Taking Over the Stock Market: Adversarial Perturbations Against
Algorithmic Traders
- URL: http://arxiv.org/abs/2010.09246v2
- Date: Thu, 2 Sep 2021 07:13:54 GMT
- Title: Taking Over the Stock Market: Adversarial Perturbations Against
Algorithmic Traders
- Authors: Elior Nehemya and Yael Mathov and Asaf Shabtai and Yuval Elovici
- Abstract summary: We present a realistic scenario in which an attacker influences algorithmic trading systems by using adversarial learning techniques.
We show that when added to the input stream, our perturbation can fool the trading algorithms at future unseen data points.
- Score: 47.32228513808444
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: 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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