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4th ICAIF 2024: Brooklyn, NY, USA
- Proceedings of the 5th ACM International Conference on AI in Finance, ICAIF 2024, Brooklyn, NY, USA, November 14-17, 2024. ACM 2024, ISBN 979-8-4007-1081-0
Asset Allocation, Robustness, and Risk
- Szymon Kubiak
, Tillman Weyde
Denoising Diffusion Probabilistic Model for Realistic Financial Correlation Matrices. 1-9 - Hongda Shen
Generational Knowledge Transfer for Model Robustness & Agility: Label Augmentation for Time-Sensitive Financial Services Applications. 10-18 - Carlo Nicolini
Hopfield networks for asset allocation. 19-26 - Edward Stevinson
Reducing Return Volatility in Neural Network-Based Asset Allocation via Formal Verification and Certified Training. 27-35
Fairness, Explainability and Other
- Anne M. Tumlin
FairNNV: The Neural Network Verification Tool For Certifying Fairness. 36-44 - Guanchao Feng
Open Set Recognition for Random Forest. 45-53 - Elizabeth Fons
TADACap: Time-series Adaptive Domain-Aware Captioning. 54-62 - Dangxing Chen
Why Groups Matter: Necessity of Group Structures in Attributions. 63-71
Generative models
- Zhuohan Wang
A Financial Time Series Denoiser Based on Diffusion Models. 72-80 - Juraj Zelman
Adversarial Inverse Reinforcement Learning for Market Making. 81-89 - Ruma Roy
FraudDiffuse: Diffusion-aided Synthetic Fraud Augmentation for Improved Fraud Detection. 90-98 - Achintya Gopal
NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities. 99-107
Generative models and data-driven simulation
- Shojiro Tsutsui
A Case Study on Enhancing Inquiry Response in a Non-Life Insurance Company Using Generative AI. 108-116 - Chris Mascioli
A Financial Market Simulation Environment for Trading Agents Using Deep Reinforcement Learning. 117-125 - Sohyeon Kwon
Can GANs Learn the Stylized Facts of Financial Time Series? 126-133 - Giorgos Iacovides
FinLlama: LLM-Based Financial Sentiment Analysis for Algorithmic Trading. 134-141 - Jeevesh Natarajan
Generative-CNN for Pattern Recognition in Finance. 142-149 - Alexander Michael Rusnak
Macroeconomic Conditioned Synthetic Financial Markets. 150-158 - Simone Brusatin
Simulating the Economic Impact of Rationality through Reinforcement Learning and Agent-Based Modelling. 159-167 - Kshama Dwarakanath
Tax Credits and Household Behavior: The Roles of Myopic Decision-Making and Liquidity in a Simulated Economy. 168-176
Graph theory and Clustering
- Nail Khelifa
Cluster-driven Hierarchical Representation of Large Asset Universes for Optimal Portfolio Construction. 177-185 - John R. J. Thompson
Functional Mixed-type Clustering of Investors' Daily Returns During a Market Shock Change-point and Recovery. 186-194 - Kiwhan Song
Identifying Money Laundering Subgraphs on the Blockchain. 195-203 - Cheng-Wei Lin
Time-aware Graph Attention Networks for Multiperiod Default Prediction. 204-212
Graphs, Clustering, and Spoofing
- Nathalia M. Castellanos
Can an unsupervised clustering algorithm reproduce a categorization system? 213-221 - Jovan Blanusa
Graph Feature Preprocessor: Real-time Subgraph-based Feature Extraction for Financial Crime Detection. 222-230 - Ashraf Ghiye
Rolling Forward: Enhancing LightGCN with Causal Graph Convolution for Credit Bond Recommendation. 231-238 - Anri Gu
The Effect of Liquidity on the Spoofability of Financial Markets. 239-247
Large Language Models and Counterfactual Explanations
- Jingyi Gu
Adaptive and Explainable Margin Trading via Large Language Models on Portfolio Management. 248-256 - Yupeng Cao
ECC Analyzer: Extracting Trading Signal from Earnings Conference Calls using Large Language Model for Stock Volatility Prediction. 257-265 - Kuldeep Singh
FinQAPT: Empowering Financial Decisions with End-to-End LLM-driven Question Answering Pipeline. 266-273 - Emmanouil Panagiotou
TABCF: Counterfactual Explanations for Tabular Data Using a Transformer-Based VAE. 274-282
LLMs and Graphs
- Sander Noels
A Dutch Financial Large Language Model. 283-291 - Junhong Lin
FraudGT: A Simple, Effective, and Efficient Graph Transformer for Financial Fraud Detection. 292-300 - Varad Srivastava
Lending an Ear: How LLMs Hear Your Banking Intentions. 301-309 - Fengbin Zhu
TAT-LLM: A Specialized Language Model for Discrete Reasoning over Financial Tabular and Textual Data. 310-318
Pricing, Hedging, and Fraud
- Konrad Mueller
Fast Deep Hedging with Second-Order Optimization. 319-327 - Anubha Pandey
Retrieval Augmented Fraud Detection. 328-335 - Aadhithya Ashok Naarayan
Stable Multilevel Deep Neural Networks for Option Pricing and xVAs Using Forward-Backward Stochastic Differential Equations. 336-343
Reinforcement learning
- Max M. Camilleri
Adaptive Risk-Based Control in Financial Trading. 344-352 - Magdalene Hui Qi Lim
Autoregressive DRL with Learned Intrinsic Rewards for Portfolio Optimisation. 353-360 - Arishi Orra
Dynamic Reinforced Ensemble using Bayesian Optimization for Stock Trading. 361-369 - Parvin Malekzadeh
EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning. 370-378
Time Series and Networks
- Rian Dolphin
Contrastive Learning of Asset Embeddings from Financial Time Series. 379-387 - Jingyi Gu
DySTAGE: Dynamic Graph Representation Learning for Asset Pricing via Spatio-Temporal Attention and Graph Encodings. 388-396 - Dragos Gorduza
Extracting Alpha from Financial Analyst Networks. 397-405 - Álvaro Ibrain
Unveiling Recurring Financial Patterns: Novel unsupervised filtering algorithms for enhanced forecasting. 406-418
Poster Session
- Kassiani Papasotiriou
AI in Investment Analysis: LLMs for Equity Stock Ratings. 419-427 - Shengyuan Lin
Analyzing Cascading Outbreak of GameStop Event: A Practical Approach Using Network Analysis and Large Language Models. 428-436 - Ziyi Wang
ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility. 437-444 - Dmitriy Nuriyev
Augmenting Equity Factor Investing with Global Macro Regimes. 445-452 - Andreas Sideras, Konstantinos Bougiatiotis, Elias Zavitsanos
Bankruptcy Prediction: Data Augmentation, LLMs and the Need for Auditor's Opinion. 453-460 - Timur Mudarisov
Cross-Sector Market Regime Forecasting with LLM-Augmented News Analysis. 461-468 - Felix Tian
Customized FinGPT Search Agents Using Foundation Models. 469-477 - Alessio Brini
Data-driven Derivative Hedging with Quadratic Variation Penalty. 478-486 - Wee Ling Tan
Deep Learning for Options Trading: An End-To-End Approach. 487-495 - Xintong Wang
Designing Expressive and Liquid Financial Options Markets via Linear Programming and Automated Market Making. 496-503 - Andrei-Bogdan Balcau
Detecting Collective Liquidity Taking Distributions. 504-512 - Jing Xu
Dynamic Pricing in Securities Lending Market: Application in Revenue Optimization for an Agent Lender Portfolio. 513-520 - Joshua Rosaler
Enhanced Local Explainability and Trust Scores with Random Forest Proximities. 521-529 - Sorouralsadat Fatemi
Enhancing Financial Question Answering with a Multi-Agent Reflection Framework. 530-537 - Xuewen Han
Enhancing Investment Analysis: Optimizing AI-Agent Collaboration in Financial Research. 538-546 - Changshuo Liu
Entity-based Financial Tabular Data Synthesis with Diffusion Models. 547-554 - Parameswaran Kamalaruban
Evaluating Fairness in Transaction Fraud Models: Fairness Metrics, Bias Audits, and Challenges. 555-563 - Yingjie Niu
Evaluating Financial Relational Graphs: Interpretation Before Prediction. 564-572 - Xiaohui Victor Li
FinDKG: Dynamic Knowledge Graphs with Large Language Models for Detecting Global Trends in Financial Markets. 573-581 - Sorouralsadat Fatemi
FinVision: A Multi-Agent Framework for Stock Market Prediction. 582-590 - Nicole Cho
FISHNET: Financial Intelligence from Sub-querying, Harmonizing, Neural-Conditioning, Expert Swarms, and Task Planning. 591-599 - Zeda Xu
GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets. 600-607 - Bhaskarjit Sarmah
HybridRAG: Integrating Knowledge Graphs and Vector Retrieval Augmented Generation for Efficient Information Extraction. 608-616 - Marco Schreyer
Imb-FinDiff: Conditional Diffusion Models for Class Imbalance Synthesis of Financial Tabular Data. 617-625 - Wonseong Kim
Is Small Really Beautiful for Central Bank Communication? Evaluating Language Models for Finance: Llama-3-70B, GPT-4, FinBERT-FOMC, FinBERT, and VADER. 626-633 - Preetha Saha
Machine Learning-based Relative Valuation of Municipal Bonds. 634-642 - Yongzhao Wang
Market Making with Learned Beta Policies. 643-651 - Jiayu Shi
Market-Making and Hedging with Market Impact using Deep Reinforcement Learning. 652-659 - Ashkan Golgoon
Mechanistic interpretability of large language models with applications to the financial services industry. 660-668 - Kang Li
Mixtures of Experts for Scaling up Neural Networks in Order Execution. 669-676 - Hajar Emami-Gohari
Modality-aware Transformer for Financial Time series Forecasting. 677-685 - Jingxiang Tang
Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency. 686-694 - Jimin Lin
Neural Term Structure of Additive Process for Option Pricing. 695-702 - Aniruddha Mukherjee
Numin: Weighted-Majority Ensembles for Intraday Trading. 703-710 - Zekai Chen
Online Personalizing White-box LLMs Generation with Neural Bandits. 711-718 - Sunmin Kweon
Optimizing Sequential Predictions for Order Execution: a Decision Focused Learning Approach. 719-727 - Mingshu Li
Quantile Regression using Random Forest Proximities. 728-736 - Vanio Slavov Markov
Quantum Generative Models of Mid-Price Movement in Limit Order Books. 737-744 - Eren Kurshan
AI versus AI in Financial Crimes & Detection: GenAI Crime Waves to Co-Evolutionary AI. 745-751 - Tao Ren
RiskMiner: Discovering Formulaic Alphas via Risk Seeking Monte Carlo Tree Search. 752-760 - Leo Ardon
Simulate and Optimise: A two-layer mortgage simulator for designing novel mortgage assistance products. 761-769 - Riasat Ali Istiaque
Simulating Asset Prices using Conditional Time-Series GAN. 770-778 - Kaushal Shetty
Sovereign Risk Summarization. 779-786 - Junkyu Jang
Stock Index Forecasting Using an Explainable TAFT Model with Online Data-Driven Social Sentiment Index. 787-794 - Youngbin Lee
Stock Recommendations for Individual Investors: A Temporal Graph Network Approach with Mean-Variance Efficient Sampling. 795-803 - Dayananda Herurkar
Tab-Distillation: Impacts of Dataset Distillation on Tabular Data For Outlier Detection. 804-812 - Fei Wu
To Compete or Collude: Bidding Incentives in Ethereum Block Building Auctions. 813-821 - Lucas Coelho e Silva
Transformers and attention-based networks in quantitative trading: a comprehensive survey. 822-830 - Braulio C. Blanco Lambruschini
Transforming Unstructured Sensitive Information into Structured Knowledge. 831-838 - Arno Geimer
WallStreetFeds: Client-Specific Tokens as Investment Vehicles in Federated Learning. 839-846 - Kentaro Hoshisashi
Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. 847-855 - Shijie Han
XBRL Agent: Leveraging Large Language Models for Financial Report Analysis. 856-864
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