Generating synthetic data in finance: opportunities, challenges and pitfalls

SA Assefa, D Dervovic, M Mahfouz, RE Tillman… - Proceedings of the First …, 2020 - dl.acm.org
Financial services generate a huge volume of data that is extremely complex and varied.
These datasets are often stored in silos within organisations for various reasons, including …

Flamingo: Multi-round single-server secure aggregation with applications to private federated learning

Y Ma, J Woods, S Angel… - … IEEE Symposium on …, 2023 - ieeexplore.ieee.org
This paper introduces Flamingo, a system for secure aggregation of data across a large set
of clients. In secure aggregation, a server sums up the private inputs of clients and obtains …

Differentially private secure multi-party computation for federated learning in financial applications

D Byrd, A Polychroniadou - Proceedings of the First ACM International …, 2020 - dl.acm.org
Federated Learning enables a population of clients, working with a trusted server, to
collaboratively learn a shared machine learning model while keeping each client's data …

A Review of Reinforcement Learning in Financial Applications

Y Bai, Y Gao, R Wan, S Zhang… - Annual Review of …, 2024 - annualreviews.org
In recent years, there has been a growing trend of applying reinforcement learning (RL) in
financial applications. This approach has shown great potential for decision-making tasks in …

Reinforcement learning for quantitative trading

S Sun, R Wang, B An - ACM Transactions on Intelligent Systems and …, 2023 - dl.acm.org
Quantitative trading (QT), which refers to the usage of mathematical models and data-driven
techniques in analyzing the financial market, has been a popular topic in both academia and …

Get real: Realism metrics for robust limit order book market simulations

S Vyetrenko, D Byrd, N Petosa, M Mahfouz… - Proceedings of the First …, 2020 - dl.acm.org
Market simulation is an increasingly important method for evaluating and training trading
strategies and testing" what if" scenarios. The extent to which results from these simulations …

Towards realistic market simulations: a generative adversarial networks approach

A Coletta, M Prata, M Conti, E Mercanti… - Proceedings of the …, 2021 - dl.acm.org
Simulated environments are increasingly used by trading firms and investment banks to
evaluate trading strategies before approaching real markets. Backtesting, a widely used …

[PDF][PDF] Smpai: Secure multi-party computation for federated learning

V Mugunthan, A Polychroniadou, D Byrd… - Proceedings of the …, 2019 - jpmorgan.com
Federated Learning is a technique that enables a large number of users to jointly learn a
shared machine learning model, managed by a centralized server, while the training data …

ABIDES-gym: gym environments for multi-agent discrete event simulation and application to financial markets

S Amrouni, A Moulin, J Vann, S Vyetrenko… - Proceedings of the …, 2021 - dl.acm.org
Model-free Reinforcement Learning (RL) requires the ability to sample trajectories by taking
actions in the original problem environment or a simulated version of it. Breakthroughs in the …

Learning to simulate realistic limit order book markets from data as a world agent

A Coletta, A Moulin, S Vyetrenko, T Balch - Proceedings of the third acm …, 2022 - dl.acm.org
Multi-agent market simulators usually require careful calibration to emulate real markets,
which includes the number and the type of agents. Poorly calibrated simulators can lead to …