United States

In an order-driven financial market, the price of a financial asset is discovered through the interaction of orders - requests to buy or sell at a particular price - that are posted to the public limit order book (LOB). Therefore, LOB data is extremely valuable for modelling market dynamics. However, LOB data is not freely accessible, which poses a challenge to market participants and researchers wishing to exploit this information. Fortunately, trades and quotes (TAQ) data - orders arriving at the top of the LOB, and trades executing in the market - are more readily available. In this paper, we present the LOB recreation model, a first attempt from a deep learning perspective to recreate the top five price levels of the LOB for small-tick stocks using only TAQ data. Volumes of orders sitting deep in the LOB are predicted by combining outputs from: (1) a history compiler that uses a Gated Recurrent Unit (GRU) module to selectively compile prediction relevant quote history; (2) a market events simulator, which uses an Ordinary Differential Equation Recurrent Neural Network (ODE-RNN) to simulate the accumulation of net order arrivals; and (3) a weighting scheme to adaptively combine the predictions generated by (1) and (2). By the paradigm of transfer learning, the core encoder trained on one stock can be fine-tuned to enable application to other financial assets of the same class with much lower demand on additional data. Comprehensive experiments conducted on two real world intraday LOB datasets demonstrate that the proposed model can efficiently recreate the LOB with high accuracy using only TAQ data as input.

AAAI 2021

The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network

The 9th Brazilian Conference on Intelligent Systems (BRACIS), the 16h Encontro Nacional de Inteligência Artificial e Computacional (ENIAC), and the 12th Concurso de Teses e Dissertações em Inteligência Artificial e Computacional (CTDIAC) was held from 20 to 23 October, 2020.

BRACIS originated from the combination of the two most important scientific events in Brazil in Artificial Intelligence (AI) and Computational Intelligence (CI): the Brazilian Symposium on Artificial Intelligence - SBIA (22 editions), and the Brazilian Symposium on Neural Networks - SBRN (13 editions). ENIAC is a national forum for researchers, practitioners, educators and students to present and discuss innovations, trends, experiences, developments and work in progress in the fields of Artificial and Computational Intelligence. CTDIAC is a satellite event whose goals are to disseminate and award the best dissertations and theses (MSc and PhDs concluded in Brazilian universities from June 2018 to May 2020) in Artificial and Computational Intelligence areas.

In this year, the Symposium on Knowledge Discovery, Mining and Learning (KDMiLe) will be held in conjunction with BRACIS 2020. This sysposium aims at integrating researchers, practitioners, developers, students and users to present their research results, to discuss ideas, and to exchange techniques, tools, and practical experiences – related to the Data Mining and Machine Learning areas.

BRACIS 2020

technical paper

The purpose of the AAAI conference is to promote research in artificial intelligence (AI) and scientific exchange among AI researchers, practitioners, scientists, and engineers in affiliated disciplines. 

Focusing on text-to-image (T2I) generation, we propose Text and Image Mutual-Translation Adversarial Networks (TIME), a lightweight but effective model that jointly learns a T2I generator G and an image captioning discriminator D under the Generative Adversarial Network framework. While previous methods tackle the T2I problem as a uni-directional task and use pre-trained language models to enforce the image--text consistency, TIME requires neither extra modules nor pre-training. We show that the performance of G can be boosted substantially by training it jointly with D as a language model. Specifically, we adopt Transformers to model the cross-modal connections between the image features and word embeddings, and design an annealing conditional hinge loss that dynamically balances the adversarial learning. In our experiments, TIME achieves state-of-the-art (SOTA) performance on the CUB dataset (Inception Score of 4.91 and FrÃ©chet Inception Distance of 14.3 on CUB), and shows promising performance on MS-COCO dataset on image captioning and downstream vision-language tasks.

TIME: Text and Image Mutual-Translation Adversarial Networks

Although deep learning models have achieved state-of-the art performance on a number of vision tasks, generalization over high dimensional multi-modal data, and reliable predictive uncertainty estimation are still active areas of research.  Bayesian approaches including Bayesian Neural Nets (BNNs) do not scale well to modern computer vision tasks, as they are difficult to train, and have poor generalization under dataset-shift. This motivates the need for effective ensembles which can generalize and give reliable uncertainty estimates. In this paper, we target the problem of generating effective ensembles of neural networks by encouraging diversity in prediction. We explicitly optimize a diversity inducing adversarial loss for learning the stochastic latent variables and thereby obtain diversity in the output predictions necessary for modeling multi-modal data. We evaluate our method on benchmark datasets: MNIST, CIFAR100, TinyImageNet and MIT Places 2, and compared to the most competitive baselines show significant improvements in classification accuracy, under a shift in the data distribution and in out-of-distribution detection. over 10% relative improvement in classification accuracy, over 5% relative improvement in generalizing under dataset shift, and over 5% better predictive uncertainty estimation as inferred by efficient out-of-distribution (OOD) detection.

DIBS: Diversity Inducing Information Bottleneck in Model Ensembles

Determining the readability of a text is the first step to its simplification. In this paper, we present a readability analysis tool capable of analyzing text written in the Bengali language to provide in-depth information on its readability and complexity. Despite being the 7th most spoken language in the world with 230 million native speakers, Bengali suffers from a lack of fundamental resources for natural language processing. Readability related research of the Bengali language so far can be considered to be narrow and sometimes faulty due to the lack of resources. Therefore, we correctly adopt document-level readability formulas traditionally used for U.S. based education system to the Bengali language with a proper age-to-age comparison. Due to the unavailability of large-scale human-annotated corpora, we further divide the document-level task into sentence-level and experiment with neural architectures, which will serve as a baseline for the future works of Bengali readability prediction. During the process, we present several human-annotated corpora and dictionaries such as a document-level dataset comprising 618 documents with 12 different grade levels, a large-scale sentence-level dataset comprising more than 96K sentences with simple and complex labels, a consonant conjunct count algorithm and a corpus of 341 words to validate the effectiveness of the algorithm, a list of 3,396 easy words, and an updated pronunciation dictionary with more than 67K words. These resources can be useful for several other tasks of this low-resource language.

Simple or Complex? Learning to Predict Readability of Bengali Texts

Knowledge graphs (KGs) are of great importance to many real world applications, but they generally suffer from incomplete information in the form of missing relations between entities. Knowledge graph completion (also known as relation prediction) is the task of inferring missing facts given existing ones. Most of the existing work is proposed by maximizing the likelihood of observed instance-level triples. Not much attention, however, is paid to the ontological information, such as type information of entities and relations. In this work, we propose a type-augmented relation prediction (TaRP) method, where we apply both the type information and instance-level information for the relation prediction. In particular, type information and instance-level information are encoded as prior probabilities and likelihoods of relations respectively, and are combined by following the Bayes' rule. Our proposed TaRP method achieves significantly better performance than state-of-the-art methods on four benchmark datasets: FB15K, FB15K-237, YAGO26K-906, and DB111K-174. In addition, we show that the TaRP achieves the significantly improved data efficiency. More importantly, the type information extracted from a specific dataset can generalize well to different datasets through the proposed TaRP model.

Type-Augmented Relation Prediction in Knowledge Graphs

We study a coordination game motivated by the formation of Internet Exchange Points (IXPs), in which agents choose which facilities to join. Joining the same facility as other agents you communicate with has benefits, but different facilities have different costs for each agent. Thus, the players wish to join the same facilities as their "friends", but this is balanced by them not wanting to pay the cost of joining a facility. We first show that the Price of Stability (PoS) of this game is at most 2, and more generally there always exists an alpha-approximate equilibrium with cost at most 2/alpha of optimum. We then focus on how better stable solutions can be formed. If we allow agents to pay their neighbors to prevent them from deviating (i.e., a player i voluntarily pays another player j so that j joins the same facility), then we provide a payment scheme which stabilizes the solution with minimum social cost s*, i.e. PoS is 1. In our main technical result, we consider how much a central coordinator would have to pay the players in order to form good stable solutions. Let Delta denote the total amount of payments needed to be paid to the players in order to stabilize s*, i.e., these are payments that a player would lose if they changed their strategy from the one in s*. We prove that there is a tradeoff between Delta and the Price of Stability: Delta/cost(s*) < 1 - 2 PoS/5. Thus when there are no good stable solutions, only a small amount of extra payment is needed to stabilize s*; and when good stable solutions already exist (i.e., PoS is small), then we should be happy with those solutions instead. Finally, we consider the computational complexity of finding the optimum solution s*, and design a polynomial time O(log n) approximation algorithm for this problem.

Forming Better Stable Solutions in Group Formation Games Inspired by Internet Exchange Points (IXPs)

The problem of identifying a probabilistic context free grammar has two aspects: the first is determining the grammar's topology (the rules of the grammar) and the second is estimating probabilistic weights for each rule. Given the hardness results for learning context-free grammars in general, and probabilistic grammars in particular, most of the literature has concentrated on the second problem. In this work we address the first problem.  We restrict attention to structurally unambiguous weighted context-free grammars (SUWCFG) and provide a query learning algorithm for strucuturally unambiguous probabilistic context-free grammars  (SUPCFG). We show that SUWCFG can be represented using co-linear multiplicity tree automata (CMTA), and provide a polynomial learning algorithm that learns CMTAs.  We show that the learned CMTA can be converted into a probabilistic grammar, thus providing  a complete algorithm for learning  a strucutrally unambiguous probabilistic context free grammar (both the grammar topology and the probabilistic weights) using structured membership queries and structured equivalence queries. We demonstrate the usefulness of our algorithm in learning PCFGs over genomic data.

Learning of Structurally Unambiguous Probabilistic Grammars

Robots operating in the real world must deal with uncertainty, be it due to working with humans who are unpredictable, or simply because they must operate in a dynamic environment. Ignoring the uncertainty is dangerous, while accounting for all possible outcomes is often computationally infeasible.
 One approach, which lies between ignoring the uncertainty completely and addressing it completely is using flexible plans with choice, formulated as Temporal Planning Networks (TPNs). This method has been successfully demonstrated to work in human-robot teamwork using the Pike executive, an online executive that unifies intent recognition and plan adaptation.
 However, one of the main challenges to using Pike is the need to manually specify the TPN. In this paper, we address this challenge by describing a technique for automatically synthesizing a TPN which covers multiple possible executions for a given temporal planning problem specified in PDDL 2.1. Our approach starts by using a diverse planner to generate multiple plans, and then merges them into a single TPN. As there were no available diverse planners for temporal planning, we first present a novel method for adapting an existing diverse planning method, based on top-k planning, to the temporal setting. We then describe how merging diverse plans into a single TPN is performed using constraint optimization. Finally, an empirical evaluation on a set of IPC benchmarks shows that our approach scales well, and generates TPNs which can generalize the set of plans they are generated from.

Automatic Generation of Flexible Plans via Diverse Temporal Planning

Consider a learning algorithm, which involves an internal call to an optimization routine such as a generalized eigenvalue problem, a cone programming problem or even sorting. Integrating such a method as layers within a trainable deep network in a numerically stable way is not simple â€“ for instance, only recently, strategies have emerged for eigendecomposition and differentiable sorting. We propose an efficient and differentiable solver for general linear programming problems which can be used in a plug and play manner within deep neural networks as a layer. Our development is inspired by a fascinating but not widely used link between dynamics of slime mold (physarum) and mathematical optimization schemes such as steepest descent. We describe our development and demonstrate the use of our solver in a video object segmentation task and meta-learning for few-shot learning. We review the relevant known results and provide a technical analysis describing its applicability for our use cases. Our solver performs comparably with a customized projected gradient descent method on the first task and outperforms the very recently proposed differentiable CVXPY solver on the second task. Experiments show that our solver converges quickly without the need for a feasible initial point. Interestingly, our scheme is easy to implement and can easily serve as layers whenever a learning procedure needs a fast approximate solution to a LP, within a larger network.

Physarum Powered Differentiable Linear Programming Layers and Applications

Sentence ordering aims at arranging a list of sentences in the correct order. Based on the observation that sentence order at different distances may rely on different types of information, we devise a new approach based on multi-granular orders between sentences. These orders form multiple constraint graphs, which are then encoded by Graph Isomorphism Networks and fused into sentence representations. Finally, sentence order is determined using the order-enhanced sentence representations. Our experiments on five benchmark datasets show that our method outperforms all existing baselines significantly, achieving a new state-of-the-art performance. The results demonstrate the advantage of considering multiple types of order information and using graph neural networks to integrate sentence content and order information for the task. Our code is available at https://github.com/DaoD/ConstraintGraph4NSO.

Neural Sentence Ordering Based on Constraint Graphs

Federated multi-armed bandits (FMAB) is a new bandit paradigm that parallels the federated learning (FL) framework in supervised learning. It is inspired by practical applications in cognitive radio and recommender systems, and enjoys features that are analogous to FL. This paper proposes a general framework of FMAB and then studies two specific federated bandit models. We first study the approximate model where the heterogeneous local models are random realizations of the global model from an unknown distribution. This model introduces a new uncertainty of client sampling, as the global model may not be reliably learned even if the finite local models are perfectly known. Furthermore, this uncertainty cannot be quantified a priori without knowledge of the suboptimality gap. We solve the approximate model by proposing Federated Double UCB (Fed2-UCB), which constructs a novel â€œdouble UCBâ€ principle accounting for uncertainties from both arm and client sampling. We show that gradually admitting new clients is critical in achieving an O(log(T)) regret while explicitly considering the communication loss. The exact model, where the global bandit model is the exact average of heterogeneous local models, is then studied as a special case. We show that, somewhat surprisingly, the order-optimal regret can be achieved independent of the number of clients with a careful choice of the update periodicity. Experiments using both synthetic and real-world datasets corroborate the theoretical analysis and demonstrate the effectiveness and efficiency of the proposed algorithms.

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TIME: Text and Image Mutual-Translation Adversarial Networks

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