Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Efficient Calibration of Multi-Agent Market Simulators from Time Series
  with Bayesian Optimization   Multi-agent market simulation is commonly used to create an environment for
downstream machine learning or reinforcement learning tasks, such as training
or testing trading strategies before deploying them to real-time trading. In
electronic trading markets only the price or volume time series, that result
from interaction of multiple market participants, are typically directly
observable. Therefore, multi-agent market environments need to be calibrated so
that the time series that result from interaction of simulated agents resemble
historical -- which amounts to solving a highly complex large-scale
optimization problem. In this paper, we propose a simple and efficient
framework for calibrating multi-agent market simulator parameters from
historical time series observations. First, we consider a novel concept of
eligibility set to bypass the potential non-identifiability issue. Second, we
generalize the two-sample Kolmogorov-Smirnov (K-S) test with Bonferroni
correction to test the similarity between two high-dimensional time series
distributions, which gives a simple yet effective distance metric between the
time series sample sets. Third, we suggest using Bayesian optimization (BO) and
trust-region BO (TuRBO) to minimize the aforementioned distance metric.
Finally, we demonstrate the efficiency of our framework using numerical
experiments.

11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
7
The categories of this paper are: hep-th
20
The categories of this paper are: acc-phys
37
The categories of this paper are: supr-con
10
The categories of this paper are: q-bio
32
The categories of this paper are: atom-ph
8
The categories of this paper are: hep-ex
31
The categories of this paper are: ao-sci
22
The categories of this paper are: chao-dyn
30
The categories of this paper are: q-alg
33
The categories of this paper are: plasm-ph
15
The categories of this paper are: nucl-ex
29
The categories of this paper are: funct-an
14
The categories of this paper are: math-ph
19
The categories of this paper are: eess