{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,22]],"date-time":"2025-08-22T18:10:09Z","timestamp":1755886209329,"version":"3.44.0"},"publisher-location":"New York, NY, USA","reference-count":41,"publisher":"ACM","license":[{"start":{"date-parts":[[2023,11,25]],"date-time":"2023-11-25T00:00:00Z","timestamp":1700870400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2023,11,27]]},"DOI":"10.1145\/3604237.3626877","type":"proceedings-article","created":{"date-parts":[[2023,11,25]],"date-time":"2023-11-25T18:09:47Z","timestamp":1700935787000},"page":"628-636","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":0,"title":["ML-Assisted Optimization of Securities Lending"],"prefix":"10.1145","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-3838-0437","authenticated-orcid":false,"given":"Abhinav","family":"Prasad","sequence":"first","affiliation":[{"name":"BNY Mellon, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9881-5037","authenticated-orcid":false,"given":"Prakash","family":"Arunachalam","sequence":"additional","affiliation":[{"name":"The Bank of New York Mellon, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0007-8096-3665","authenticated-orcid":false,"given":"Ali","family":"Motamedi","sequence":"additional","affiliation":[{"name":"BNY Mellon, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0003-8092-8377","authenticated-orcid":false,"given":"Ranjeeta","family":"Bhattacharya","sequence":"additional","affiliation":[{"name":"BNY Mellon, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0008-7504-2244","authenticated-orcid":false,"given":"Beibei","family":"Liu","sequence":"additional","affiliation":[{"name":"BNY Mellon, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0008-5250-4696","authenticated-orcid":false,"given":"Hays","family":"Mccormick","sequence":"additional","affiliation":[{"name":"The Bank of New York Mellon, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0008-8589-6526","authenticated-orcid":false,"given":"Shengzhe","family":"Xu","sequence":"additional","affiliation":[{"name":"Virginia Tech, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7068-2981","authenticated-orcid":false,"given":"Nikhil","family":"Muralidhar","sequence":"additional","affiliation":[{"name":"Stevens Institute of Technology, US"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1821-9743","authenticated-orcid":false,"given":"Naren","family":"Ramakrishnan","sequence":"additional","affiliation":[{"name":"Virginia Tech, US"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"320","published-online":{"date-parts":[[2023,11,25]]},"reference":[{"key":"e_1_3_2_1_1_1","unstructured":"[1] 2023. https:\/\/www.morningstar.com\/etfs\/understanding-securities-lending-etfs"},{"key":"e_1_3_2_1_2_1","volume-title":"Supply or demand: What drives fluctuations in the bank loan market?","author":"Altavilla Carlo","year":"2022","unstructured":"Carlo Altavilla, Miguel Boucinha, and Paul Bouscasse. 2022. Supply or demand: What drives fluctuations in the bank loan market? (2022)."},{"key":"e_1_3_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pone.0180944"},{"key":"e_1_3_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.04.011"},{"key":"e_1_3_2_1_5_1","volume-title":"Forecasting inflation through econometric models: An empirical study on Pakistani data. Do\u011fu\u015f \u00dcniversitesi Dergisi 7, 1","author":"Mete Feridun M\u00a0Husnain","year":"2006","unstructured":"SM\u00a0Husnain BOKHARI and Mete Feridun. 2006. Forecasting inflation through econometric models: An empirical study on Pakistani data. Do\u011fu\u015f \u00dcniversitesi Dergisi 7, 1 (2006), 39\u201347."},{"key":"e_1_3_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1986.10509510"},{"key":"e_1_3_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1155\/2021\/3870657"},{"key":"e_1_3_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.mlwa.2021.100134"},{"key":"e_1_3_2_1_9_1","volume-title":"Graph Deep Factors for Probabilistic Time-series Forecasting. ACM Transactions on Knowledge Discovery from Data 17, 2","author":"Chen Hongjie","year":"2023","unstructured":"Hongjie Chen, Ryan\u00a0A Rossi, Kanak Mahadik, Sungchul Kim, and Hoda Eldardiry. 2023. Graph Deep Factors for Probabilistic Time-series Forecasting. ACM Transactions on Knowledge Discovery from Data 17, 2 (2023), 1\u201330."},{"key":"e_1_3_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-64583-0_51"},{"key":"e_1_3_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.80.011119"},{"key":"e_1_3_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2006.01.001"},{"volume-title":"Deep learning in natural language processing","author":"Deng Li","key":"e_1_3_2_1_13_1","unstructured":"Li Deng and Yang Liu. 2018. Deep learning in natural language processing. Springer."},{"key":"e_1_3_2_1_14_1","unstructured":"Xiao Ding Yue Zhang Ting Liu and Junwen Duan. 2015. Deep learning for event-driven stock prediction. In Twenty-fourth international joint conference on artificial intelligence."},{"key":"e_1_3_2_1_15_1","volume-title":"Deep learning with long short-term memory networks for financial market predictions. European journal of operational research 270, 2","author":"Fischer Thomas","year":"2018","unstructured":"Thomas Fischer and Christopher Krauss. 2018. Deep learning with long short-term memory networks for financial market predictions. European journal of operational research 270, 2 (2018), 654\u2013669."},{"key":"e_1_3_2_1_16_1","unstructured":"Elliott Gordon-Rodriguez Gabriel Loaiza-Ganem Geoff Pleiss and John\u00a0Patrick Cunningham. 2020. Uses and abuses of the cross-entropy loss: Case studies in modern deep learning. (2020)."},{"key":"e_1_3_2_1_17_1","volume-title":"Long short-term memory. Neural computation 9, 8","author":"Hochreiter Sepp","year":"1997","unstructured":"Sepp Hochreiter and J\u00fcrgen Schmidhuber. 1997. Long short-term memory. Neural computation 9, 8 (1997), 1735\u20131780."},{"key":"e_1_3_2_1_18_1","doi-asserted-by":"publisher","DOI":"10.3390\/asi4010009"},{"key":"e_1_3_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1109\/ACCESS.2019.2956508"},{"key":"e_1_3_2_1_20_1","volume-title":"Financial uncertainty and interest rate movements: is Asian bond market volatility different?Annals of Operations Research","author":"Kim Jungsuk","year":"2021","unstructured":"Jungsuk Kim, Abhishek Kumar, Sushanta Mallick, and Donghyun Park. 2021. Financial uncertainty and interest rate movements: is Asian bond market volatility different?Annals of Operations Research (2021), 1\u201329."},{"key":"e_1_3_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/s40745-021-00344-x"},{"key":"e_1_3_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1109\/5.726791"},{"key":"e_1_3_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.1109\/BigData47090.2019.9005511"},{"volume-title":"Probabilistic machine learning: an introduction","author":"Murphy P","key":"e_1_3_2_1_24_1","unstructured":"Kevin\u00a0P Murphy. 2022. Probabilistic machine learning: an introduction. MIT press."},{"key":"e_1_3_2_1_25_1","doi-asserted-by":"crossref","unstructured":"Mehtabhorn Obthong Nongnuch Tantisantiwong Watthanasak Jeamwatthanachai and Gary Wills. 2020. A survey on machine learning for stock price prediction: Algorithms and techniques. (2020).","DOI":"10.5220\/0009340700630071"},{"key":"e_1_3_2_1_26_1","volume-title":"Using change-point detection to support artificial neural networks for interest rates forecasting. Expert systems with applications 19, 2","author":"Oh Kyong\u00a0Jo","year":"2000","unstructured":"Kyong\u00a0Jo Oh and Ingoo Han. 2000. Using change-point detection to support artificial neural networks for interest rates forecasting. Expert systems with applications 19, 2 (2000), 105\u2013115."},{"key":"e_1_3_2_1_27_1","volume-title":"International conference on machine learning. Pmlr, 1310\u20131318","author":"Pascanu Razvan","year":"2013","unstructured":"Razvan Pascanu, Tomas Mikolov, and Yoshua Bengio. 2013. On the difficulty of training recurrent neural networks. In International conference on machine learning. Pmlr, 1310\u20131318."},{"key":"e_1_3_2_1_28_1","unstructured":"Gurnain\u00a0Kaur Pasricha. 2006. Kalman filter and its economic applications. (2006)."},{"key":"e_1_3_2_1_29_1","doi-asserted-by":"publisher","DOI":"10.1109\/ICDM.2002.1183925"},{"key":"e_1_3_2_1_30_1","doi-asserted-by":"publisher","DOI":"10.1145\/1989734.1989738"},{"key":"e_1_3_2_1_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2021.11.001"},{"key":"e_1_3_2_1_32_1","doi-asserted-by":"publisher","DOI":"10.1109\/SSCI.2015.202"},{"key":"e_1_3_2_1_33_1","doi-asserted-by":"publisher","DOI":"10.1109\/INCET49848.2020.9154061"},{"key":"e_1_3_2_1_34_1","doi-asserted-by":"publisher","DOI":"10.1145\/3510413"},{"key":"e_1_3_2_1_35_1","volume-title":"Financial time series forecasting with deep learning: A systematic literature review: 2005\u20132019. Applied soft computing 90","author":"Sezer Omer\u00a0Berat","year":"2020","unstructured":"Omer\u00a0Berat Sezer, Mehmet\u00a0Ugur Gudelek, and Ahmet\u00a0Murat Ozbayoglu. 2020. Financial time series forecasting with deep learning: A systematic literature review: 2005\u20132019. Applied soft computing 90 (2020), 106181."},{"key":"e_1_3_2_1_36_1","volume-title":"A deep learning approach to competing risks representation in peer-to-peer lending","author":"Tan Fei","year":"2018","unstructured":"Fei Tan, Xiurui Hou, Jie Zhang, Zhi Wei, and Zhenyu Yan. 2018. A deep learning approach to competing risks representation in peer-to-peer lending. IEEE transactions on neural networks and learning systems 30, 5 (2018), 1565\u20131574."},{"key":"e_1_3_2_1_37_1","volume-title":"Deep learning for computer vision: A brief review. Computational intelligence and neuroscience 2018","author":"Voulodimos Athanasios","year":"2018","unstructured":"Athanasios Voulodimos, Nikolaos Doulamis, Anastasios Doulamis, Eftychios Protopapadakis, 2018. Deep learning for computer vision: A brief review. Computational intelligence and neuroscience 2018 (2018)."},{"key":"e_1_3_2_1_38_1","doi-asserted-by":"publisher","DOI":"10.2307\/2329642"},{"key":"e_1_3_2_1_39_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-030-87839-9_1"},{"key":"e_1_3_2_1_40_1","volume-title":"A review of recurrent neural networks: LSTM cells and network architectures. Neural computation 31, 7","author":"Yu Yong","year":"2019","unstructured":"Yong Yu, Xiaosheng Si, Changhua Hu, and Jianxun Zhang. 2019. A review of recurrent neural networks: LSTM cells and network architectures. Neural computation 31, 7 (2019), 1235\u20131270."},{"key":"e_1_3_2_1_41_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.05.023"}],"event":{"name":"ICAIF '23: 4th ACM International Conference on AI in Finance","acronym":"ICAIF '23","location":"Brooklyn NY USA"},"container-title":["4th ACM International Conference on AI in Finance"],"original-title":[],"link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3604237.3626877","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3604237.3626877","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,8,22]],"date-time":"2025-08-22T17:37:43Z","timestamp":1755884263000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3604237.3626877"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,11,25]]},"references-count":41,"alternative-id":["10.1145\/3604237.3626877","10.1145\/3604237"],"URL":"https:\/\/doi.org\/10.1145\/3604237.3626877","relation":{},"subject":[],"published":{"date-parts":[[2023,11,25]]},"assertion":[{"value":"2023-11-25","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}