We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Our solution is important because each method offers strengths and weaknesses that expose or conceal flaws in the subject strategy. A key weakness of Market Replay is that the simulated market does not substantially adapt to or respond to the presence of the experimental strategy. IABS methods provide an artificial market for the experimental strategy using a population of background trading agents. Because the background agents attend to market conditions and current price as part of their strategy, the overall market is responsive to the presence of the experimental strategy. Even so, IABS methods have their own weaknesses, primarily that it is unclear if the market environment they provide is realistic. We describe our approach in detail, and illustrate its use in an example application: The evaluation of market impact for various size orders.
In this section, we refer to the ABIDES simulation framework @cite_14 with an obfuscated name and citation for the sake of peer review anonymity. After peer review, references to ABIDES will be replaced with the proper framework name and the real citation will be included.
@cite_14
2941903151 2165636119 2070240571 2251332263
We introduce ABIDES, an Agent-Based Interactive Discrete Event Simulation environment. ABIDES is designed from the ground up to support AI agent research in market applications. While simulations are certainly available within trading firms for their own internal use, there are no broadly available high-fidelity market simulation environments. We hope that the availability of such a platform will facilitate AI research in this important area. ABIDES currently enables the simulation of tens of thousands of trading agents interacting with an exchange agent to facilitate transactions. It supports configurable pairwise network latencies between each individual agent as well as the exchange. Our simulator's message-based design is modeled after NASDAQ's published equity trading protocols ITCH and OUCH. We introduce the design of the simulator and illustrate its use and configuration with sample code, validating the environment with example trading scenarios. The utility of ABIDES is illustrated through experiments to develop a market impact model. We close with discussion of future experimental problems it can be used to explore, such as the development of ML-based trading algorithms. In this work, we address the problem of joint modeling of text and citations in the topic modeling framework. We present two different models called the Pairwise-Link-LDA and the Link-PLSA-LDA models. The Pairwise-Link-LDA model combines the ideas of LDA [4] and Mixed Membership Block Stochastic Models [1] and allows modeling arbitrary link structure. However, the model is computationally expensive, since it involves modeling the presence or absence of a citation (link) between every pair of documents. The second model solves this problem by assuming that the link structure is a bipartite graph. As the name indicates, Link-PLSA-LDA model combines the LDA and PLSA models into a single graphical model. Our experiments on a subset of Citeseer data show that both these models are able to predict unseen data better than the baseline model of Erosheva and Lafferty [8], by capturing the notion of topical similarity between the contents of the cited and citing documents. Our experiments on two different data sets on the link prediction task show that the Link-PLSA-LDA model performs the best on the citation prediction task, while also remaining highly scalable. In addition, we also present some interesting visualizations generated by each of the models. In this paper we present a novel approach to disambiguate textual mentions of named entities against the Wikipedia knowledge base. The conditional dependencies between different named entities across Wikipedia are represented as a Markov network. In our approach, named entities are treated as hidden variables and textual mentions as observations. The number of states and observations is huge and naively using the Viterbi algorithm to find the hidden state sequence that emits the query observation sequence is computationally infeasible, given a state space of this size. Based on an observation that is specific to the disambiguation problem, we propose an approach that uses a tailored approximation to reduce the size of the state space, making the Viterbi algorithm feasible. Results show good improvement in disambiguation accuracy relative to the baseline approach and to some state-of-the-art approaches. Also, our approach shows how, with suitable approximations, HMMs can be used in such large-scale state space problems. We consider the task of identifying and labeling the semantic arguments of a predicate that evokes a FrameNet frame. This task is challenging because there are only a few thousand fully annotated sentences for supervised training. Our approach augments an existing model with features derived from FrameNet and PropBank and with partially annotated exemplars from FrameNet. We observe a 4 absolute increase in F1 versus the original model.