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Anton Kolonin

Publications and source records attributed to Anton Kolonin.

33 records · Page 2Linked to original sources
arXiv2022

Adaptive Multi-Strategy Market-Making Agent For Volatile Markets

Crypto-currency market uncertainty drives the need to find adaptive solutions to maximise gain or at least to avoid loss throughout the periods of trading activity. Given the high dimensionality and complexity of the state-action space in this domain, it can be treated as a "Narrow AGI" problem with the scope of goals and environments bound to financial markets. Adaptive Multi-Strategy Agent approach for market-making introduces a new solution to maximise positive "alpha" in long-term handling limit order book (LOB) positions by using multiple sub-agents implementing different strategies with a dynamic selection of these agents based on changing market conditions. AMSA provides no specific strategy of its own while being responsible for segmenting the periods of market-making activity into smaller execution sub-periods, performing internal backtesting on historical data on each of the sub-periods, doing sub- agent performance evaluation and re-selection of them at the end of each sub- period, and collecting returns and losses incrementally. With this approach, the return becomes a function of hyper-parameters such as market data granularity (refresh rate), the execution sub-period duration, number of active sub-agents, and their individual strategies. Sub-agent selection for the next trading sub-period is made based on return/loss and alpha values obtained during internal backtesting as well as real trading. Experiments with the AMSA have been performed under different market conditions relying on historical data and proved a high probability of positive alpha throughout the periods of trading activity in the case of properly selected hyper-parameters.

q-fin.TR↗
arXiv2022

Causal Analysis of Generic Time Series Data Applied for Market Prediction

We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical discussion is followed by description of the practical approach for specific environment of time series data with diverse nature and sparsity, as applied for environments of financial markets. The data involves various financial metrics computable from raw market data such as real-time trades and snapshots of the limit order book as well as metrics determined upon social media news streams such as sentiment and different cognitive distortions. The approach is backed up with presentation of algorithmic framework for data acquisition and analysis, concluded with experimental results, and summary pointing out at the possibility to discriminate causal connections between different sorts of real field market data with further discussion on present issues and possible directions of the following work.

q-fin.ST↗
arXiv2022

Social Media Sentiment Analysis for Cryptocurrency Market Prediction

In this paper, we explore the usability of different natural language processing models for the sentiment analysis of social media applied to financial market prediction, using the cryptocurrency domain as a reference. We study how the different sentiment metrics are correlated with the price movements of Bitcoin. For this purpose, we explore different methods to calculate the sentiment metrics from a text finding most of them not very accurate for this prediction task. We find that one of the models outperforms more than 20 other public ones and makes it possible to fine-tune it efficiently given its interpretable nature. Thus we confirm that interpretable artificial intelligence and natural language processing methods might be more valuable practically than non-explainable and non-interpretable ones. In the end, we analyse potential causal connections between the different sentiment metrics and the price movements.

cs.CL↗
arXiv2022

Brain Principles Programming

In the monograph, STRONG ARTIFICIAL INTELLIGENCE. On the Approaches to Superintelligence, published by Sberbank, provides a cross-disciplinary review of general artificial intelligence. As an anthropomorphic direction of research, it considers Brain Principles Programming, BPP) the formalization of universal mechanisms (principles) of the brain's work with information, which are implemented at all levels of the organization of nervous tissue. This monograph provides a formalization of these principles in terms of the category theory. However, this formalization is not enough to develop algorithms for working with information. In this paper, for the description and modeling of Brain Principles Programming, it is proposed to apply mathematical models and algorithms developed by us earlier that model cognitive functions, which are based on well-known physiological, psychological and other natural science theories. The paper uses mathematical models and algorithms of the following theories: P.K.Anokhin's Theory of Functional Brain Systems, Eleonor Rosh's prototypical categorization theory, Bob Rehter's theory of causal models and natural classification. As a result, the formalization of the BPP is obtained and computer examples are given that demonstrate the algorithm's operation.

q-bio.NC↗
arXiv2021

Architecture of Automated Crypto-Finance Agent

We present the cognitive architecture of an autonomous agent for active portfolio management in decentralized finance, involving activities such as asset selection, portfolio balancing, liquidity provision, and trading. Partial implementation of the architecture is provided and supplied with preliminary results and conclusions.

cs.AI↗
arXiv2021

Proof-of-Reputation: An Alternative Consensus Mechanism for Blockchain Systems

Blockchains combine other technologies, such as cryptography, networking, and incentive mechanisms, to enable the creation, validation, and recording of transactions between participating nodes. A consensus algorithm is used in a blockchain system to determine the shared state among distributed nodes. An important component underlying any blockchain-based system is its consensus mechanism, which principally determines the performance and security of the overall system. As the nature of peer-to- peer(P2P) networks is open and dynamic, the security risk within that environment is greatly increased mostly because nodes can join and leave the network at will. Thus, it is important to have a system that can check against malicious behaviour. In this work, we propose a reputation-based consensus mechanism for blockchain-based systems, Proof-of-Reputation(PoR) where the nodes with the highest reputation values eventually become part of a consensus group that determines the state of the blockchain.

cs.SI↗
arXiv2021

Natural Language Generation Using Link Grammar for General Conversational Intelligence

Many current artificial general intelligence (AGI) and natural language processing (NLP) architectures do not possess general conversational intelligence--that is, they either do not deal with language or are unable to convey knowledge in a form similar to the human language without manual, labor-intensive methods such as template-based customization. In this paper, we propose a new technique to automatically generate grammatically valid sentences using the Link Grammar database. This natural language generation method far outperforms current state-of-the-art baselines and may serve as the final component in a proto-AGI question answering pipeline that understandably handles natural language material.

cs.CL↗
arXiv2020

Controlled Language and Baby Turing Test for General Conversational Intelligence

General conversational intelligence appears to be an important part of artificial general intelligence. Respectively, it requires accessible measures of the intelligence quality and controllable ways of its achievement, ideally - having the linguistic and semantic models represented in a reasonable way. Our work is suggesting to use Baby Turing Test approach to extend the classic Turing Test for conversational intelligence and controlled language based on semantic graph representation extensible for arbitrary subject domain. We describe how the two can be used together to build a general-purpose conversational system such as an intelligent assistant for online media and social network data processing.

cs.AI↗
arXiv2019

Latent Semantic Search and Information Extraction Architecture

The motivation, concept, design and implementation of latent semantic search for search engines have limited semantic search, entity extraction and property attribution features, have insufficient accuracy and response time of latent search, may impose privacy concerns and the search results are unavailable in offline mode for robotic search operations. The alternative suggestion involves autonomous search engine with adaptive storage consumption, configurable search scope and latent search response time with built-in options for entity extraction and property attribution available as open source platform for mobile, desktop and server solutions. The suggested architecture attempts to implement artificial general intelligence (AGI) principles as long as autonomous behaviour constrained by limited resources is concerned, and it is applied for specific task of enabling Web search for artificial agents implementing the AGI.

cs.IR↗
arXiv2019

A Reputation System for Multi-Agent Marketplaces

We present an exploration of a reputation system based on explicit ratings weighted by the values of corresponding financial transactions from the perspective of its ability to grant "security" to market participants by protecting them from scam and "equity" in terms of having real qualities of the participants correctly assessed. We present a simulation modeling approach based on the selected reputation system and discuss the results of the simulation.

cs.MA↗
arXiv2019

A Reputation System for Marketplaces - Viability Assessment

In this work we explore the implementation of the reputation system for a generic marketplace, describe details of the algorithm and parameters driving its operation, justify an approach to simulation modeling, and explore how various kinds of reputation systems with different parameters impact the economic security of the marketplace. Our emphasis here is on the protection of consumers by means of an ability to distinguish between cheating participants and honest participants, as well as the ability to minimize losses of honest participants due to scam.

cs.SI↗
arXiv2018

Reputation System for Online Communities (in Russian)

Understanding the principles of consensus in communities and finding ways to optimal solutions beneficial for entire community becomes crucial as the speeds and scales of interaction in modern distributed systems increase. Such systems can be both social and information computer networks that unite the masses of people as well as multi-agent computing platforms based on peer-to-peer interactions including those operating on the basis of distributed ledgers. It is now becoming possible for hybrid ecosystems to emerge, having such systems including both humans and computer systems using artificial intelligence. We propose a new form of consensus for all of the listed systems, based on the reputation of the participants, calculated according to the principle of "liquid democracy". We believe that such a system will be more resistant to social engineering and reputation manipulation than the existing systems. In this article, we discuss the basic principles and options for implementing such a system, and also present preliminary practical results.

cs.SI↗
arXiv2018

Representing scenarios for process evolution management

In the following writing we discuss a conceptual framework for representing events and scenarios from the perspective of a novel form of causal analysis. This causal analysis is applied to the events and scenarios so as to determine measures that could be used to manage the development of the processes that they are a part of in real time. An overall terminological framework and entity-relationship model are suggested along with a specification of the functional sets involved in both reasoning and analytics. The model is considered to be a specific case of the generic problem of finding sequential series in disparate data. The specific inference and reasoning processes are identified for future implementation.

cs.AI↗
arXiv2018

A Reputation System for Artificial Societies

One approach to achieving artificial general intelligence (AGI) is through the emergence of complex structures and dynamic properties arising from decentralized networks of interacting artificial intelligence (AI) agents. Understanding the principles of consensus in societies and finding ways to make consensus more reliable becomes critically important as connectivity and interaction speed increase in modern distributed systems of hybrid collective intelligences, which include both humans and computer systems. We propose a new form of reputation-based consensus with greater resistance to reputation gaming than current systems have. We discuss options for its implementation, and provide initial practical results.

cs.AI↗