IJCAI.2020 - Others

| Total: 187

#1 A Novel Spatio-Temporal Multi-Task Approach for the Prediction of Diabetes-Related Complication: a Cardiopathy Case of Study [PDF] [Copy] [Kimi] [REL]

Authors: Luca Romeo, Giuseppe Armentano, Antonio Nicolucci, Marco Vespasiani, Giacomo Vespasiani, Emanuele Frontoni

The prediction of the risk profile related to the cardiopathy complication is a core research task that could support clinical decision making. However, the design and implementation of a clinical decision support system based on Electronic Health Record (EHR) temporal data comprise of several challenges. Several single task learning approaches consider the prediction of the risk profile related to a specific diabetes complication (i.e., cardiopathy) independent from other complications. Accordingly, the state-of-the-art multi-task learning (MTL) model encapsulates only the temporal relatedness among the EHR data. However, this assumption might be restricted in the clinical scenario where both spatio-temporal constraints should be taken into account. The aim of this study is the proposal of two different MTL procedures, called spatio-temporal lasso (STL-MTL) and spatio-temporal group lasso (STGL-MTL), which encode the spatio-temporal relatedness using a regularization term and a graph-based approach (i.e., encoding the task relatedness using the structure matrix). Experimental results on a real-world EHR dataset demonstrate the robust performance and the interpretability of the proposed approach.


#2 Adversarial Graph Embeddings for Fair Influence Maximization over Social Networks [PDF] [Copy] [Kimi] [REL]

Authors: Moein Khajehnejad, Ahmad Asgharian Rezaei, Mahmoudreza Babaei, Jessica Hoffmann, Mahdi Jalili, Adrian Weller

Influence maximization is a widely studied topic in network science, where the aim is to reach the maximum possible number of nodes, while only targeting a small initial set of individuals. It has critical applications in many fields, including viral marketing, information propagation, news dissemination, and vaccinations. However, the objective does not usually take into account whether the final set of influenced nodes is fair with respect to sensitive attributes, such as race or gender. Here we address fair influence maximization, aiming to reach minorities more equitably. We introduce Adversarial Graph Embeddings: we co-train an auto-encoder for graph embedding and a discriminator to discern sensitive attributes. This leads to embeddings which are similarly distributed across sensitive attributes. We then find a good initial set by clustering the embeddings. We believe we are the first to use embeddings for the task of fair influence maximization. While there are typically trade-offs between fairness and influence maximization objectives, our experiments on synthetic and real-world datasets show that our approach dramatically reduces disparity while remaining competitive with state-of-the-art influence maximization methods.


#3 Disentangled Variational Autoencoder based Multi-Label Classification with Covariance-Aware Multivariate Probit Model [PDF] [Copy] [Kimi] [REL]

Authors: Junwen Bai, Shufeng Kong, Carla Gomes

Multi-label classification is the challenging task of predicting the presence and absence of multiple targets, involving representation learning and label correlation modeling. We propose a novel framework for multi-label classification, Multivariate Probit Variational AutoEncoder (MPVAE), that effectively learns latent embedding spaces as well as label correlations. MPVAE learns and aligns two probabilistic embedding spaces for labels and features respectively. The decoder of MPVAE takes in the samples from the embedding spaces and models the joint distribution of output targets under a Multivariate Probit model by learning a shared covariance matrix. We show that MPVAE outperforms the existing state-of-the-art methods on important computational sustainability applications as well as on other application domains, using public real-world datasets. MPVAE is further shown to remain robust under noisy settings. Lastly, we demonstrate the interpretability of the learned covariance by a case study on a bird observation dataset.


#4 Fighting Wildfires under Uncertainty - A Sequential Resource Allocation Approach [PDF] [Copy] [Kimi] [REL]

Authors: Hau Chan, Long Tran-Thanh, Vignesh Viswanathan

Standard disaster response involves using drones (or helicopters) for reconnaissance and using people on the ground to mitigate the damage. In this paper, we look at the problem of wildfires and propose an efficient resource allocation strategy to cope with both dynamically changing environment and uncertainty. In particular, we propose Firefly, a new resource allocation algorithm, that can provably achieve optimal or near optimal solutions with high probability by first efficiently allocating observation drones to collect information to reduce uncertainty, and then allocate the firefighting units to extinguish fire. For the former, Firefly uses a combination of maximum set coverage formulation and a novel utility estimation technique, and it uses a knapsack formulation to calculate the allocation for the latter. We also demonstrate empirically by using a real-world dataset that Firefly achieves up to 80-90% performance of the offline optimal solution, even with a small amount of drones, in most of the cases.


#5 Bridging Cross-Tasks Gap for Cognitive Assessment via Fine-Grained Domain Adaptation [PDF] [Copy] [Kimi] [REL]

Authors: Yingwei Zhang, Yiqiang Chen, Hanchao Yu, Zeping Lv, Qing Li, Xiaodong Yang

Discriminating pathologic cognitive decline from the expected decline of normal aging is an important research topic for elderly care and health monitoring. However, most cognitive assessment methods only work when data distributions of the training set and testing set are consistent. Enabling existing cognitive assessment models to adapt to the data in new cognitive assessment tasks is a significant challenge. In this paper, we propose a novel domain adaptation method, namely the Fine-Grained Adaptation Random Forest (FAT), to bridge the cognitive assessment gap when the data distribution is changed. FAT is composed of two essential parts 1) information gain based model evaluation strategy (IGME) and 2) domain adaptation tree growing mechanism (DATG). IGME is used to evaluate every individual tree, and DATG is used to transfer the source model to the target domain. To evaluate the performance of FAT, we conduct experiments in real clinical environments. Experimental results demonstrate that FAT is significantly more accurate and efficient compared with other state-of-the-art methods.


#6 Embedding Conjugate Gradient in Learning Random Walks for Landscape Connectivity Modeling in Conservation [PDF] [Copy] [Kimi] [REL]

Authors: Pramith Devulapalli, Bistra Dilkina, Yexiang Xue

Models capturing parameterized random walks on graphs have been widely adopted in wildlife conservation to study species dispersal as a function of landscape features. Learning the probabilistic model empowers ecologists to understand animal responses to conservation strategies. By exploiting the connection between random walks and simple electric networks, we show that learning a random walk model can be reduced to finding the optimal graph Laplacian for a circuit. We propose a moment matching strategy that correlates the model’s hitting and commuting times with those observed empirically. To find the best Laplacian, we propose a neural network capable of back-propagating gradients through the matrix inverse in an end-to-end fashion. We developed a scalable method called CGInv which back-propagates the gradients through a neural network encoding each layer as a conjugate gradient iteration. To demonstrate its effectiveness, we apply our computational framework to applications in landscape connectivity modeling. Our experiments successfully demonstrate that our framework effectively and efficiently recovers the ground-truth configurations.


#7 Improving Tandem Mass Spectra Analysis with Hierarchical Learning [PDF] [Copy] [Kimi] [REL]

Author: Zhengcong Fei

Tandem mass spectrometry is the most widely used technology to identify proteins in a complex biological sample, which produces a large number of spectra representative of protein subsequences named peptide. In this paper, we propose a hierarchical multi-stage framework, referred as DeepTag, to identify the peptide sequence for each given spectrum. Compared with the traditional one-stage generation, our sequencing model starts the inference with a selected high-confidence guiding tag and provides the complete sequence based on this guiding tag. Besides, we introduce a cross-modality refining module to asist the decoder focus on effective peaks and fine-tune with a reinforcement learning technique. Experiments on different public datasets demonstrate that our method achieves a new state-of-the-art performance in peptide identification task, leading to a marked improvement in terms of both precision and recall.


#8 An Exact Single-Agent Task Selection Algorithm for the Crowdsourced Logistics [PDF] [Copy] [Kimi] [REL]

Authors: Chung-Kyun Han, Shih-Fen Cheng

The trend of moving online in the retail industry has created great pressure for the logistics industry to catch up both in terms of volume and response time. On one hand, volume is fluctuating at greater magnitude, making peaks higher; on the other hand, customers are also expecting shorter response time. As a result, logistics service providers are pressured to expand and keep up with the demands. Expanding fleet capacity, however, is not sustainable as capacity built for the peak seasons would be mostly vacant during ordinary days. One promising solution is to engage crowdsourced workers, who are not employed full-time but would be willing to help with the deliveries if their schedules permit. The challenge, however, is to choose appropriate sets of tasks that would not cause too much disruption from their intended routes, while satisfying each delivery task's delivery time window requirement. In this paper, we propose a decision-support algorithm to select delivery tasks for a single crowdsourced worker that best fit his/her upcoming route both in terms of additional travel time and the time window requirements at all stops along his/her route, while at the same time satisfies tasks' delivery time windows. Our major contributions are in the formulation of the problem and the design of an efficient exact algorithm based on the branch-and-cut approach. The major innovation we introduce is the efficient generation of promising valid inequalities via our separation heuristics. In all numerical instances we study, our approach manages to reach optimality yet with much fewer computational resource requirement than the plain integer linear programming formulation. The greedy heuristic, while efficient in time, only achieves around 40-60% of the optimum in all cases. To illustrate how our solver could help in advancing the sustainability objective, we also quantify the reduction in the carbon footprint.


#9 Cross-Interaction Hierarchical Attention Networks for Urban Anomaly Prediction [PDF] [Copy] [Kimi] [REL]

Authors: Chao Huang, Chuxu Zhang, Peng Dai, Liefeng Bo

Predicting anomalies (e.g., blocked driveway and vehicle collisions) in urban space plays an important role in assisting governments and communities for building smart city applications, ranging from intelligent transportation to public safety. However, predicting urban anomalies is not trivial due to the following two factors: i) The sequential transition regularities of anomaly occurrences is complex, which exhibit with high-order and dynamic correlations. ii) The Interactions between region, time and anomaly category is multi-dimensional in real-world urban anomaly forecasting scenario. How to fuse multiple relations from spatial, temporal and categorical dimensions in the predictive framework remains a significant challenge. To address these two challenges, we propose a Cross-Interaction Hierarchical Attention network model (CHAT) which uncovers the dynamic occurrence patterns of time-stamped urban anomaly data. Our CHAT framework could automatically capture the relevance of past anomaly occurrences across different time steps, and discriminates which types of cross-modal interactions are more important for making future predictions. Experiment results demonstrate the superiority of CHAT framework over state-of-the-art baselines.


#10 Harnessing Code Switching to Transcend the Linguistic Barrier [PDF] [Copy] [Kimi] [REL]

Authors: Ashiqur R. KhudaBukhsh, Shriphani Palakodety, Jaime G. Carbonell

Code mixing (or code switching) is a common phenomenon observed in social-media content generated by a linguistically diverse user-base. Studies show that in the Indian sub-continent, a substantial fraction of social media posts exhibit code switching. While the difficulties posed by code mixed documents to further downstream analyses are well-understood, lending visibility to code mixed documents under certain scenarios may have utility that has been previously overlooked. For instance, a document written in a mixture of multiple languages can be partially accessible to a wider audience; this could be particularly useful if a considerable fraction of the audience lacks fluency in one of the component languages. In this paper, we provide a systematic approach to sample code mixed documents leveraging a polyglot embedding based method that requires minimal supervision. In the context of the 2019 India-Pakistan conflict triggered by the Pulwama terror attack, we demonstrate an untapped potential of harnessing code mixing for human well-being: starting from an existing hostility diffusing hope speech classifier solely trained on English documents, code mixed documents are utilized to perform cross-lingual sampling and retrieve hope speech content written in a low-resource but widely used language - Romanized Hindi. Our proposed pipeline requires minimal supervision and holds promise in substantially reducing web moderation efforts. A further exploratory study on a new COVID-19 data set introduced in this paper demonstrates the generalizability of our cross-lingual sampling technique.


#11 Deep Hurdle Networks for Zero-Inflated Multi-Target Regression: Application to Multiple Species Abundance Estimation [PDF] [Copy] [Kimi] [REL]

Authors: Shufeng Kong, Junwen Bai, Jae Hee Lee, Di Chen, Andrew Allyn, Michelle Stuart, Malin Pinsky, Katherine Mills, Carla Gomes

A key problem in computational sustainability is to understand the distribution of species across landscapes over time. This question gives rise to challenging large-scale prediction problems since (i) hundreds of species have to be simultaneously modeled and (ii) the survey data are usually inflated with zeros due to the absence of species for a large number of sites. The problem of tackling both issues simultaneously, which we refer to as the zero-inflated multi-target regression problem, has not been addressed by previous methods in statistics and machine learning. In this paper, we propose a novel deep model for the zero-inflated multi-target regression problem. To this end, we first model the joint distribution of multiple response variables as a multivariate probit model and then couple the positive outcomes with a multivariate log-normal distribution. By penalizing the difference between the two distributions’ covariance matrices, a link between both distributions is established. The whole model is cast as an end-to-end learning framework and we provide an efficient learning algorithm for our model that can be fully implemented on GPUs. We show that our model outperforms the existing state-of-the-art baselines on two challenging real-world species distribution datasets concerning bird and fish populations.


#12 Forecasting Avian Migration Patterns using a Deep Bidirectional RNN Augmented with an Auxiliary Task [PDF] [Copy] [Kimi] [REL]

Author: Kehinde Owoeye

Early forecasting of bird migration patterns has important application for example in reducing avian biodiversity loss. An estimated 100 million to 1 billion birds are known to die yearly during migration due to fatal collisions with human made infrastructures such as buildings, high tension lines, wind turbines and aircrafts thus raising a huge concern for conservationists. Building models that can forecast accurate migration patterns is therefore important to enable the optimal management of these critical infrastructures with the sole aim of reducing biodiversity loss. While previous works have largely focused on the task of forecasting migration intensities and the onset of just one migration state, predicting several migration states at even finer granularity is more useful towards optimally managing the infrastructures that causes these deaths. In this work, we consider the task of forecasting migration patterns of the popular Turkey Vulture (Cathartes aura) collected with the aid of satellite telemetry for multiple years at a resolution of one hour. We use a deep Bidirectional-GRU recurrent neural network augmented with an auxiliary task where the state information of one layer is used to initialise the other. Empirical results on a variety of experiments with our approach show we can accurately forecast migration up to one week in advance performing better than a variety of baselines.


#13 Optimal and Non-Discriminative Rehabilitation Program Design for Opioid Addiction Among Homeless Youth [PDF] [Copy] [Kimi] [REL]

Authors: Amulya Yadav, Roopali Singh, Nikolas Siapoutis, Anamika Barman-Adhikari, Yu Liang

This paper presents CORTA, a software agent that designs personalized rehabilitation programs for homeless youth suffering from opioid addiction. Many rehabilitation centers treat opioid addiction in homeless youth by prescribing rehabilitation programs that are tailored to the underlying causes of addiction. To date, rehabilitation centers have relied on ad-hoc assessments and unprincipled heuristics to deliver rehabilitation programs to homeless youth suffering from opioid addiction, which greatly undermines the effectiveness of the delivered programs. CORTA addresses these challenges via three novel contributions. First, CORTA utilizes a first-of-its-kind real-world dataset collected from ~1400 homeless youth to build causal inference models which predict the likelihood of opioid addiction among these youth. Second, utilizing counterfactual predictions generated by our causal inference models, CORTA solves novel optimization formulations to assign appropriate rehabilitation programs to the correct set of homeless youth in order to minimize the expected number of homeless youth suffering from opioid addiction. Third, we provide a rigorous experimental analysis of CORTA along different dimensions, e.g., importance of causal modeling, importance of optimization, and impact of incorporating fairness considerations, etc. Our simulation results show that CORTA outperforms baselines by ~110% in minimizing the number of homeless youth suffering from opioid addiction.


#14 Who Am I?: Towards Social Self-Awareness for Intelligent Agents [PDF] [Copy] [Kimi] [REL]

Authors: Budhitama Subagdja, Han Yi Tay, Ah-Hwee Tan

Most of today's AI technologies are geared towards mastering specific tasks performance through learning from a huge volume of data. However, less attention has still been given to make the AI understand its own purposes or be responsible socially. In this paper, a new model of agent is presented with the capacity to represent itself as a distinct individual with identity, a mind of its own, unique experiences, and social lives. In this way, the agent can interact with its surroundings and other agents seamlessly and meaningfully. A practical framework for developing an agent architecture with this model of self and self-awareness is proposed allowing self to be ascribed to an existing intelligent agent architecture in general to enable its social ability, interactivity, and co-presence with others. Possible applications are discussed with some exemplifying cases based on an implementation of a conversational agent.


#15 Discrete Biorthogonal Wavelet Transform Based Convolutional Neural Network for Atrial Fibrillation Diagnosis from Electrocardiogram [PDF] [Copy] [Kimi] [REL]

Authors: Qingsong Xie, Shikui Tu, Guoxing Wang, Yong Lian, Lei Xu

For the problem of early detection of atrial fibrillation (AF) from electrocardiogram (ECG), it is difficult to capture subject-invariant discriminative features from ECG signals, due to the high variation in ECG morphology across subjects and the noise in ECG. In this paper, we propose an Discrete Biorthogonal Wavelet Transform (DBWT) Based Convolutional Neural Network (CNN) for AF detection, shortly called DBWT-AFNet. In DBWT-AFNet, rather than directly feeding ECG into CNN, DBWT is used to separate sub-signals in frequency band of heart beat from ECG, whose output is fed to CNN for AF diagnosis. Such sub-signals are better than the raw ECG for subject-invariant CNN representation learning because noisy information irrelevant to human beat has been largely filtered out. To strengthen the generalization ability of CNN to discover subject-invariant pattern in ECG, skip connection is exploited to propagate information well in neural network and channel attention is designed to adaptively highlight informative channel-wise features. Experiments show that the proposed DBWT-AFNet outperforms the state-of- the-art methods, especially for ECG segments classification across different subjects, where no data from testing subjects have been used in training.


#16 Generating Interpretable Poverty Maps using Object Detection in Satellite Images [PDF] [Copy] [Kimi] [REL]

Authors: Kumar Ayush, Burak Uzkent, Marshall Burke, David Lobell, Stefano Ermon

Accurate local-level poverty measurement is an essential task for governments and humanitarian organizations to track the progress towards improving livelihoods and distribute scarce resources. Recent computer vision advances in using satellite imagery to predict poverty have shown increasing accuracy, but they do not generate features that are interpretable to policymakers, inhibiting adoption by practitioners. Here we demonstrate an interpretable computational framework to accurately predict poverty at a local level by applying object detectors to high resolution (30cm) satellite images. Using the weighted counts of objects as features, we achieve 0.539 Pearson's r^2 in predicting village-level poverty in Uganda, a 31% improvement over existing (and less interpretable) benchmarks. Feature importance and ablation analysis reveal intuitive relationships between object counts and poverty predictions. Our results suggest that interpretability does not have to come at the cost of performance, at least in this important domain.


#17 Real-Time Dispatching of Large-Scale Ride-Sharing Systems: Integrating Optimization, Machine Learning, and Model Predictive Control [PDF] [Copy] [Kimi] [REL]

Authors: Connor Riley, Pascal van Hentenryck, Enpeng Yuan

This paper considers the dispatching of large-scale real-time ride-sharing systems to address congestion issues faced by many cities. The goal is to serve all customers (service guarantees) with a small number of vehicles while minimizing waiting times under constraints on ride duration. This paper proposes an end-to-end approach that tightly integrates a state-of-the-art dispatching algorithm, a machine-learning model to predict zone-to-zone demand over time, and a model predictive control optimization to relocate idle vehicles. Experiments using historic taxi trips in New York City indicate that this integration decreases average waiting times by about 30% over all test cases and reaches close to 55% on the largest instances for high-demand zones.


#18 PewLSTM: Periodic LSTM with Weather-Aware Gating Mechanism for Parking Behavior Prediction [PDF] [Copy] [Kimi] [REL]

Authors: Feng Zhang, Ningxuan Feng, Yani Liu, Cheng Yang, Jidong Zhai, Shuhao Zhang, Bingsheng He, Jiazao Lin, Xiaoyong Du

In big cities, there are plenty of parking spaces, but we often find nowhere to park. For example, New York has 1.4 million cars and 4.4 million on-street parking spaces, but it is still not easy to find a parking place near our destination, especially during peak hours. The reason is the lack of prediction of parking behavior. If we could provide parking behavior in advance, we can ease this parking problem that affects human well-being. We observe that parking lots have periodic parking patterns, which is an important factor for parking behavior prediction. Unfortunately, existing work ignores such periodic parking patterns in parking behavior prediction, and thus incurs low accuracy. To solve this problem, we propose PewLSTM, a novel periodic weather-aware LSTM model that successfully predicts the parking behavior based on historical records, weather, environments, and weekdays. PewLSTM has been successfully integrated into a real parking space reservation system, ThsParking, which is one of the top smart parking platforms in China. Based on 452,480real parking records in 683 days from 10 parking lots, PewLSTM yields 85.3% parking prediction accuracy, which is about 20% higher than the state-of-the-art parking behavior prediction method. The code and data can be obtained fromhttps://github.com/NingxuanFeng/PewLSTM.


#19 Multi-View Joint Graph Representation Learning for Urban Region Embedding [PDF] [Copy] [Kimi] [REL]

Authors: Mingyang Zhang, Tong Li, Yong Li, Pan Hui

The increasing amount of urban data enable us to investigate urban dynamics, assist urban planning, and eventually, make our cities more livable and sustainable. In this paper, we focus on learning an embedding space from urban data for urban regions. For the first time, we propose a multi-view joint learning model to learn comprehensive and representative urban region embeddings. We first model different types of region correlations based on both human mobility and inherent region properties. Then, we apply a graph attention mechanism in learning region representations from each view of the built correlations. Moreover, we introduce a joint learning module that boosts the region embedding learning by sharing cross-view information and fuses multi-view embeddings by learning adaptive weights. Finally, we exploit the learned embeddings in the downstream applications of land usage classification and crime prediction in urban areas with real-world data. Extensive experiment results demonstrate that by exploiting our proposed joint learning model, the performance is improved by a large margin on both tasks compared with the state-of-the-art methods.


#20 BitcoinHeist: Topological Data Analysis for Ransomware Prediction on the Bitcoin Blockchain [PDF] [Copy] [Kimi] [REL]

Authors: Cuneyt G. Akcora, Yitao Li, Yulia R. Gel, Murat Kantarcioglu

Recent proliferation of cryptocurrencies that allow for pseudo-anonymous transactions has resulted in a spike of various e-crime activities and, particularly, cryptocurrency payments in hacking attacks demanding ransom by encrypting sensitive user data. Currently, most hackers use Bitcoin for payments, and existing ransomware detection tools depend only on a couple of heuristics and/or tedious data gathering steps. By capitalizing on the recent advances in Topological Data Analysis, we propose a novel efficient and tractable framework to automatically predict new ransomware transactions in a ransomware family, given only limited records of past transactions. Moreover, our new methodology exhibits high utility to detect emergence of new ransomware families, that is, detecting ransomware with no past records of transactions.


#21 Deep Semantic Compliance Advisor for Unstructured Document Compliance Checking [PDF] [Copy] [Kimi] [REL]

Authors: Honglei Guo, Bang An, Zhili Guo, Zhong Su

Unstructured document compliance checking is always a big challenge for banks since huge amounts of contracts and regulations written in natural language require professionals' interpretation and judgment. Traditional rule-based or keyword-based methods cannot precisely characterize the deep semantic distribution in the unstructured document semantic compliance checking due to the semantic complexity of contracts and regulations. Deep Semantic Compliance Advisor (DSCA) is an unstructured document compliance checking platform which provides multi-level semantic comparison by deep learning algorithms. In the statement-level semantic comparison, a Graph Neural Network (GNN) based syntactic sentence encoder is proposed to capture the complicate syntactic and semantic clues of the statement sentences. This GNN-based encoder outperforms existing syntactic sentence encoders in deep semantic comparison and is more beneficial for long sentences. In the clause-level semantic comparison, an attention-based semantic relatedness detection model is applied to find the most relevant legal clauses. DSCA significantly enhances the productivity of legal professionals in the unstructured document compliance checking for banks.


#22 A Quantum-inspired Entropic Kernel for Multiple Financial Time Series Analysis [PDF1] [Copy] [Kimi] [REL]

Authors: Lu Bai, Lixin Cui, Yue Wang, Yuhang Jiao, Edwin R. Hancock

Network representations are powerful tools for the analysis of time-varying financial complex systems consisting of multiple co-evolving financial time series, e.g., stock prices, etc. In this work, we develop a new kernel-based similarity measure between dynamic time-varying financial networks. Our ideas is to transform each original financial network into quantum-based entropy time series and compute the similarity measure based on the classical dynamic time warping framework associated with the entropy time series. The proposed method bridges the gap between graph kernels and the classical dynamic time warping framework for multiple financial time series analysis. Experiments on time-varying networks abstracted from financial time series of New York Stock Exchange (NYSE) database demonstrate that our approach can effectively discriminate the abrupt structural changes in terms of the extreme financial events.


#23 Data-Driven Market-Making via Model-Free Learning [PDF] [Copy] [Kimi] [REL]

Authors: Yueyang Zhong, YeeMan Bergstrom, Amy Ward

This paper studies when a market-making firm should place orders to maximize their expected net profit, while also constraining risk, assuming orders are maintained on an electronic limit order book (LOB). To do this, we use a model-free and off-policy method, Q-learning, coupled with state aggregation, to develop a proposed trading strategy that can be implemented using a simple lookup table. Our main training dataset is derived from event-by-event data recording the state of the LOB. Our proposed trading strategy has passed both in-sample and out-of-sample testing in the backtester of the market-making firm with whom we are collaborating, and it also outperforms other benchmark strategies. As a result, the firm desires to put the strategy into production.


#24 Vector Autoregressive Weighting Reversion Strategy for Online Portfolio Selection [PDF] [Copy] [Kimi] [REL]

Author: Xia Cai

Aiming to improve the performance of existing reversion based online portfolio selection strategies, we propose a novel multi-period strategy named “Vector Autoregressive Weighting Reversion” (VAWR). Firstly, vector autoregressive moving-average algorithm used in time series prediction is transformed into exploring the dynamic relationships between different assets for more accurate price prediction. Secondly, we design the modified online passive aggressive technique and advance a scheme to weigh investment risk and cumulative experience to update the closed-form of portfolio. Theoretical analysis and experimental results confirm the effectiveness and robustness of our strategy. Compared with the state-of-the-art strategies, VAWR greatly increases cumulative wealth, and it obtains the highest annualized percentage yield and sharp ratio on various public datasets. These improvements and easy implementation support the practical applications of VAWR.


#25 Task-Based Learning via Task-Oriented Prediction Network with Applications in Finance [PDF] [Copy] [Kimi] [REL]

Authors: Di Chen, Yada Zhu, Xiaodong Cui, Carla Gomes

Real-world applications often involve domain-specific and task-based performance objectives that are not captured by the standard machine learning losses, but are critical for decision making. A key challenge for direct integration of more meaningful domain and task-based evaluation criteria into an end-to-end gradient-based training process is the fact that often such performance objectives are not necessarily differentiable and may even require additional decision-making optimization processing. We propose the Task-Oriented Prediction Network (TOPNet), an end-to-end learning scheme that automatically integrates task-based evaluation criteria into the learning process via a learnable surrogate loss function, which directly guides the model towards the task-based goal. A major benefit of the proposed TOPNet learning scheme lies in its capability of automatically integrating non-differentiable evaluation criteria, which makes it particularly suitable for diversified and customized task-based evaluation criteria in real-world tasks. We validate the performance of TOPNet on two real-world financial prediction tasks, revenue surprise forecasting and credit risk modeling. The experimental results demonstrate that TOPNet significantly outperforms both traditional modeling with standard losses and modeling with hand-crafted heuristic differentiable surrogate losses.