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High-frequency trading (HFT) is using computer algorithms to make trading decisions in short time scales (e.g., second-level), which is widely used in the Cryptocurrency (Crypto) market, (e.g., Bitcoin). Reinforcement learning (RL) in financial research has shown stellar performance on many quantitative trading tasks. However, most methods focus on low-frequency trading, e.g., day-level, which cannot be directly applied to HFT because of two challenges. First, RL for HFT involves dealing with extremely long trajectories (e.g., 2.4 million steps per month), which is hard to optimize and evaluate. Second, the dramatic price fluctuations and market trend changes of Crypto make existing algorithms fail to maintain satisfactory performances. To tackle these challenges, we propose an Efficient hieArchical Reinforcement learNing method for High Frequency Trading (EarnHFT), a novel three-stage hierarchical RL framework for HFT. In stage I, we compute a Q-teacher, i.e., the optimal action value based on dynamic programming, for enhancing the performance and training efficiency of second level RL agents. In stage II, we construct a pool of diverse RL agents for different market trends, distinguished by return rates, where hundreds of RL agents are trained with different preferences of return rates and only a tiny fraction of them will be selected into the pool based on their profitability. In stage III, we train a minute-level router which dynamically picks a second-level agent from the pool to achieve stable performance across different markets. Through extensive experiments in various market trends on Crypto markets in a high-fidelity simulation trading environment, we demonstrate that EarnHFT significantly outperforms 6 state-of-art baselines in 6 popular financial criteria, exceeding the runner-up by 30% in profitability.

AAAI 2024

EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading | VIDEO

high-frequency trading

hierarchical reinforcement learning

dynamic programming

technical paper

We are pleased to announce the Thirty-Eighth AAAI Conference on Artificial Intelligence (AAAI-24), which will be held in Vancouver, British Columbia at the Vancouver Convention Centre – West Building from 20-27 February, 2024.

The purpose of the AAAI conference series is to promote research in Artificial Intelligence (AI) and foster scientific exchange between researchers, practitioners, scientists, students, and engineers across the entirety of AI and its affiliated disciplines. AAAI-24 will feature technical paper presentations, special tracks, invited speakers, workshops, tutorials, poster sessions, senior member presentations, competitions, and exhibit programs, and a range of other activities to be announced.

We expect for AAAI-24 to be an in-person conference – one author of all accepted papers will be expected to present work in person unless there are exceptional circumstances that prevent this.<br><br><br><br>

In order to access the AAAI-24 event page you need to register [here](https://aaai.org/aaai-conference/registration/)

The purpose of the AAAI conference series is to promote research in Artificial Intelligence (AI) and foster scientific exchange between researchers, practitioners, scientists, students, and engineers across the entirety of AI and its affiliated disciplines. 

Conventional Outlier Robust Tensor Decomposition (ORTD) approaches generally represent sparse outlier corruption within a specific mode. However, such an assumption, which may hold for matrices, proves inadequate when applied to high-order tensors. In the tensor domain, the outliers are prone to be corrupted in multiple modes simultaneously. Addressing this limitation, this study proposes a novel ORTD approach by recovering low-rank tensors contaminated by outliers spanning multiple modes. In particular, we conceptualize outliers within high-order tensors as latent tensor group sparsity by decomposing the corrupted tensor into a sum of multiple latent components, where each latent component is exclusive to outliers within a particular direction. Thus, it can effectively mitigate the outlier corruptions prevalent in high-order tensors across multiple modes. To theoretically guarantee recovery performance, we rigorously analyze a non-asymptotic upper bound of the estimation error for the proposed ORTD approach. In the optimization process, we develop an efficient alternate direction method of multipliers (ADMM) algorithm. Empirical validation of the approach's efficacy is undertaken through comprehensive experimentation. Notably, the approach not only discerns multi-mode outliers embedded within low-rank tensor data but also separates these outliers into different directions. This holistic approach makes a substantial stride towards ameliorating the challenge of outliers in high-order tensors, thereby improving recovery precision and efficacy in real-world scenarios.

Towards Multi-Mode Outlier Robust Tensor Ring Decomposition | VIDEO

The human brain can effortlessly and reliably perceive emotions, whereas existing facial emotion recognition (FER) methods suffer from drawbacks such as complex model structures, high storage requirements, and poor interpretability. Inspired by the role of emotion concepts in visual perception coding within the human brain, we propose a dual-pathway framework emulating the neural computation of emotion recognition. Specifically, these two pathways are designed to model the representation of emotion concepts in the brain and the visual perception process, respectively. For the former, we adopt a disentangled approach to extract emotion concepts from complex facial geometric attributes; for the latter, we employ an emotional confidence evaluation strategy to determine which concept is optimal for regularizing the perceptual coding. The proposed concept-regularized coding strategy endows the framework with flexibility and interpretability as well as good performances on several benchmarking FER datasets.

A Brain-Inspired Way of Reducing the Network Complexity via Concept-Regularized Coding for Emotion Recognition

Estimating heterogeneous treatment effects across individuals has attracted growing attention as a statistical tool for performing critical decision-making. We propose a Bayesian inference framework that quantifies the uncertainty in treatment effect estimation to support decision-making in a relatively small sample size setting. Our proposed model places Gaussian process priors on the nonparametric components of a semiparametric model called a partially linear model. This model formulation has three advantages. First, we can analytically compute the posterior distribution of a treatment effect without relying on the computationally demanding posterior approximation. Second, we can guarantee that the posterior distribution concentrates around the true one as the sample size goes to infinity. Third, we can incorporate prior knowledge about a treatment effect into the prior distribution, improving the estimation efficiency. Our experimental results show that even in the small sample size setting, our method can accurately estimate the heterogeneous treatment effects and effectively quantify its estimation uncertainty.

Uncertainty Quantification in Heterogeneous Treatment Effect Estimation with Gaussian-Process-Based Partially Linear Model

Graph Neural Networks (GNNs) have received increasing attention due to their ability to learn from graph-structured data. To open the black-box of these deep learning models, post-hoc instance-level explanation methods have been proposed to understand GNN predictions. These methods seek to discover substructures that explain the prediction behavior of a trained GNN.  In this paper, we show analytically that for a large class of explanation tasks, conventional approaches, which are based on the principle of graph information bottleneck (GIB), admit trivial solutions that do not align with the notion of explainability. Instead, we argue that a modified GIB principle may be used to avoid the aforementioned trivial solutions. We further introduce a novel factorized explanation model with theoretical performance guarantees. The modified GIB is used to analyze the structural properties of the proposed factorized explainer. We conduct extensive experiments on both synthetic and real-world datasets to validate the effectiveness of our proposed factorized explainer.

Factorized Explainer for Graph Neural Networks | VIDEO

Instance segmentation is a fundamental research in computer vision, especially in autonomous driving. However, manual mask annotation for instance segmentation is quite time-consuming and costly. To address this problem, some prior works attempt to apply weakly supervised manner by exploring 2D or 3D boxes. However, no one has ever successfully segmented 2D and 3D instances simultaneously by only using 2D box annotations, which could further reduce the annotation cost by an order of magnitude. Thus, we propose a novel framework called Multimodal Weakly Supervised Instance Segmentation (MWSIS), which incorporates various fine-grained label correction modules for both 2D and 3D modalities, along with a new multimodal cross-supervision approach. In the 2D pseudo label generation branch, the Instance-based Pseudo Mask Generation (IPG) module utilizes predictions for self-supervised correction. Similarly, in the 3D pseudo label generation branch, the Spatial-based Pseudo Label Generation (SPG) module generates pseudo labels by incorporating the spatial prior information of the point cloud. To further refine the generated pseudo labels, the Point-based Voting Label Correction (PVC) module utilizes historical predictions for correction. Additionally, a Ring Segment-based Label Correction (RSC) module is proposed to refine the predictions by leveraging the depth prior information from the point cloud. Finally, the Consistency Sparse Cross-modal Supervision (CSCS) module reduces the inconsistency of multimodal predictions by response distillation. Particularly, transferring the 3D backbone to downstream tasks not only improves the performance of the 3D detectors, but also outperforms fully supervised instance segmentation with only 5% fully supervised annotations. On the Waymo dataset, the proposed framework demonstrates significant improvements over the baseline, especially achieving 2.59% mAP and 12.75% mAP increases for 2D and 3D instance segmentation tasks, respectively. The code is available at https://github.com/jiangxb98/mwsis-plugin.

MWSIS: Multimodal Weakly Supervised Instance Segmentation with 2D Box Annotations for Autonomous Driving | VIDEO

Graph neural networks (GNNs) have shown remarkable success in learning representations for graph-structured data. However, GNNs still face challenges in modeling complex phenomena that involve feature transportation. In this paper, we propose a novel GNN architecture inspired by Advection-Diffusion-Reaction systems, called ADR-GNN.
Advection models feature transportation, while diffusion captures the local smoothing of features, and reaction represents the non-linear transformation between feature channels. We provide an analysis of the qualitative behavior of ADR-GNN, that shows the benefit of combining advection, diffusion, and reaction.
To demonstrate its efficacy, we evaluate ADR-GNN on real-world node classification and spatio-temporal datasets, and show that it improves or offers competitive performance compared to state-of-the-art networks.

Feature Transportation Improves Graph Neural Networks

Current research for node classification focuses on dealing with either graph noise or label noise, but few studies consider both of them. In this paper, we propose a new robust node classification method to simultaneously deal with graph noise and label noise. To do this, we design a graph contrastive loss to conduct local graph learning and employ self-attention to conduct global graph learning. They enable us to improve the expressiveness of node representation by using comprehensive information among nodes. We also utilize pseudo graphs and pseudo labels to deal with graph noise and label noise, respectively. Furthermore, We numerically validate the superiority of our method in terms of robust node classification compared with all comparison methods.

Robust Node Classification on Graph Data with Graph and Label Noise

Domain-generalized urban-scene semantic segmentation (USSS) aims to learn generalized semantic predictions across diverse urban-scene styles. Unlike generic domain gap challenges, USSS is unique in that the semantic categories are often similar in different urban scenes, while the styles can vary significantly due to changes in urban landscapes, weather conditions, lighting, and other factors. 
Existing approaches typically rely on convolutional neural networks (CNNs) to learn the content of urban scenes.

In this paper, we propose a Content-enhanced Mask TransFormer (CMFormer) for domain-generalized USSS. The main idea is to enhance the focus of the fundamental component, the mask attention mechanism, in Transformer segmentation models on content information. 
We have observed through empirical analysis that a mask representation effectively captures pixel segments, albeit with reduced robustness to style variations. Conversely, its lower-resolution counterpart exhibits greater ability to accommodate style variations, while being less proficient in representing pixel segments. To harness the synergistic attributes of these two approaches, we introduce a novel content-enhanced mask attention mechanism. It learns mask queries from both the image feature and its down-sampled counterpart, aiming to simultaneously encapsulate the content and address stylistic variations. These features are fused into a Transformer decoder and integrated into a multi-resolution content-enhanced mask attention learning scheme.

Extensive experiments conducted on various domain-generalized urban-scene segmentation datasets demonstrate that the proposed CMFormer significantly outperforms existing CNN-based methods by up to 14.0% mIoU and the contemporary HGFormer by up to 1.7% mIoU. The source code is publicly available at https://github.com/BiQiWHU/CMFormer.

Learning Content-Enhanced Mask Transformer for Domain Generalized Urban-Scene Segmentation

Neuromorphic object recognition with spiking neural networks (SNNs) is the cornerstone of low-power neuromorphic computing. However, existing SNNs suffer from significant latency, utilizing 10 to 40 timesteps or more, to recognize neuromorphic objects. At low latencies, the performance of existing SNNs is drastically degraded. In this work, we propose the Shrinking SNN (SSNN) to achieve low-latency neuromorphic object recognition without reducing performance. Concretely, we alleviate the temporal redundancy in SNNs by dividing SNNs into multiple stages with progressively shrinking timesteps, which significantly reduces the inference latency. During timestep shrinkage, the temporal transformer smoothly transforms the temporal scale and preserves the information maximally. Moreover, we add multiple early classifiers to the SNN during training to mitigate the mismatch between the surrogate gradient and the true gradient, as well as the gradient vanishing/exploding, thus eliminating the performance degradation at low latency. Extensive experiments on neuromorphic datasets, CIFAR10-DVS, N-Caltech101, and DVS-Gesture have revealed that SSNN is able to improve the baseline accuracy by 6.55% ~ 21.41%. With only 5 average timesteps and without any data augmentation, SSNN is able to achieve an accuracy of 73.63% on CIFAR10-DVS. This work presents a heterogeneous temporal scale SNN and provides valuable insights into the development of high-performance, low-latency SNNs.

Shrinking Your TimeStep: Towards Low-Latency Neuromorphic Object Recognition with Spiking Neural Networks

Existing hyperspectral image (HSI) super-resolution (SR) methods struggle to effectively capture the complex spectral-spatial relationships and low-level details, while diffusion models represent a promising generative model known for their exceptional performance in modeling complex relations and learning high and low-level visual features. The direct application of diffusion models to HSI SR is hampered by challenges such as difficulties in model convergence and protracted inference time. In this work, we introduce a novel Group-Autoencoder (GAE) framework that synergistically combines with the diffusion model to construct a highly effective HSI SR model (DMGASR). Our proposed GAE framework encodes high-dimensional HSI data into low-dimensional latent space where the diffusion model works, thereby alleviating the difficulty of training the diffusion model while maintaining band correlation and considerably reducing inference time. Experimental results on both natural and remote sensing hyperspectral datasets demonstrate that the proposed method is superior to other state-of-the-art methods both visually and metrically.

EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading | VIDEO

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Towards Multi-Mode Outlier Robust Tensor Ring Decomposition | VIDEO

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