arXiv subjects

Svitlana Vyetrenko

Publications and source records attributed to Svitlana Vyetrenko.

44 records · Page 3Linked to original sources

arXiv2021

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

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 field of RL have been largely facilitated by the development of dedicated open source simulators with easy to use frameworks such as OpenAI Gym and its Atari environments. In this paper we propose to use the OpenAI Gym framework on discrete event time based Discrete Event Multi-Agent Simulation (DEMAS). We introduce a general technique to wrap a DEMAS simulator into the Gym framework. We expose the technique in detail and implement it using the simulator ABIDES as a base. We apply this work by specifically using the markets extension of ABIDES, ABIDES-Markets, and develop two benchmark financial markets OpenAI Gym environments for training daily investor and execution agents. As a result, these two environments describe classic financial problems with a complex interactive market behavior response to the experimental agent's action.

cs.MA↗

arXiv2021

Towards Realistic Market Simulations: a Generative Adversarial Networks Approach

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.

cs.AI↗

arXiv2021

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

In electronic trading markets often only the price or volume time series, that result from interaction of multiple market participants, are directly observable. In order to test trading strategies before deploying them to real-time trading, multi-agent market environments calibrated so that the time series that result from interaction of simulated agents resemble historical are often used. To ensure adequate testing, one must test trading strategies in a variety of market scenarios -- which includes both scenarios that represent ordinary market days as well as stressed markets (most recently observed due to the beginning of COVID pandemic). In this paper, we address the problem of multi-agent simulator parameter calibration to allow simulator capture characteristics of different market regimes. We propose a novel two-step method to train a discriminator that is able to distinguish between "real" and "fake" price and volume time series as a part of GAN with self-attention, and then utilize it within an optimization framework to tune parameters of a simulator model with known agent archetypes to represent a market scenario. We conclude with experimental results that demonstrate effectiveness of our method.

cs.LG↗

arXiv2021

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

Stochastic simulation aims to compute output performance for complex models that lack analytical tractability. To ensure accurate prediction, the model needs to be calibrated and validated against real data. Conventional methods approach these tasks by assessing the model-data match via simple hypothesis tests or distance minimization in an ad hoc fashion, but they can encounter challenges arising from non-identifiability and high dimensionality. In this paper, we investigate a framework to develop calibration schemes that satisfy rigorous frequentist statistical guarantees, via a basic notion that we call eligibility set designed to bypass non-identifiability via a set-based estimation. We investigate a feature extraction-then-aggregation approach to construct these sets that target at multivariate outputs. We demonstrate our methodology on several numerical examples, including an application to calibration of a limit order book market simulator (ABIDES).

stat.ME↗

arXiv2021

Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response

We demonstrate an application of risk-sensitive reinforcement learning to optimizing execution in limit order book markets. We represent taking order execution decisions based on limit order book knowledge by a Markov Decision Process; and train a trading agent in a market simulator, which emulates multi-agent interaction by synthesizing market response to our agent's execution decisions from historical data. Due to market impact, executing high volume orders can incur significant cost. We learn trading signals from market microstructure in presence of simulated market response and derive explainable decision-tree-based execution policies using risk-sensitive Q-learning to minimize execution cost subject to constraints on cost variance.

q-fin.TR↗

arXiv2019

Get Real: Realism Metrics for Robust Limit Order Book Market Simulations

Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for testing hypotheses about market structure. A challenge, however, concerns the robustness of policies validated in simulation because the simulations lack fidelity. In fact, researchers have shown that many market simulation approaches fail to reproduce statistics and stylized facts seen in real markets. As a step towards addressing this we surveyed the literature to collect a set of reference metrics and applied them to real market data and simulation output. Our paper provides a comprehensive catalog of these metrics including mathematical formulations where appropriate. Our results show that there are still significant discrepancies between simulated markets and real ones. However, this work serves as a benchmark against which we can measure future improvement.

q-fin.TR↗

arXiv2010

Multiple-access Network Information-flow and Correction Codes

This work considers the multiple-access multicast error-correction scenario over a packetized network with $z$ malicious edge adversaries. The network has min-cut $m$ and packets of length $\ell$, and each sink demands all information from the set of sources $\sources$. The capacity region is characterized for both a "side-channel" model (where sources and sinks share some random bits that are secret from the adversary) and an "omniscient" adversarial model (where no limitations on the adversary's knowledge are assumed). In the "side-channel" adversarial model, the use of a secret channel allows higher rates to be achieved compared to the "omniscient" adversarial model, and a polynomial-complexity capacity-achieving code is provided. For the "omniscient" adversarial model, two capacity-achieving constructions are given: the first is based on random subspace code design and has complexity exponential in $\ell m$, while the second uses a novel multiple-field-extension technique and has $O(\ell m^{|\sources|})$ complexity, which is polynomial in the network size. Our code constructions are "end-to-end" in that all nodes except the sources and sinks are oblivious to the adversaries and may simply implement predesigned linear network codes (random or otherwise). Also, the sources act independently without knowledge of the data from other sources.

cs.IT↗

arXiv2010

Universal and Robust Distributed Network Codes

Random linear network codes can be designed and implemented in a distributed manner, with low computational complexity. However, these codes are classically implemented over finite fields whose size depends on some global network parameters (size of the network, the number of sinks) that may not be known prior to code design. Also, if new nodes join the entire network code may have to be redesigned. In this work, we present the first universal and robust distributed linear network coding schemes. Our schemes are universal since they are independent of all network parameters. They are robust since if nodes join or leave, the remaining nodes do not need to change their coding operations and the receivers can still decode. They are distributed since nodes need only have topological information about the part of the network upstream of them, which can be naturally streamed as part of the communication protocol. We present both probabilistic and deterministic schemes that are all asymptotically rate-optimal in the coding block-length, and have guarantees of correctness. Our probabilistic designs are computationally efficient, with order-optimal complexity. Our deterministic designs guarantee zero error decoding, albeit via codes with high computational complexity in general. Our coding schemes are based on network codes over ``scalable fields". Instead of choosing coding coefficients from one field at every node, each node uses linear coding operations over an ``effective field-size" that depends on the node's distance from the source node. The analysis of our schemes requires technical tools that may be of independent interest. In particular, we generalize the Schwartz-Zippel lemma by proving a non-uniform version, wherein variables are chosen from sets of possibly different sizes. We also provide a novel robust distributed algorithm to assign unique IDs to network nodes.

cs.IT↗