Arjun Prakash

Lauren Boswell, Arjun Prakash

The economics of smaller budgets and larger case numbers necessitates the use of AI in legal proceedings. We examine the concept of disparate impact and how biases in the training data lead to the search for fairer AI. This paper seeks to begin the discourse on what such an implementation would actually look like with a criticism of pre-processing methods in a legal context . We outline how pre-processing is used to correct biased data and then examine the legal implications of effectively changing cases in order to achieve a fairer outcome including the black box problem and the slow encroachment on legal precedent. Finally we present recommendations on how to avoid the pitfalls of pre-processed data with methods that either modify the classifier or correct the output in the final step.

Arjun Prakash, Nick James, Max Menzies et al.

We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use change point detection to partition a time series into locally stationary segments and then compute a distance matrix between segment distributions. The segments are clustered into a learned number of discrete volatility regimes via an optimization routine. Using this framework, we determine a volatility clustering structure for financial indices, large-cap equities, exchange-traded funds and currency pairs. Our method overcomes the rigid assumptions necessary to implement many parametric regime-switching models, while effectively distilling a time series into several characteristic behaviours. Our results provide significant simplification of these time series and a strong descriptive analysis of prior behaviours of volatility. Finally, we create and validate a dynamic trading strategy that learns the optimal match between the current distribution of a time series and its past regimes, thereby making online risk-avoidance decisions in the present.