J.P. Morgan AI Research Publications

(all authors are from J.P. Morgan AI Research, unless otherwise noted)

2020

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

Svitlana Vyetrenko, David Byrd (Georgia Institute of Technology), Danial Dervovic, Tucker Balch, Mahmoud Mahfouz, Nicholas Petosa (Georgia Institute of Technology)

arXiv:1912.04941 [q-fin.TR], ICAIF’20, International Conference on AI in Finance, October, 2020

Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty

Nelson Vadori, Sumitra Ganesh, Prashant Reddy, Manuela Veloso

arXiv:2006.12686 [cs.LG], ICAIF’20, International Conference on AI in Finance, October, 2020

Trading via Image Classification

Naftali Cohen, Tucker Balch, Manuela Veloso

arXiv:1907.10046 [cs.CV], ICAIF’20, International Conference on AI in Finance, October, 2020

Heuristics for Link Prediction in Multiplex Networks

Robert E. Tillman, Vamsi Potluru, Jiahao Chen, Prashant Reddy, Manuela Veloso

arXiv:2004.04704 [cs.LG], In Proceedings of ECAI'20, European Conference on Artificial Intelligence, Santiago de Compostela, Spain, June, 2020

Succinct Non-Interactive Secure Computation

Andrew Morgan (Cornell University), Rafael Pass (Cornell University), Antigoni Polychroniadou

EUROCRYPT’20, International Conference on the Theory and Applications of Cryptographic Techniques, May, 2020

Privacy-Preserving Dark Pools

Gilad Asharov, Tucker Balch, Antigoni Polychroniadou, Manuela Veloso

AAMAS’20, International Conference on Autonomous Agents and Multi-Agent Systems, Auckland, New Zealand, May, 2020

Classifying and Understand Financial Data Using Graph Neural Network

Xiaoxiao Li (Yale University), Joao Saude, Prashant Reddy, Manuela Veloso

arXiv:2002.00514 [cs.SI], AAAI’20 Workshop on Knowledge Discovery from Unstructured Data in Financial Services, February, 2020

Small Memory Robust Simulation of Client-Server Interactive Protocols over Oblivious Noisy Channels

T.-H. Hubert Chan (Hong Kong University), Zhibin Liang (Hong Kong University), Antigoni Polychroniadou, Elaine Shi (Cornell University)

SODA’20, 30th ACM-SIAM Symposium on Discrete Algorithms, Salt Lake City, Utah, January, 2020

2019

Reinforcement Learning for Market Making in a Multi-agent Dealer Market

Sumitra Ganesh, Nelson Vadori, Mengda Xu, Prashant Reddy, Manuela Veloso

arXiv:1911.05892 [q-fin.TR], NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

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

Svitlana Vyetrenko, David Byrd (Georgia Institute of Technology), Nick Petosa (Georgia Institute of Technology), Mahmoud Mahfouz, Danial Dervovic, Tucker Balch

arXiv:1912.04941 [q-fin.TR], NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

AI pptX: Robust Continuous Learning for Document Generation with AI Insights

Vineeth Ravi, Sélim Amrouni, Andrea Stefanucci, Prashant Reddy, Manuela Veloso

NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

Towards Explaining Exchange Traded Funds' Impact on Market Volatility Using an Agent-based Model

Megan J Shearer (University of Michigan), David Byrd (Georgia Institute of Technology), Tucker Balch

NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

Latent Bayesian Inference for Robust Earnings Estimates

Chirag Nagpal (Carnegie Mellon University), Robert E Tillman, Prashant Reddy, Manuela Veloso

arXiv:2004.06565 [q-fin.ST], NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

On the Importance of Opponent Modeling in Auction Markets

Mahmoud Mahfouz, Angelos Filos, Cyrine Chtourou, Joshua Lockhart, Samuel Assefa, Manuela Veloso, Danilo Mandic (Imperial College), Tucker Balch

arXiv:1911.12816 [q-fin.CP], NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

Generating Synthetic Data in Finance: Opportunities, Challenges and Pitfalls

Samuel Assefa, Danial Dervovic, Mahmoud Mahfouz, Tucker Balch, Prashant Reddy, Manuela Veloso

NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

SMPAI: Secure Multi-Party Computation for Federated Learning

Antigoni Polychroniadou, Vaikkunth Mugunthan (MIT), David Byrd (Georgia Institute of Technology), Tucker Balch

NeurIPS'19 Workshop on Robust AI in Financial Services, Vancouver, Canada, December, 2019

Multi-Agent Simulation for Pricing and Hedging in a Dealer

Sumitra Ganesh, Nelson Vadori*, Mengda Xu*, Hua Zheng, Prashant Reddy, Manuela Veloso

ICML'19 Workshop on AI in Finance, Long Beach, CA, June, 2019

Some People Aren’t Worth Listening to: Periodically Retraining Classifiers with Feedback from a Team of End Users

Joshua Lockhart, Samuel Assefa, Tucker Balch, Manuela Veloso

arXiv:2004.13152 [cs.LG], ICML'19 Workshop on AI in Finance, Long Beach, CA, June, 2019

How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?

Tucker Balch, Mahmoud Mahfouz, Joshua Lockhart, Maria Hybinette (University of Georgia), David Byrd (Georgia Institute of Technology)

arXiv:1906.12010 [q-fin.TR], ICML'19 Workshop on AI in Finance, Long Beach, CA, June, 2019

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

Svitlana Vyetrenko, Shaojie Xu (Georgia Institute of Technology)

arXiv:1906.02312 [q-fin.TR], ICML'19 Workshop on AI in Finance, Long Beach, CA, June, 2019

Small Memory Robust Simulation of Interactive Protocols over Oblivious Noisy Channels

Hubert Chan, Zhibin Liang (Hong Kong University), Antigoni Polychroniadou, Elaine Shi (Cornell University)

arXiv:1910.12175 [cs.IT], ACM - SIAM'19 Symposium on Discrete Algorithms, San Diego, CA, January, 2019

The Effect of Visual Design in Image Classification

Naftali Cohen, Tucker Balch, Manuela Veloso

arXiv:1907.09567 [cs.CV], August, 2019

*Equal contribution by the authors

This [paper/presentation] was prepared for information purposes by the [Artificial Intelligence Research] group of JPMorgan Chase & Co and its affiliates (“JP Morgan”), and is not a product of the Research Department of JP Morgan. JP Morgan makes no representation and warranty whatsoever and disclaims all liability, for the completeness, accuracy or reliability of the information contained herein. This document is not intended as investment research or investment advice, or a recommendation, offer or solicitation for the purchase or sale of any security, financial instrument, financial product or service, or to be used in any way for evaluating the merits of participating in any transaction, and shall not constitute a solicitation under any jurisdiction or to any person, if such solicitation under such jurisdiction or to such person would be unlawful.