TY - GEN
T1 - ML-Assisted Optimization of Securities Lending
AU - Prasad, Abhinav
AU - Arunachalam, Prakash
AU - Motamedi, Ali
AU - Bhattacharya, Ranjeeta
AU - Liu, Beibei
AU - McCormick, Hays
AU - Xu, Shengzhe
AU - Muralidhar, Nikhil
AU - Ramakrishnan, Naren
N1 - Publisher Copyright:
© 2023 Owner/Author.
PY - 2023/11/27
Y1 - 2023/11/27
N2 - This paper presents an integrated methodology to forecast the direction and magnitude of movements of lending rates in security markets. We develop a sequence-to-sequence (seq2seq) modeling framework that integrates feature engineering, motif mining, and temporal prediction in a unified manner to perform forecasting at scale in real-time or near real-time. We have deployed this approach in a large custodial setting demonstrating scalability to a large number of equities as well as newly introduced IPO-based securities in highly volatile environments.
AB - This paper presents an integrated methodology to forecast the direction and magnitude of movements of lending rates in security markets. We develop a sequence-to-sequence (seq2seq) modeling framework that integrates feature engineering, motif mining, and temporal prediction in a unified manner to perform forecasting at scale in real-time or near real-time. We have deployed this approach in a large custodial setting demonstrating scalability to a large number of equities as well as newly introduced IPO-based securities in highly volatile environments.
KW - Deep Learning
KW - Motif Mining
KW - Securities Lending
KW - Sequence-to-Sequence Modeling
UR - http://www.scopus.com/inward/record.url?scp=85179840225&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85179840225&partnerID=8YFLogxK
U2 - 10.1145/3604237.3626877
DO - 10.1145/3604237.3626877
M3 - Conference contribution
AN - SCOPUS:85179840225
T3 - ICAIF 2023 - 4th ACM International Conference on AI in Finance
SP - 628
EP - 636
BT - ICAIF 2023 - 4th ACM International Conference on AI in Finance
T2 - 4th ACM International Conference on AI in Finance, ICAIF 2023
Y2 - 27 November 2023 through 29 November 2023
ER -