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Optimal Stopping with Gaussian Processes


Sep 22, 2022
Kshama Dwarakanath, Danial Dervovic, Peyman Tavallali, Svitlana S Vyetrenko, Tucker Balch


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Online Learning for Mixture of Multivariate Hawkes Processes


Aug 16, 2022
Mohsen Ghassemi, Niccolò Dalmasso, Simran Lamba, Vamsi K. Potluru, Sameena Shah, Tucker Balch, Manuela Veloso

* 12 pages, 6 figures, 3 tables 

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Differentially Private Learning of Hawkes Processes


Jul 27, 2022
Mohsen Ghassemi, Eleonora Kreačić, Niccolò Dalmasso, Vamsi K. Potluru, Tucker Balch, Manuela Veloso

* 30 pages, 4 figures 

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CTMSTOU driven markets: simulated environment for regime-awareness in trading policies


Feb 03, 2022
Selim Amrouni, Aymeric Moulin, Tucker Balch

* fix typo in title 

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Efficient Calibration of Multi-Agent Market Simulators from Time Series with Bayesian Optimization


Dec 03, 2021
Yuanlu Bai, Henry Lam, Svitlana Vyetrenko, Tucker Balch


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ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets


Oct 27, 2021
Selim Amrouni, Aymeric Moulin, Jared Vann, Svitlana Vyetrenko, Tucker Balch, Manuela Veloso


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Towards Realistic Market Simulations: a Generative Adversarial Networks Approach


Oct 25, 2021
Andrea Coletta, Matteo Prata, Michele Conti, Emanuele Mercanti, Novella Bartolini, Aymeric Moulin, Svitlana Vyetrenko, Tucker Balch

* 8 pages, 9 figures, ICAIF'21 - 2nd ACM International Conference on AI in Finance 

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Learning who is in the market from time series: market participant discovery through adversarial calibration of multi-agent simulators


Aug 02, 2021
Victor Storchan, Svitlana Vyetrenko, Tucker Balch


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Visual Time Series Forecasting: An Image-driven Approach


Jul 02, 2021
Naftali Cohen, Srijan Sood, Zhen Zeng, Tucker Balch, Manuela Veloso


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Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Set


May 27, 2021
Yuanlu Bai, Tucker Balch, Haoxian Chen, Danial Dervovic, Henry Lam, Svitlana Vyetrenko


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