论文标题

接管股票市场:针对算法交易者的对抗性扰动

Taking Over the Stock Market: Adversarial Perturbations Against Algorithmic Traders

论文作者

Nehemya, Elior, Mathov, Yael, Shabtai, Asaf, Elovici, Yuval

论文摘要

近年来,机器学习在包括算法交易在内的许多任务中都普遍存在。股市贸易商利用机器学习模型来预测市场的行为并相应地执行投资策略。但是,机器学习模型已被证明容易受到称为对抗性示例的输入操作。尽管有这种风险,但在对抗性学习的背景下,交易领域仍未探索。在这项研究中,我们提出了一种现实的情况,其中攻击者通过使用对抗性学习技术实时操纵输入数据流来影响算法交易系统。攻击者会创建一个通用的扰动,对目标模型和使用时间不可知,当将其添加到输入流时,它仍然是不可察觉的。我们评估对现实世界数据流的攻击,并针对三种不同的交易算法。我们表明,当添加到输入流中时,我们的扰动可能会在未来看不见的数据点(在白色框和Black-Box设置中)欺骗交易算法。最后,我们提出各种缓解方法并讨论它们的局限性,这源于算法交易领域。我们认为,这些发现应该为财务社区发出有关该领域威胁的警报,并促进有关与在交易领域中使用自动学习模型相关的风险的进一步研究。

In recent years, machine learning has become prevalent in numerous tasks, including algorithmic trading. Stock market traders utilize machine learning models to predict the market's behavior and execute an investment strategy accordingly. However, machine learning models have been shown to be susceptible to input manipulations called adversarial examples. Despite this risk, the trading domain remains largely unexplored in the context of adversarial learning. In this study, we present a realistic scenario in which an attacker influences algorithmic trading systems by using adversarial learning techniques to manipulate the input data stream in real time. The attacker creates a universal perturbation that is agnostic to the target model and time of use, which, when added to the input stream, remains imperceptible. We evaluate our attack on a real-world market data stream and target three different trading algorithms. We show that when added to the input stream, our perturbation can fool the trading algorithms at future unseen data points, in both white-box and black-box settings. Finally, we present various mitigation methods and discuss their limitations, which stem from the algorithmic trading domain. We believe that these findings should serve as an alert to the finance community about the threats in this area and promote further research on the risks associated with using automated learning models in the trading domain.

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