251 research outputs found
K-SHAP: Policy Clustering Algorithm for Anonymous State-Action Pairs
Learning agent behaviors from observational data has shown to improve our
understanding of their decision-making processes, advancing our ability to
explain their interactions with the environment and other agents. While
multiple learning techniques have been proposed in the literature, there is one
particular setting that has not been explored yet: multi agent systems where
agent identities remain anonymous. For instance, in financial markets labeled
data that identifies market participant strategies is typically proprietary,
and only the anonymous state-action pairs that result from the interaction of
multiple market participants are publicly available. As a result, sequences of
agent actions are not observable, restricting the applicability of existing
work. In this paper, we propose a Policy Clustering algorithm, called K-SHAP,
that learns to group anonymous state-action pairs according to the agent
policies. We frame the problem as an Imitation Learning (IL) task, and we learn
a world-policy able to mimic all the agent behaviors upon different
environmental states. We leverage the world-policy to explain each anonymous
observation through an additive feature attribution method called SHAP (SHapley
Additive exPlanations). Finally, by clustering the explanations we show that we
are able to identify different agent policies and group observations
accordingly. We evaluate our approach on simulated synthetic market data and a
real-world financial dataset. We show that our proposal significantly and
consistently outperforms the existing methods, identifying different agent
strategies.Comment: ICML 202
Equitable Marketplace Mechanism Design
We consider a trading marketplace that is populated by traders with diverse
trading strategies and objectives. The marketplace allows the suppliers to list
their goods and facilitates matching between buyers and sellers. In return,
such a marketplace typically charges fees for facilitating trade. The goal of
this work is to design a dynamic fee schedule for the marketplace that is
equitable and profitable to all traders while being profitable to the
marketplace at the same time (from charging fees). Since the traders adapt
their strategies to the fee schedule, we present a reinforcement learning
framework for simultaneously learning a marketplace fee schedule and trading
strategies that adapt to this fee schedule using a weighted optimization
objective of profits and equitability. We illustrate the use of the proposed
approach in detail on a simulated stock exchange with different types of
investors, specifically market makers and consumer investors. As we vary the
equitability weights across different investor classes, we see that the learnt
exchange fee schedule starts favoring the class of investors with the highest
weight. We further discuss the observed insights from the simulated stock
exchange in light of the general framework of equitable marketplace mechanism
design
ATMS: Algorithmic Trading-Guided Market Simulation
The effective construction of an Algorithmic Trading (AT) strategy often
relies on market simulators, which remains challenging due to existing methods'
inability to adapt to the sequential and dynamic nature of trading activities.
This work fills this gap by proposing a metric to quantify market discrepancy.
This metric measures the difference between a causal effect from underlying
market unique characteristics and it is evaluated through the interaction
between the AT agent and the market. Most importantly, we introduce Algorithmic
Trading-guided Market Simulation (ATMS) by optimizing our proposed metric.
Inspired by SeqGAN, ATMS formulates the simulator as a stochastic policy in
reinforcement learning (RL) to account for the sequential nature of trading.
Moreover, ATMS utilizes the policy gradient update to bypass differentiating
the proposed metric, which involves non-differentiable operations such as order
deletion from the market. Through extensive experiments on semi-real market
data, we demonstrate the effectiveness of our metric and show that ATMS
generates market data with improved similarity to reality compared to the
state-of-the-art conditional Wasserstein Generative Adversarial Network (cWGAN)
approach. Furthermore, ATMS produces market data with more balanced BUY and
SELL volumes, mitigating the bias of the cWGAN baseline approach, where a
simple strategy can exploit the BUY/SELL imbalance for profit
Differentially Private Synthetic Data Using KD-Trees
Creation of a synthetic dataset that faithfully represents the data
distribution and simultaneously preserves privacy is a major research
challenge. Many space partitioning based approaches have emerged in recent
years for answering statistical queries in a differentially private manner.
However, for synthetic data generation problem, recent research has been mainly
focused on deep generative models. In contrast, we exploit space partitioning
techniques together with noise perturbation and thus achieve intuitive and
transparent algorithms. We propose both data independent and data dependent
algorithms for -differentially private synthetic data generation
whose kernel density resembles that of the real dataset. Additionally, we
provide theoretical results on the utility-privacy trade-offs and show how our
data dependent approach overcomes the curse of dimensionality and leads to a
scalable algorithm. We show empirical utility improvements over the prior work,
and discuss performance of our algorithm on a downstream classification task on
a real dataset
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