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INTAGS: Interactive Agent-Guided Simulation

Author

Listed:
  • Song Wei
  • Andrea Coletta
  • Svitlana Vyetrenko
  • Tucker Balch

Abstract

In many applications involving multi-agent system (MAS), it is imperative to test an experimental (Exp) autonomous agent in a high-fidelity simulator prior to its deployment to production, to avoid unexpected losses in the real-world. Such a simulator acts as the environmental background (BG) agent(s), called agent-based simulator (ABS), aiming to replicate the complex real MAS. However, developing realistic ABS remains challenging, mainly due to the sequential and dynamic nature of such systems. To fill this gap, we propose a metric to distinguish between real and synthetic multi-agent systems, which is evaluated through the live interaction between the Exp and BG agents to explicitly account for the systems' sequential nature. Specifically, we characterize the system/environment by studying the effect of a sequence of BG agents' responses to the environment state evolution and take such effects' differences as MAS distance metric; The effect estimation is cast as a causal inference problem since the environment evolution is confounded with the previous environment state. Importantly, we propose the Interactive Agent-Guided Simulation (INTAGS) framework to build a realistic ABS by optimizing over this novel metric. To adapt to any environment with interactive sequential decision making agents, INTAGS formulates the simulator as a stochastic policy in reinforcement learning. Moreover, INTAGS utilizes the policy gradient update to bypass differentiating the proposed metric such that it can support non-differentiable operations of multi-agent environments. Through extensive experiments, we demonstrate the effectiveness of INTAGS on an equity stock market simulation example. We show that using INTAGS to calibrate the simulator can generate more realistic market data compared to the state-of-the-art conditional Wasserstein Generative Adversarial Network approach.

Suggested Citation

  • Song Wei & Andrea Coletta & Svitlana Vyetrenko & Tucker Balch, 2023. "INTAGS: Interactive Agent-Guided Simulation," Papers 2309.01784, arXiv.org, revised Nov 2023.
  • Handle: RePEc:arx:papers:2309.01784
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    References listed on IDEAS

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    1. Andrea Coletta & Joseph Jerome & Rahul Savani & Svitlana Vyetrenko, 2023. "Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness," Papers 2306.12806, arXiv.org.
    2. Adriano Koshiyama & Nick Firoozye & Philip Treleaven, 2021. "Generative adversarial networks for financial trading strategies fine-tuning and combination," Quantitative Finance, Taylor & Francis Journals, vol. 21(5), pages 797-813, May.
    3. Andrea Coletta & Aymeric Moulin & Svitlana Vyetrenko & Tucker Balch, 2022. "Learning to simulate realistic limit order book markets from data as a World Agent," Papers 2210.09897, arXiv.org.
    4. Tucker Hybinette Balch & Mahmoud Mahfouz & Joshua Lockhart & Maria Hybinette & David Byrd, 2019. "How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?," Papers 1906.12010, arXiv.org.
    5. Victor Storchan & Svitlana Vyetrenko & Tucker Balch, 2021. "Learning who is in the market from time series: market participant discovery through adversarial calibration of multi-agent simulators," Papers 2108.00664, arXiv.org.
    6. Zijian Shi & John Cartlidge, 2023. "Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology," Papers 2303.00080, arXiv.org.
    7. Selim Amrouni & Aymeric Moulin & Jared Vann & Svitlana Vyetrenko & Tucker Balch & Manuela Veloso, 2021. "ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets," Papers 2110.14771, arXiv.org.
    8. Magnus Wiese & Robert Knobloch & Ralf Korn & Peter Kretschmer, 2020. "Quant GANs: deep generation of financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 20(9), pages 1419-1440, September.
    9. Yagna Patel, 2018. "Optimizing Market Making using Multi-Agent Reinforcement Learning," Papers 1812.10252, arXiv.org.
    10. Brandon Da Silva & Sylvie Shang Shi, 2019. "Style Transfer with Time Series: Generating Synthetic Financial Data," Papers 1906.03232, arXiv.org, revised Dec 2019.
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