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Investors try to predict returns of financial assets to make successful investment. Many quantitative analysts have used machine learning-based methods to find unknown profitable market rules from large amounts of market data. However, there are several challenges in financial markets hindering practical applications of machine learning-based models. First, in financial markets, there is no single model that can consistently make accurate prediction because traders in markets quickly adapt to newly available information. Instead, there are a number of ephemeral and partially correct models called &quot;alpha factors&quot;. Second, since financial markets are highly uncertain, ensuring interpretability of prediction models is quite important to make reliable trading strategies. To overcome these challenges, we propose the Trader-Company method, a novel evolutionary model that mimics the roles of a financial institute and traders belonging to it. Our method predicts future stock returns by aggregating suggestions from multiple weak learners called Traders. A Trader holds a collection of simple mathematical formulae, each of which represents a candidate of an alpha factor and would be interpretable for real-world investors. The aggregation algorithm, called a Company, maintains multiple Traders. By randomly generating new Traders and retraining them, Companies can efficiently find financially meaningful formulae whilst avoiding overfitting to a transient state of the market. We show the effectiveness of our method by conducting experiments on real market data.

AAMAS 2021

Trader-Company Method: A Metaheuristics for Interpretable Stock Price Prediction

AAMAS is the largest and most influential conference in the area of agents and multiagent systems, bringing together researchers and practitioners in all areas of agent technology and providing and internationally renowned high-profile forum for publishing and finding out about the latest developments in the field. AAMAS is the flagship conference of the non-profit International Foundation for Autonomous Agents and Multiagent Systems (IFAAMAS).  

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Investors try to predict returns of financial assets to make successful investment. Many quantitative analysts have used machine learning-based methods to find unknown profitable market rules from large amounts of market data. However, there are several challenges in financial markets hindering practical applications of machine learning-based models. First, in financial markets, there is no single model that can consistently make accurate prediction because traders in markets quickly adapt to newly available information. Instead, there are a number of ephemeral and partially correct models called "alpha factors". Second, since financial markets are highly uncertain, ensuring interpretability of prediction models is quite important to make reliable trading strategies. To overcome these challenges, we propose the Trader-Company method, a novel evolutionary model that mimics the roles of a financial institute and traders belonging to it. Our method predicts future stock returns by aggregating suggestions from multiple weak learners called Traders. A Trader holds a collection of simple mathematical formulae, each of which represents a candidate of an alpha factor and would be interpretable for real-world investors. The aggregation algorithm, called a Company, maintains multiple Traders. By randomly generating new Traders and retraining them, Companies can efficiently find financially meaningful formulae whilst avoiding overfitting to a transient state of the market. We show the effectiveness of our method by conducting experiments on real market data.

technical paper

Learning in tightly coupled multiagent settings with sparse rewards is challenging because multiple agents must reach the goal state simultaneously for the team to receive a reward. This is even more challenging under temporal coupling constraints - where agents need to sequentially complete different components of a task in a particular order. Here, a single local reward is inadequate for learning an effective policy. We introduce MADyS, Multiagent Learning via Dynamic Skill Selection, a bi-level optimization framework that learns to dynamically switch between multiple local skills to optimize sparse team objectives. MADyS adopts fast policy gradients to learn local skills using local rewards and an evolutionary algorithm to optimize the sparse team objective by recruiting the most optimal skill at any given time. This eliminates the need to generate a single dense reward via reward shaping or other mixing functions. In environments with both spatial and temporal coupling requirements, we outperform prior methods and provides intuitive visualizations of its skill switching strategy.

Dynamic Skill Selection for Learning Joint Actions

We present a novel model-based algorithm, Cooperative Prioritized Sweeping, for sample-efficient learning in large multi-agent Markov decision processes. Our approach leverages domain knowledge about the structure of the problem in the form of a dynamic decision network. Using this information, our method learns a model of the environment to determine which state-action pairs are the most likely in need to be updated, significantly increasing learning speed. Batch updates can then be performed which efficiently back-propagate knowledge throughout the value function. Our method outperforms the state-of-the-art sparse cooperative Q-learning and QMIX  algorithms, both on the well-known SysAdmin benchmark, randomized environments and a fully-observable variation of the well-known firefighter benchmark from Dec-POMDP literature.

Cooperative Prioritized Sweeping

Recently, Jain et al. [IJCAI, 2019] studied the effect of project interactions in participatory budgeting (PB) by assuming an existing partition of the projects to interaction structures, namely a grouping of the projects into substitution and complementarity groups. Motivated by their study, here we take voter preferences to find such interaction structures. In our model, voters submit interaction structures, and the goal is to find an aggregated structure. Formally, given a set P of m projects, and n partitions of P, the task is to aggregate these n partitions into one aggregated partition.  We consider this partition aggregation task both for substitution structures and for complementarity structures, studying several aggregation methods for each, including utility-based methods and Condorcet-based methods; we evaluate these methods by analyzing their computational complexity and their behavior with respect to certain relevant axiomatic properties.

Partition Aggregation for Participatory Budgeting

We consider the problem of committee selection from a fixed set of candidates where each candidate has multiple quantifiable attributes. Instead of voting for a candidate, a voter is allowed to approve the preferred attributes of a given candidate. Though attribute-based preferences capture several important real-life scenarios, committee selection problem with attribute approval of voters has not properly formalized or studied. We present a detailed study of axioms, rules, algorithms, and computational complexity for the setting. Apart from extending previous axioms and rules, we design two new algorithms that are especially appropriate for our model.

Committee Selection using Attribute Approvals

Shortlisting is the task of reducing a long list of alternatives to a (smaller) set of best or most suitable alternatives from which a final winner will be chosen. Shortlisting is often used in the nomination process of awards or in recommender systems to display featured objects. In this paper, we analyze shortlisting methods that are based on approval data, a common type of preferences. Furthermore, we assume that the size of the shortlist, i.e., the number of best or most suitable alternatives, is not fixed but determined by the shortlisting method. We axiomatically analyze established and new shortlisting methods and complement this analysis with an experimental evaluation based on imperfect quality estimates. Our results lead to recommendations which shortlisting methods to use, depending on the desired properties.

Approval-Based Shortlisting

This paper addresses the problem of collaborative multi-agent autonomous driving of connected and automated vehicles (CAVs) in lane-free highway scenarios.  We eliminate the lane-changing task, i.e., CAVs may be located in any arbitrary lateral position within the road boundaries, hence allowing for better utilization of the available road capacity. As a consequence, vehicles operate in a much more complex environment, and the need for the individual CAVs to select actions that are efficient for the group as a whole is highly desired. We formulate this environment as a multiagent collaboration problem represented via a coordination graph, thus decomposing the problem with local utility functions, based on the interactions between vehicles. We produce a tractable and scalable solution by estimating the joint action of all vehicles via the anytime max-plus algorithm, with local utility functions provided by potential fields, designed to promote collision avoidance. Specifically, the fields have an ellipsoid form that is most suitable for lane-free highway environments. This novel use of max-plus with potential fields gives rise to a coordinated control policy that exploits only local information specific to each CAV. Our experimental evaluation confirms the effectiveness of our approach: lane-free movement allows for increased traffic flow rates, and vehicles are able to achieve speeds that are both high and close to their desired ones, even in demanding environments with high traffic flow.

Collaborative Multiagent Decision Making for Lane-Free Autonomous Driving

We present the first explicit-state method for analysing and ensuring the safety of DRL agents for Atari games. Our method only requires access to the emulator. We give a suite of 42 properties that characterise "safe behaviour" for 31 games. We evaluate the safety of the best available DRL agents which, as our experiments show, violate most of our properties. We propose a countermeasure that implements shielding using bounded explicit-state exploration. Our method improved their overall safety, producing the safest DRL agents for Atari games currently available.

Shielding Atari Games with Bounded Prescience

We study the problem of zero-shot coordination (ZSC), where agents must independently produce strategies for a collaborative game that are compatible with novel partners not seen during training. In particular, our first contribution is to consider the need for diversity in generating such agents. Because self-play agents control their own trajectory distribution during training, their policy only performs well on this exact distribution. As a result, they achieve low scores in ZSC, since playing with another agent is likely to put them in situations they have not encountered during training. To address this issue, we train a common best response (BR) to a population of agents, which we regulate to be as diverse as possible. For that purpose, we introduce Trajectory Diversity (TrajeDi) - a differentiable objective for generating diverse reinforcement learning (RL) policies. We present TrajeDi as a generalization of the Jensen-Shannon divergence (JSD) between policies and motivate it experimentally in a simple matrix game, where it allows to find the unique ZSC-optimal solution.

Trajectory Diversity for Zero-Shot Coordination

In this work we present the Hanabi Open Agent Dataset (HOAD)— meant to address the current lack of Hanabi datasets, HOAD is an easily extensible, open-sourced, and comprehensive collection of existing Hanabi playing agents, all ported to the Hanabi Learning Environment (HLE). We give a description and analysis of each agent’s strategy, and we also show cross-play performance between all the agents, demonstrating both their high quality and diversity of strategy. These properties make HOAD especially well suited to studies involving meta-learning and transfer learning. Finally, we describe in detail an easy way to add new agents to HOAD regardless of the origin codebase of the agent and make our code and dataset publicly available at https://github.com/aronsar/hoad.

HOAD: The Hanabi Open Agent Dataset

The ability of agents to learn to communicate through interaction has been studied through emergent communication tasks. Previous works in this domain have studied the linguistic properties of the emergent languages like compositionality, generalization, and as well as the environmental pressures that shape them. However, most of these experiments require a considerable amount of shared training time between agents to communicate successfully. Our work highlights the problem of sample inefficiency of agents in population-based referential games and proposes an Action Advising framework to counter it.

Trader-Company Method: A Metaheuristics for Interpretable Stock Price Prediction

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Dynamic Skill Selection for Learning Joint Actions

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Trader-Company Method: A Metaheuristics for Interpretable Stock Price Prediction

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Next from AAMAS 2021

Dynamic Skill Selection for Learning Joint Actions

Similar lecture

Tractable Mechanisms for Computing Near-Optimal Utility Functions

Stay up to date with the latest Underline news!

PRESENTATIONS

CONFERENCES

COMPANY

RESOURCES

Downloads