arXiv subjects

Lukasz Szpruch

Publications and source records attributed to Lukasz Szpruch.

At least 19 recordsLinked to original sources

arXiv2026

Agent Reliability Profiles in Financial Services

AI agents can take actions. At times, those actions can go beyond what is intended. Agent reliability can be defined as assurance that an agent will stay within intended bounds and operate within limits. Today, there is no shared framework or language for describing, validating, and benchmarking the reliability of agentic deployments in financial services. This makes it difficult for financial institutions, vendors, and regulators to assess and trust agents at scale, thus limiting the pace of development and adoption. A standardized, shared representation of agent reliability would fill the gap. This paper introduces the Agent Reliability Profile, a per-agent unit of assurance evidence for agent deployments in financial services. Each Profile records a bounded, falsifiable claim, this agentic system reliably functions within its operating boundary. We define "operating boundary" as an agent having; (1) a defined autonomy tier, (2) a defined operational design domain, (3) defined classes of action, and (4) a defined control envelope. Production assurance progresses through three levels while the Profile schema remains constant: a Profile Builder compiles a Level 1 Asserted Profile from institutional evidence, a Profile Validator tests the deployment in its own environment to produce a Level 2 Validated Profile, and operation of the same tests by a qualified independent assessor produces a Level 3 Verified Profile. Separately a Benchmarked Profile reports results comparable across institutions under reference conditions. We describe the architecture, the artifact, the assurance ladder, the comparability flag, associated tools, an evaluation methodology, applications for financial institutions and supervisors, limitations, and a staged implementation program.

cs.CY↗

arXiv2026

Empirical Auditing of Edge-Private Graph Generators

We empirically audit privacy leakage by testing whether outputs from edge-neighbouring inputs remain distinguishable, using statistically valid lower bounds on the privacy loss witnessed by our attacks. Our framework compares direct-edge, local-structural, and GNN-based attacks through the geometry surrounding a target edge. Experiments across two generators and two networks show that privacy leakage is both mechanism- and network-dependent, with learned representations revealing information not captured by conventional local statistics.

stat.ML↗

arXiv2026

OpenFinGym: A Verifiable Multi-Task Gym Environment for Evaluating Quant Agents

Although large language model agents are increasingly applied to quantitative-finance workflows, their evaluation remains fragmented across isolated tasks, while the financial relevance of benchmark tasks is often overlooked. Yet financial workflows are inherently multi-stage, spanning interdependent tasks such as forecasting, strategy construction, risk management, and trading. Existing platforms typically focus on a single task, and can therefore overstate agent competence and fail to reveal weaknesses in generalization, real-market interaction, and financially meaningful decision-making. We introduce OpenFinGym, a unified gym environment for quantitative-finance agent development that covers forecasting, market generation, real-time trading, and fraud detection under a single execution and verification interface. OpenFinGym additionally provides an automated task-construction pipeline that turns quantitative finance publications into executable task packages; a containerised runtime with a host-side verifier service that supports scalable agent rollouts and prevents runtime train-test leakage; a paper trading engine with a low-latency data-stream design; deferred-resolution support for long-horizon and event-market forecasts; and integration for SFT and RL post-training

cs.AI↗

arXiv2026

Poisoning Agentic Alpha: Adversarial Vulnerabilities Across Roles and Architectures in Multi-Agent Trading Systems

LLM-based multi-agent trading systems, in which specialized agents collaborate through structured communication to produce trading decisions, are moving rapidly from research prototypes to live deployments that control real assets. The same inter-agent communication that makes them effective also exposes them: a corrupted signal can propagate to the final decision and translate into realized financial loss. Unlike prior attacks that presume privileged access to system internals, we restrict the adversary to what is practically reachable---the source data and prompts agents consume---yielding a low-barrier, and thus democratized threat model instantiated as role-specific adversaries. We present the first systematic empirical study in the financial domain to characterize how an adversarial signal enters a multi-agent trading system and how far it survives toward the decision. Along the role axis, we decompose a widely-used trading pipeline into four functional roles---Analyst, Researcher, Trader, and Risk Manager---and pair each with an attack matched to its interface. Along the structural axis, we evaluate four communication topologies under data- and agent-level attacks, using the Adversarial Signal Preservation Score (APS) as a post-hoc lens on why some designs are more robust than others. We conduct experiments across five assets, two backbones, and two target directions. A central finding is that no architecture is inherently robust. These findings provide insights for the future design of safer and more robust agentic trading systems.

cs.AI↗

arXiv2026

MOSAIC: Modular Orchestration for Structured Agentic Intelligence and Composition

Automated data science is a structured model-selection problem. A solution must choose data transformations, feature representations, architecture, training procedure, evaluation protocol, and refinement strategy for a task. AutoML systems automate parts of this process, but typically search within predefined pipeline, model, and hyperparameter spaces. LLM-based agents offer greater flexibility through retrieval, code generation, and execution feedback, yet their modelling decisions are often unstructured, difficult to verify, and hard to reuse. We introduce \textsc{MOSAIC} (Modular Orchestration for Structured Agentic Intelligence and Composition), a structured agentic framework for memory-grounded model selection and workflow construction. Given a task and dataset, \textsc{MOSAIC} builds a semantic task profile, retrieves prior cases and source-code modules, and constructs a blueprint: an intermediate representation specifying selected modelling components, composition, interface constraints, and execution requirements. This blueprint turns model selection into a staged, context-grounded search and grounds LLM-based code generation in retrieved evidence rather than unconstrained synthesis. Candidate models are validated by execution and refined using diagnostic feedback, training traces, task metrics, and a failure-aware reinforcement learning policy. We instantiate \textsc{MOSAIC} on financial time-series forecasting and generation, where models must satisfy predictive accuracy, distributional fidelity, execution reliability, and downstream financial criteria such as risk and tail behaviour. Experiments against AutoML and agentic baselines show that \textsc{MOSAIC} improves task performance, execution success, and decision traceability, demonstrating the value of treating automated data science as structured, reusable, and execution-grounded model selection.

cs.AI↗

arXiv2026

EvoTS-Agent: A Self-Evolving LLM Agent for Financial Time Series Change Point Detection

Financial time series exhibit non-stationary and heterogeneous statistical properties, making change-point detection challenging because no single unsupervised algorithm performs consistently across assets and market regimes. Conventional workflows consequently depend heavily on expert-driven model selection, feature design, and hyperparameter tuning, limiting their scalability and adaptability. We propose EvoTS-Agent, a validation-guided self-evolving LLM agent for autonomous financial time-series change-point detection. EvoTS-Agent first performs curated exploratory data analysis to characterize dataset properties and initialize candidate detection models. It then evolves executable experiment trajectories through three complementary operators: \textit{Revision} exploits the current best solution, \textit{Alternative Strategy} explores fundamentally different modeling directions when progress stagnates, and \textit{Recombination} synthesizes complementary evidence from high-performing trajectories. Validation feedback guides trajectory evolution throughout the search, enabling the agent to adapt its detection pipeline to the statistical characteristics of each dataset while preserving reliable optimization. Experiments across four benchmark datasets demonstrate that EvoTS-Agent consistently outperforms existing LLM-based agents while maintaining a 100\% execution success rate across all evaluated backbone LLMs.

cs.AI↗

arXiv2026

Underwriting the Agent Economy: The Blueprint for an AI Insurance Stack

From maritime trade to commercial nuclear power, insurance has been the enabler of major economic and technological developments by pricing risk, limiting downside, and spreading best practices. The emerging AI agent economy, projected to handle trillions of dollars in transactions by 2030, looks to be the next such development. Yet insurers' exposure to AI agent risk currently sits largely unpriced across existing insurance lines; between this silent coverage and growing exclusions, coverage is not fit for purpose. Furthermore, insurability is trending the wrong way: AI agent capabilities appear to be outpacing reliability, leading to rising incident severity; concentration among a few foundation model providers threatens correlated losses; and traditional actuarial modeling will struggle to keep pace with a technology evolving as rapidly as frontier AI. This report argues that affirmative AI coverage with limits in the billions is achievable by 2030, but only with industry-wide coordination. Drawing on successful historical precedents such as Underwriters Laboratories, the Closed Claims Project, and others, we lay out an eight-component AI insurance stack spanning incident data collection, catastrophe modeling, standards, contract design, risk selection, pricing, monitoring, and claims management. Building out this infrastructure is what will enable insurers to cover and manage AI agent risk sustainably and at scale. Finally, we discuss coverage for catastrophic risk from frontier AI ("AI CAT"), including CBRN, critical infrastructure collapse, and loss of control scenarios. Addressing these tail risks will require purpose-built instruments, potentially including a frontier model developer mutual, catastrophe bonds, bespoke liability regimes, and government backstops.

cs.CY↗

arXiv2026

Convergence of an actor-critic gradient flow for entropy regularised MDPs in general spaces

We prove the stability and global convergence of a coupled actor-critic gradient flow for infinite-horizon and entropy-regularised Markov decision processes (MDPs) in continuous state and action space with linear function approximation under Q-function realisability. We consider a version of the actor critic gradient flow where the critic is updated using temporal difference (TD) learning while the policy is updated using a policy mirror descent method on a separate timescale. For general action spaces, the relative entropy regularizer is unbounded and thus it is not clear a priori that the actor-critc flow does not suffer from finite-time blow-up. Therefore we first demonstrate stability which in turn enables us obtain a convergence rate of the actor critic flow to the optimal regularised value function. The arguments presented show that timescale separation is crucial for stability and convergence in this setting.

math.OC↗

arXiv2026

Global linear convergence of entropy-regularized softmax policy gradient beyond tabular MDPs

We study the global convergence of policy gradient for infinite-horizon entropy-regularized Markov decision processes (MDPs) with continuous state and action spaces. We consider log-linear softmax policies with linear function approximation, which extend the tabular softmax parameterization while retaining a tractable policy class. Under $Q^π_τ$-realizability for the regularized state-action value function, we first establish a non-uniform Polyak--Łojasiewicz (PŁ) inequality. The non-uniformity arises through degeneracy of constants associated with the policy geometry, namely the Fisher information matrix or an uncentered feature covariance matrix. We then identify two feature regimes under which this non-uniform constant can be bounded along the gradient flow. For full-affine-span features, we prove radial unboundedness of the KL regularizer and show that the smallest eigenvalue of the Fisher information matrix remains bounded below by an initialization-dependent positive constant. For simplex-valued features, we prove an analogous radial unboundedness result in the subspace orthogonal to the all-ones vector and obtain a uniform lower bound for the smallest eigenvalue of the uncentered covariance matrix. These results imply global linear convergence of the regularized objective along the gradient flow, i.e. suboptimality decaying as $\mathcal{O}(e^{-Ct})$ for some $C>0$. Our analysis extends the global convergence theory of entropy-regularized softmax policy gradient beyond the tabular setting of Agarwal et al. (2020); Bhandari and Russo (2024); Mei et al. (2020).

cs.LG↗

arXiv2026

Mirror descent actor-critic methods for entropy regularised MDPs in general spaces: stability and convergence

We provide theoretical guarantees for convergence of discrete-time policy mirror descent with inexact advantage functions updated using temporal difference (TD) learning for entropy regularised MDPs in Polish state and action spaces. We rigorously derive sufficient conditions under which the single-loop actor-critic scheme is stable and convergent. To weaken these conditions, we introduce a variant that performs multiple TD steps per policy update and derive an explicit lower bound on the number of TD steps required to ensure stability. Finally, we establish sub-linear convergence when the number of TD steps grows logarithmically with the number of policy updates, and linear convergence when it grows linearly under a concentrability assumption.

math.OC↗

arXiv2025

FraudTransformer: Time-Aware GPT for Transaction Fraud Detection

Detecting payment fraud in real-world banking streams requires models that can exploit both the order of events and the irregular time gaps between them. We introduce FraudTransformer, a sequence model that augments a vanilla GPT-style architecture with (i) a dedicated time encoder that embeds either absolute timestamps or inter-event values, and (ii) a learned positional encoder that preserves relative order. Experiments on a large industrial dataset -- tens of millions of transactions and auxiliary events -- show that FraudTransformer surpasses four strong classical baselines (Logistic Regression, XGBoost and LightGBM) as well as transformer ablations that omit either the time or positional component. On the held-out test set it delivers the highest AUROC and PRAUC.

cs.LG↗

arXiv2025

Structured Agentic Workflows for Financial Time-Series Modeling with LLMs and Reflective Feedback

Time-series data is central to decision-making in financial markets, yet building high-performing, interpretable, and auditable models remains a major challenge. While Automated Machine Learning (AutoML) frameworks streamline model development, they often lack adaptability and responsiveness to domain-specific needs and evolving objectives. Concurrently, Large Language Models (LLMs) have enabled agentic systems capable of reasoning, memory management, and dynamic code generation, offering a path toward more flexible workflow automation. In this paper, we introduce \textsf{TS-Agent}, a modular agentic framework designed to automate and enhance time-series modeling workflows for financial applications. The agent formalizes the pipeline as a structured, iterative decision process across three stages: model selection, code refinement, and fine-tuning, guided by contextual reasoning and experimental feedback. Central to our architecture is a planner agent equipped with structured knowledge banks, curated libraries of models and refinement strategies, which guide exploration, while improving interpretability and reducing error propagation. \textsf{TS-Agent} supports adaptive learning, robust debugging, and transparent auditing, key requirements for high-stakes environments such as financial services. Empirical evaluations on diverse financial forecasting and synthetic data generation tasks demonstrate that \textsf{TS-Agent} consistently outperforms state-of-the-art AutoML and agentic baselines, achieving superior accuracy, robustness, and decision traceability.

cs.AI↗

arXiv2025

Logarithmic regret in the ergodic Avellaneda-Stoikov market making model

We analyse the regret arising from learning the price sensitivity parameter $κ$ of liquidity takers in the ergodic version of the Avellaneda-Stoikov market making model. We show that a learning algorithm based on a maximum-likelihood estimator for the parameter achieves the regret upper bound of order $\ln^2 T$ in expectation. To obtain the result we need two key ingredients. The first is the twice differentiability of the ergodic constant under the misspecified parameter in the Hamilton-Jacobi-Bellman (HJB) equation with respect to $κ$, which leads to a second--order performance gap. The second is the learning rate of the regularised maximum-likelihood estimator which is obtained from concentration inequalities for Bernoulli signals. Numerical experiments confirm the convergence and the robustness of the proposed algorithm.

math.OC↗

arXiv2025

A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces

We study the global convergence of a Fisher-Rao policy gradient flow for infinite-horizon entropy-regularised Markov decision processes with Polish state and action space. The flow is a continuous-time analogue of a policy mirror descent method. We establish the global well-posedness of the gradient flow and demonstrate its exponential convergence to the optimal policy. Moreover, we prove the flow is stable with respect to gradient evaluation, offering insights into the performance of a natural policy gradient flow with log-linear policy parameterisation. To overcome challenges stemming from the lack of the convexity of the objective function and the discontinuity arising from the entropy regulariser, we leverage the performance difference lemma and the duality relationship between the gradient and mirror descent flows. Our analysis provides a theoretical foundation for developing various discrete policy gradient algorithms.

math.OC↗

arXiv2025

Individualised Counterfactual Examples Using Conformal Prediction Intervals

Counterfactual explanations for black-box models aim to pr ovide insight into an algorithmic decision to its recipient. For a binary classification problem an individual counterfactual details which features might be changed for the model to infer the opposite class. High-dimensional feature spaces that are typical of machine learning classification models admit many possible counterfactual examples to a decision, and so it is important to identify additional criteria to select the most useful counterfactuals. In this paper, we explore the idea that the counterfactuals should be maximally informative when considering the knowledge of a specific individual about the underlying classifier. To quantify this information gain we explicitly model the knowledge of the individual, and assess the uncertainty of predictions which the individual makes by the width of a conformal prediction interval. Regions of feature space where the prediction interval is wide correspond to areas where the confidence in decision making is low, and an additional counterfactual example might be more informative to an individual. To explore and evaluate our individualised conformal prediction interval counterfactuals (CPICFs), first we present a synthetic data set on a hypercube which allows us to fully visualise the decision boundary, conformal intervals via three different methods, and resultant CPICFs. Second, in this synthetic data set we explore the impact of a single CPICF on the knowledge of an individual locally around the original query. Finally, in both our synthetic data set and a complex real world dataset with a combination of continuous and discrete variables, we measure the utility of these counterfactuals via data augmentation, testing the performance on a held out set.

stat.ML↗

arXiv2024

Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas

In this work we study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. These equations are formulated in an infinite horizon framework and provide a probabilistic representation for elliptic Partial Differential Equations of ergodic type. In order to build our numerical scheme, we put forward a new representation of the PDE solution by using a classical probabilistic representation of the gradient. Then, based on this representation, we propose a fully implementable numerical scheme using a Picard iteration procedure, a grid space discretization and a Monte-Carlo approximation. Up to a limiting technical condition that guarantees the contraction of the Picard procedure, we obtain an upper bound for the numerical error. We also provide some numerical experiments that show the efficiency of this approach for small dimensions.

math.NA↗

arXiv2024

Pricing and hedging of decentralised lending contracts

We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions between option buyers (i.e. borrowers) and option sellers (i.e. lenders). The loan-to-value at which the contract is initiated determines the option premium borrowers pay for entering the contract, and this can be deduced from the non-arbitrage pricing theory. We show that when there are no market frictions, and there is no spread between lending and borrowing rates, it is optimal to never enter the lending contract. Next, by accounting for the spread between rates and transactional costs, we develop a deep neural network-based algorithm for learning trading strategies on the external markets that allow us to replicate the payoff of the lending contracts that are not necessarily optimally exercised. This allows hedge the risk lenders carry by issuing options sold to the borrowers, which can complement (or even replace) the liquidations mechanism used to protect lenders' capital. Our approach can also be used to exploit (statistical) arbitrage opportunities that may arise when DLP allow users to enter lending contracts with loan-to-value, which is not appropriately calibrated to market conditions or/and when different markets price risk differently. We present thorough simulation experiments using historical data and simulations to validate our approach.

q-fin.PR↗

arXiv2024

$ε$-Policy Gradient for Online Pricing

Combining model-based and model-free reinforcement learning approaches, this paper proposes and analyzes an $ε$-policy gradient algorithm for the online pricing learning task. The algorithm extends $ε$-greedy algorithm by replacing greedy exploitation with gradient descent step and facilitates learning via model inference. We optimize the regret of the proposed algorithm by quantifying the exploration cost in terms of the exploration probability $ε$ and the exploitation cost in terms of the gradient descent optimization and gradient estimation errors. The algorithm achieves an expected regret of order $\mathcal{O}(\sqrt{T})$ (up to a logarithmic factor) over $T$ trials.

cs.LG↗