evaluated through the interaction between the AT agent and the market. Most importantly, we introduce Algorithmic Trading-guided Market Simulation (ATMS) by optimizing our proposed metric. Inspired by SeqGAN, ATMS formulates the simulator as a stochastic policy in reinforcement learning (RL) to account for the sequential nature of trading. Moreover, ATMS utilizes the policy gradient update to bypass differentiating the proposed metric, which involves non-differentiable operations such as order deletion from the market. Through extensive experiments on semi-real market data, we demonstrate the effectiveness of our metric and show that ATMS generates market data with improved similarity to reality compared to the state-of-the-art conditional Wasserstein Generative Adversarial Network (cWGAN) approach. Furthermore, ATMS produces market data with more balanced BUY and SELL volumes, mitigating the bias of the cWGAN baseline approach, where a simple strategy can exploit the BUY/SELL imbalance for profit.
Synthetic time series are often used in practical applications to augment the historical time series dataset for better performance of machine learning algorithms, amplify the occurrence of rare events, and also create counterfactual scenarios described by the time series. Distributional-similarity (which we refer to as realism) as well as the satisfaction of certain numerical constraints are common requirements in counterfactual time series scenario generation requests. For instance, the US Federal Reserve publishes synthetic market stress scenarios given by the constrained time series for financial institutions to assess their performance in hypothetical recessions. Existing approaches for generating constrained time series usually penalize training loss to enforce constraints, and reject non-conforming samples. However, these approaches would require re-training if we change constraints, and rejection sampling can be computationally expensive, or impractical for complex constraints. In this paper, we propose a novel set of methods to tackle the constrained time series generation problem and provide efficient sampling while ensuring the realism of generated time series. In particular, we frame the problem using a constrained optimization framework and then we propose a set of generative methods including ``GuidedDiffTime'', a guided diffusion model to generate realistic time series. Empirically, we evaluate our work on several datasets for financial and energy data, where incorporating constraints is critical. We show that our approaches outperform existing work both qualitatively and quantitatively. Most importantly, we show that our ``GuidedDiffTime'' model is the only solution where re-training is not necessary for new constraints, resulting in a significant carbon footprint reduction.
Limit order books are a fundamental and widespread market mechanism. This paper investigates the use of conditional generative models for order book simulation. For developing a trading agent, this approach has drawn recent attention as an alternative to traditional backtesting due to its ability to react to the presence of the trading agent. Using a state-of-the-art CGAN (from Coletta et al. (2022)), we explore its dependence upon input features, which highlights both strengths and weaknesses. To do this, we use "adversarial attacks" on the model's features and its mechanism. We then show how these insights can be used to improve the CGAN, both in terms of its realism and robustness. We finish by laying out a roadmap for future work.
Learning agent behaviors from observational data has shown to improve our understanding of their decision-making processes, advancing our ability to explain their interactions with the environment and other agents. While multiple learning techniques have been proposed in the literature, there is one particular setting that has not been explored yet: multi agent systems where agent identities remain anonymous. For instance, in financial markets labeled data that identifies market participant strategies is typically proprietary, and only the anonymous state-action pairs that result from the interaction of multiple market participants are publicly available. As a result, sequences of agent actions are not observable, restricting the applicability of existing work. In this paper, we propose a Policy Clustering algorithm, called K-SHAP, that learns to group anonymous state-action pairs according to the agent policies. We frame the problem as an Imitation Learning (IL) task, and we learn a world-policy able to mimic all the agent behaviors upon different environmental states. We leverage the world-policy to explain each anonymous observation through an additive feature attribution method called SHAP (SHapley Additive exPlanations). Finally, by clustering the explanations we show that we are able to identify different agent policies and group observations accordingly. We evaluate our approach on simulated synthetic market data and a real-world financial dataset. We show that our proposal significantly and consistently outperforms the existing methods, identifying different agent strategies.
To perform advanced surveillance, Unmanned Aerial Vehicles (UAVs) require the execution of edge-assisted computer vision (CV) tasks. In multi-hop UAV networks, the successful transmission of these tasks to the edge is severely challenged due to severe bandwidth constraints. For this reason, we propose a novel A$^2$-UAV framework to optimize the number of correctly executed tasks at the edge. In stark contrast with existing art, we take an application-aware approach and formulate a novel pplication-Aware Task Planning Problem (A$^2$-TPP) that takes into account (i) the relationship between deep neural network (DNN) accuracy and image compression for the classes of interest based on the available dataset, (ii) the target positions, (iii) the current energy/position of the UAVs to optimize routing, data pre-processing and target assignment for each UAV. We demonstrate A$^2$-TPP is NP-Hard and propose a polynomial-time algorithm to solve it efficiently. We extensively evaluate A$^2$-UAV through real-world experiments with a testbed composed by four DJI Mavic Air 2 UAVs. We consider state-of-the-art image classification tasks with four different DNN models (i.e., DenseNet, ResNet152, ResNet50 and MobileNet-V2) and object detection tasks using YoloV4 trained on the ImageNet dataset. Results show that A$^2$-UAV attains on average around 38% more accomplished tasks than the state-of-the-art, with 400% more accomplished tasks when the number of targets increases significantly. To allow full reproducibility, we pledge to share datasets and code with the research community.
Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while replaying historical market scenarios. Unfortunately, this approach does not capture the market response to the experimental agents' actions. In contrast, multi-agent simulation presents a natural bottom-up approach to emulating agent interaction in financial markets. It allows to set up pools of traders with diverse strategies to mimic the financial market trader population, and test the performance of new experimental strategies. Since individual agent-level historical data is typically proprietary and not available for public use, it is difficult to calibrate multiple market agents to obtain the realism required for testing trading strategies. To addresses this challenge we propose a synthetic market generator based on Conditional Generative Adversarial Networks (CGANs) trained on real aggregate-level historical data. A CGAN-based "world" agent can generate meaningful orders in response to an experimental agent. We integrate our synthetic market generator into ABIDES, an open source simulator of financial markets. By means of extensive simulations we show that our proposal outperforms previous work in terms of stylized facts reflecting market responsiveness and realism.