Browsing by Author "McCormick, Hays"

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    ML-Assisted Optimization of Securities Lending
    Prasad, Abhinav; Arunachalam, Prakash; Motamedi, Ali; Bhattacharya, Ranjeeta; Liu, Beibei; McCormick, Hays; Xu, Shengzhe; Muralidhar, Nikhil; Ramakrishnan, Naren (ACM, 2023-11-27)
    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.