United States

Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of typical data-hungry machine learning methods, leveraging financial inductive biases is important to ensure better sample efficiency and robustness. In this study, we propose a novel method of constructing a portfolio based on predicting the distribution of a financial quantity called residual factors, which is known to be generally useful for hedging the risk exposure to common market factors. The key technical ingredients are twofold. First, we introduce a computationally efficient extraction method for the residual information, which can be easily combined with various prediction algorithms. Second, we propose a novel neural network architecture that allows us to incorporate widely acknowledged financial inductive biases such as amplitude invariance and time-scale invariance. We demonstrate the efficacy of our method on U.S. and Japanese stock market data. Through ablation experiments, we also verify that each individual technique contributes to improving the performance of trading strategies. We anticipate our techniques may have wide applications in various financial problems.

AAAI 2021

Deep Portfolio Optimization via Distributional Prediction of Residual Factors

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. 

Word embedding can represent a word as a point vector or a Gaussian distribution in high-dimensional spaces. Gaussian distribution is innately more expressive than point vector owing to the ability to additionally capture semantic uncertainties of words, and thus can express asymmetric relations among words more naturally (e.g., animal entails cat but not the reverse. However, previous Gaussian embedders neglect inner-word conceptual knowledge and lack tailored Gaussian contextualizer, leading to inferior performance on both intrinsic (context-agnostic) and extrinsic (context-sensitive) tasks. In this paper, we first propose a novel Gaussian embedder which explicitly accounts for inner-word conceptual units (sememes) to represent word semantics more precisely; during learning, we propose Gaussian Distribution Attention over Gaussian representations to adaptively aggregate multiple sememe distributions into a word distribution, which guarantees the Gaussian linear combination property. Additionally, we propose a Gaussian contextualizer to utilize outer-word contexts in a sentence, producing contextualized Gaussian representations for context-sensitive tasks. Extensive experiments on intrinsic and extrinsic tasks demonstrate the effectiveness of the proposed approach, achieving state-of-the-art performance with near 5.00% relative improvement.

Conceptualized and Contextualized Gaussian Embedding

For stability and reliability of real-world applications, the robustness of DNNs in unimodal tasks has been evaluated. However, few studies consider abnormal situations that a visual question answering (VQA) model might encounter at test time after deployment in the real-world. In this study, we evaluate the robustness of state-of-the-art VQA models to five different anomalies, including worst-case scenarios, the most frequent scenarios, and the current limitation of VQA models. Different from the results in unimodal tasks, the maximum confidence of answers in VQA models cannot detect anomalous inputs, and post-training of the outputs, such as outlier exposure, is ineffective for VQA models. Thus, we propose an attention-based method, which uses confidence of reasoning between input images and questions and shows much more promising results than the previous methods in unimodal tasks. In addition, we show that a maximum entropy regularization of attention networks can significantly improve the attention-based anomaly detection of the VQA models. Thanks to the simplicity, attention-based anomaly detection and the regularization are model-agnostic methods, which can be used for various cross-modal attentions in the state-of-the-art VQA models. The results imply that cross-modal attention in VQA is important to improve not only VQA accuracy, but also the robustness to various anomalies.

Regularizing Attention Networks for Anomaly Detection in Visual Question Answering

We present a scalable and effective multi-agent safe motion planner that enables a group of agents to move to their desired locations while avoiding collisions with obstacles and other agents, with the presence of rich obstacles, high-dimensional, nonlinear, nonholonomic dynamics, actuation limits, and disturbances. We address this problem by finding a piecewise linear path for each agent such that the actual trajectories following these paths are guaranteed to satisfy the reach-and-avoid requirement. We show that the spatial tracking error of the actual trajectories of the controlled agents can be pre-computed for any qualified path that considers the minimum duration of each path segment due to actuation limits. Using these bounds, we find a collision-free path for each agent by solving Mixed Integer-Linear Programs and coordinate agents by using the priority-based search. We demonstrate our method by benchmarking in 2D and 3D scenarios with ground vehicles and quadrotors, respectively, and show improvements over the solving time and the solution quality compared to two state-of-the-art multi-agent motion planners.

Scalable and Safe Multi-Agent Motion Planning with Nonlinear Dynamics and Bounded Disturbances

Despite the remarkable empirical performance of deep learning models, their vulnerability to adversarial examples has been revealed in many studies. They are prone to make a susceptible prediction to the input with imperceptible adversarial perturbation. Although recent works have remarkably improved the model's robustness under the adversarial training strategy, an evident gap between the natural accuracy and adversarial robustness inevitably exists. In order to mitigate this problem, in this paper, we assume that the robust and non-robust representations are two basic ingredients entangled in the integral representation. For achieving adversarial robustness, the robust representations of natural and adversarial examples should be disentangled from the non-robust part and the alignment of the robust representations can bridge the gap between accuracy and robustness. Inspired by this motivation, we propose a novel defense method called Deep Robust Representation Disentanglement Network (DRRDN). Specifically, DRRDN employs a disentangler to extract and align the robust representations from both adversarial and natural examples. Theoretical analysis guarantees the mitigation of the trade-off between robustness and accuracy with good disentanglement and alignment performance. Experimental results on benchmark datasets finally demonstrate the empirical superiority of our method.

Adversarial Robustness through Disentangled Representations

In addition to high accuracy, robustness is becoming increasingly important for machine learning models in various applications. Recently, much research has been devoted to improving the model robustness by training with noise perturbations. Most existing studies assume a fixed perturbation level for all training examples, which however hardly holds in real tasks. In fact, excessive perturbations may destroy the discriminative content of an example, while deficient perturbations may fail to provide helpful information for improving the robustness. Motivated by this observation, we propose to adaptively adjust the perturbation levels for each example in the training process. Specifically, a novel active learning framework is proposed to allow the model interactively querying the correct perturbation level from human experts. By designing a cost-effective sampling strategy along with a new query type, the robustness can be significantly improved with a few queries. Both theoretical analysis and experimental studies validate the effectiveness of the proposed approach.

Improving Model Robustness by Adaptively Correcting Perturbation Levels with Active Queries

Weakly-supervised video object segmentation (WVOS) is an emerging video task that can track and segment the target given a simple bounding box label. However, existing WVOS methods are still unsatisfied in either speed or accuracy, since they only use the exemplar frame to guide the prediction while they neglect the reference from other frames. To solve the problem, we propose a novel Re-Aggregation based framework, which uses feature matching to efficiently find the target and capture the temporal dependencies from multiple frames to guide the segmentation. Based on a two-stage structure, our framework builds an information-symmetric matching process to achieve robust aggregation. In each stage, we design a Query-Memory Aggregation (QMA) module to gather features from the past frames and make bidirectional aggregation to adaptively weight the aggregated features, which relieves the latent misguidance in unidirectional aggregation. To further exploit the information from different aggregation stages, we propose a novel coarse-fine constraint by using the Cascaded Refinement Module (CRM) to combine the predictions from different stages and further boosts the performance. Experimental results on three benchmarks show that our method achieves the state-of-the-art performance in WVOS (e.g., an overall score of 84.7% on the DAVIS 2016 validation set).

Query-Memory Re-Aggregation for Weakly-Supervised Video Object Segmentation

Heterogeneous Graph Neural Networks (HGNNs) have drawn increasing attention in recent years and achieved outstanding performance in many tasks. The success of the existing HGNNs relies on one fundamental assumption, i.e., the original heterogeneous graph structure is reliable. However, this assumption is usually unrealistic, since the heterogeneous graph in reality is inevitably noisy or incomplete. Therefore, it is vital to learn the heterogeneous graph structure for HGNNs rather than rely only on the raw graph structure. In light of this, we make the first attempt towards learning an optimal heterogeneous graph structure for HGNNs and propose a novel framework HGSL, which jointly performs Heterogeneous Graph Structure Learning and GNN parameters learning for classification task. Different from traditional GSL on homogeneous graph, considering the heterogeneity of different relations in heterogeneous graph, HGSL generates each relation subgraph independently. Specifically, in each generated relation subgraph, HGSL not only considers the feature similarity by generating feature similarity graph, but also considers the complex heterogeneous interactions in features and semantics by generating feature propagation graph and semantic graph. Then, these graphs are fused to a learned heterogeneous graph and optimized together with a GNN towards classification objective. Extensive experiments on real-world graphs demonstrate that the proposed framework significantly outperforms the state-of-the-art methods.

Heterogeneous Graph Structure Learning for Graph Neural Networks

Visual-tactile fused sensing for object clustering has achieved significant progresses recently, since the involvement of tactile modality can effectively improve clustering performance. However, the missing data (i.e., partial data) issues always happen due to occlusion and noises during the data collecting process. This issue is not well solved by most existing partial multi-view clustering methods for the heterogeneous modality challenge. Naively employing these methods would  inevitably induce a negative effect and further hurt the performance. To solve the mentioned challenges, we propose a Generative Partial Visual-Tactile Fused (i.e., GPVTF) framework for object clustering. More specifically, we first do partial visual and tactile features extraction from the partial visual and tactile data, respectively, and  encode the extracted features in modality-specific feature subspaces. A conditional cross-modal clustering generative adversarial network is then developed to synthesize one modality conditioning on the other modality, which can compensate missing samples and align the visual and tactile modalities naturally by adversarial learning. To the end, two pseudo-label based KL-divergence losses are employed to update the corresponding modality-specific encoders. Extensive comparative experiments on three public visual-tactile datasets prove the effectiveness of our method.

Generative Partial Visual-Tactile Fused Object Clustering

Training deep neural networks using a large batch size has shown promising results and benefits many real-world applications. Warmup is one of nontrivial techniques to stabilize the convergence of large batch training. However, warmup is an empirical method and it is still unknown whether there is a better algorithm with theoretical underpinnings. In this paper, we propose a novel Complete Layer-wise Adaptive Rate Scaling (CLARS) algorithm for large-batch training. We prove the convergence of our algorithm by introducing a new fine-grained analysis of gradient-based methods. Furthermore, the new analysis also helps to understand two other empirical tricks, layer-wise adaptive rate scaling and linear learning rate scaling. We conduct extensive experiments and demonstrate that the proposed algorithm outperforms gradual warmup technique by a large margin and defeats the convergence of the state-of-the-art large-batch optimizer  in training advanced deep neural networks (ResNet, DenseNet, MobileNet) on ImageNet dataset.

Large Batch Optimization for Deep Learning Using New Complete Layer-Wise Adaptive Rate Scaling

The research field of stochastic matching has yielded many developments for various applications. In most stochastic matching problems, the probability distributions inherent in the nodes and edges are set a priori, and are not controllable. However, many matching services have options, which we call control variables, that affect the probability distributions and thus what constitutes an optimum matching. Although several methods for optimizing the values of the control variables have been developed, their optimization in consideration of the matching problem is still in its infancy. In this paper, we formulate an optimization problem for determining the values of the control variables so as to maximize the expected value of matching weights. Since this problem involves hard to evaluate objective values and is non-convex, we construct an approximation algorithm via a minimum-cost flow algorithm that can find 3-approximation solutions rapidly. Simulations on real data from a ride-hailing platform and a crowd-sourcing market show that the proposed method can find solutions with high profits of the service provider in practical time.

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Conceptualized and Contextualized Gaussian Embedding

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Conceptualized and Contextualized Gaussian Embedding

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Stock Trading Classifier with Multichannel Convolutional Neural Network

Stay up to date with the latest Underline news!

PRESENTATIONS

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