pwc-archive/papers-with-abstracts huggingface dataset:
Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications
Authors: Xihan Xiong, Zhipeng Wang, Tianxiang Cui, William Knottenbelt, Michael Huth
Date: 2023-11-29 00:00:00

Technological advancement drives financial innovation, reshaping the traditional finance landscape and redefining user-market interactions. The rise of blockchain and Decentralized Finance (DeFi) underscores this intertwined evolution of technology and finance. While DeFi has introduced exciting opportunities, it has also exposed the ecosystem to new forms of market misconduct. This paper aims to bridge the academic and regulatory gaps by addressing key research questions about market misconduct in DeFi. We begin by discussing how blockchain technology can potentially enable the emergence of novel forms of market misconduct. We then offer a comprehensive definition and taxonomy for understanding DeFi market misconduct. Through comparative analysis and empirical measurements, we examine the novel forms of misconduct in DeFi, shedding light on their characteristics and social impact. Subsequently, we investigate the challenges of building a tailored regulatory framework for DeFi. We identify key areas where existing regulatory frameworks may need enhancement. Finally, we discuss potential approaches that bring DeFi into the regulatory perimeter.
Non-adversarial training of Neural SDEs with signature kernel scores
Authors: Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi
Date: 2023-05-25 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Irregular Time Series, Time Series Generation

Neural SDEs are continuous-time generative models for sequential data. State-of-the-art performance for irregular time series generation has been previously obtained by training these models adversarially as GANs. However, as typical for GAN architectures, training is notoriously unstable, often suffers from mode collapse, and requires specialised techniques such as weight clipping and gradient penalty to mitigate these issues. In this paper, we introduce a novel class of scoring rules on pathspace based on signature kernels and use them as objective for training Neural SDEs non-adversarially. By showing strict properness of such kernel scores and consistency of the corresponding estimators, we provide existence and uniqueness guarantees for the minimiser. With this formulation, evaluating the generator-discriminator pair amounts to solving a system of linear path-dependent PDEs which allows for memory-efficient adjoint-based backpropagation. Moreover, because the proposed kernel scores are well-defined for paths with values in infinite dimensional spaces of functions, our framework can be easily extended to generate spatiotemporal data. Our procedure permits conditioning on a rich variety of market conditions and significantly outperforms alternative ways of training Neural SDEs on a variety of tasks including the simulation of rough volatility models, the conditional probabilistic forecasts of real-world forex pairs where the conditioning variable is an observed past trajectory, and the mesh-free generation of limit order book dynamics.
VoxDet: Voxel Learning for Novel Instance Detection
Date: 2023-09-21 00:00:00
Proceeding: NeurIPS 2023 11

Detecting unseen instances based on multi-view templates is a challenging problem due to its open-world nature. Traditional methodologies, which primarily rely on $2 \mathrm{D}$ representations and matching techniques, are often inadequate in handling pose variations and occlusions. To solve this, we introduce VoxDet, a pioneer 3D geometry-aware framework that fully utilizes the strong 3D voxel representation and reliable voxel matching mechanism. VoxDet first ingeniously proposes template voxel aggregation (TVA) module, effectively transforming multi-view 2D images into 3D voxel features. By leveraging associated camera poses, these features are aggregated into a compact 3D template voxel. In novel instance detection, this voxel representation demonstrates heightened resilience to occlusion and pose variations. We also discover that a $3 \mathrm{D}$ reconstruction objective helps to pre-train the 2D-3D mapping in TVA. Second, to quickly align with the template voxel, VoxDet incorporates a Query Voxel Matching (QVM) module. The 2D queries are first converted into their voxel representation with the learned 2D-3D mapping. We find that since the 3D voxel representations encode the geometry, we can first estimate the relative rotation and then compare the aligned voxels, leading to improved accuracy and efficiency. In addition to method, we also introduce the first instance detection benchmark, RoboTools, where 20 unique instances are video-recorded with camera extrinsic. RoboTools also provides 24 challenging cluttered scenarios with more than $9 \mathrm{k}$ box annotations. Exhaustive experiments are conducted on the demanding LineMod-Occlusion, YCB-video, and RoboTools benchmarks, where VoxDet outperforms various $2 \mathrm{D}$ baselines remarkably with faster speed. To the best of our knowledge, VoxDet is the first to incorporate implicit 3D knowledge for 2D novel instance detection tasks.
Interaction uncertainty in financial networks
Authors: Andrea Auconi
Date: 2023-11-29 00:00:00

A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the stress expectation is derived and studied on the short-medium timescale in an expansion. It is shown that, while different interaction matrices can amplify or absorb fluctuations, on average interactions increase the stress expectation. More in general, this analytical framework enables to estimate the impact of uncertainty about financial exposures, and to draw conclusions about the importance of disclosure.
Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach
Authors: Andrea Teruzzi
Date: 2023-11-28 00:00:00

The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent data. This research proposes an expectile-based approach for assessing the tail risk of dependent data. Expectile is a summary statistic that generalizes the concept of mean, as the quantile generalizes the concept of the median. We present the empirical findings for a dataset of cryptocurrencies. We propose a method for dynamically evaluating the level of the expectiles by estimating the level of the expectiles of the residuals of a heteroscedastic regression, such as a GARCH model. Finally, we introduce the Marginal Expected Shortfall (MES) as a tool for measuring the marginal impact of single assets on systemic shortfalls. In our case of interest, we are focused on the impact of a single cryptocurrency on the systemic risk of the whole cryptocurrency market. In particular, we present an expectile-based MES for dependent data.
How Re-sampling Helps for Long-Tail Learning?
Date: 2023-09-21 00:00:00
Proceeding: NeurIPS 2023 11

Long-tail learning has received significant attention in recent years due to the challenge it poses with extremely imbalanced datasets. In these datasets, only a few classes (known as the head classes) have an adequate number of training samples, while the rest of the classes (known as the tail classes) are infrequent in the training data. Re-sampling is a classical and widely used approach for addressing class imbalance issues. Unfortunately, recent studies claim that re-sampling brings negligible performance improvements in modern long-tail learning tasks. This paper aims to investigate this phenomenon systematically. Our research shows that re-sampling can considerably improve generalization when the training images do not contain semantically irrelevant contexts. In other scenarios, however, it can learn unexpected spurious correlations between irrelevant contexts and target labels. We design experiments on two homogeneous datasets, one containing irrelevant context and the other not, to confirm our findings. To prevent the learning of spurious correlations, we propose a new context shift augmentation module that generates diverse training images for the tail class by maintaining a context bank extracted from the head-class images. Experiments demonstrate that our proposed module can boost the generalization and outperform other approaches, including class-balanced re-sampling, decoupled classifier re-training, and data augmentation methods. The source code is available at https://www.lamda.nju.edu.cn/code_CSA.ashx.
Restart Sampling for Improving Generative Processes
Authors: Yilun Xu, Mingyang Deng, Xiang Cheng, Yonglong Tian, Ziming Liu, Tommi Jaakkola
Date: 2023-06-26 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Attribute, Diversity

Generative processes that involve solving differential equations, such as diffusion models, frequently necessitate balancing speed and quality. ODE-based samplers are fast but plateau in performance while SDE-based samplers deliver higher sample quality at the cost of increased sampling time. We attribute this difference to sampling errors: ODE-samplers involve smaller discretization errors while stochasticity in SDE contracts accumulated errors. Based on these findings, we propose a novel sampling algorithm called Restart in order to better balance discretization errors and contraction. The sampling method alternates between adding substantial noise in additional forward steps and strictly following a backward ODE. Empirically, Restart sampler surpasses previous SDE and ODE samplers in both speed and accuracy. Restart not only outperforms the previous best SDE results, but also accelerates the sampling speed by 10-fold / 2-fold on CIFAR-10 / ImageNet $64 \times 64$. In addition, it attains significantly better sample quality than ODE samplers within comparable sampling times. Moreover, Restart better balances text-image alignment/visual quality versus diversity than previous samplers in the large-scale text-to-image Stable Diffusion model pre-trained on LAION $512 \times 512$. Code is available at https://github.com/Newbeeer/diffusion_restart_sampling
Canonical normalizing flows for manifold learning
Authors: Kyriakos Flouris, Ender Konukoglu
Date: 2023-10-19 00:00:00
Proceeding: NeurIPS 2023 11

Manifold learning flows are a class of generative modelling techniques that assume a low-dimensional manifold description of the data. The embedding of such a manifold into the high-dimensional space of the data is achieved via learnable invertible transformations. Therefore, once the manifold is properly aligned via a reconstruction loss, the probability density is tractable on the manifold and maximum likelihood can be used to optimize the network parameters. Naturally, the lower-dimensional representation of the data requires an injective-mapping. Recent approaches were able to enforce that the density aligns with the modelled manifold, while efficiently calculating the density volume-change term when embedding to the higher-dimensional space. However, unless the injective-mapping is analytically predefined, the learned manifold is not necessarily an efficient representation of the data. Namely, the latent dimensions of such models frequently learn an entangled intrinsic basis, with degenerate information being stored in each dimension. Alternatively, if a locally orthogonal and/or sparse basis is to be learned, here coined canonical intrinsic basis, it can serve in learning a more compact latent space representation. Toward this end, we propose a canonical manifold learning flow method, where a novel optimization objective enforces the transformation matrix to have few prominent and non-degenerate basis functions. We demonstrate that by minimizing the off-diagonal manifold metric elements $\ell_1$-norm, we can achieve such a basis, which is simultaneously sparse and/or orthogonal. Canonical manifold flow yields a more efficient use of the latent space, automatically generating fewer prominent and distinct dimensions to represent data, and a better approximation of target distributions than other manifold flow methods in most experiments we conducted, resulting in lower FID scores.
On the Convergence of Black-Box Variational Inference
Authors: Kyurae Kim, Jisu Oh, Kaiwen Wu, Yi-An Ma, Jacob R. Gardner
Date: 2023-05-24 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Bayesian Inference, Variational Inference

We provide the first convergence guarantee for full black-box variational inference (BBVI), also known as Monte Carlo variational inference. While preliminary investigations worked on simplified versions of BBVI (e.g., bounded domain, bounded support, only optimizing for the scale, and such), our setup does not need any such algorithmic modifications. Our results hold for log-smooth posterior densities with and without strong log-concavity and the location-scale variational family. Also, our analysis reveals that certain algorithm design choices commonly employed in practice, particularly, nonlinear parameterizations of the scale of the variational approximation, can result in suboptimal convergence rates. Fortunately, running BBVI with proximal stochastic gradient descent fixes these limitations, and thus achieves the strongest known convergence rate guarantees. We evaluate this theoretical insight by comparing proximal SGD against other standard implementations of BBVI on large-scale Bayesian inference problems.
Learning Robust Statistics for Simulation-based Inference under Model Misspecification
Authors: Daolang Huang, Ayush Bharti, Amauri Souza, Luigi Acerbi, Samuel Kaski
Date: 2023-05-25 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Time Series

Simulation-based inference (SBI) methods such as approximate Bayesian computation (ABC), synthetic likelihood, and neural posterior estimation (NPE) rely on simulating statistics to infer parameters of intractable likelihood models. However, such methods are known to yield untrustworthy and misleading inference outcomes under model misspecification, thus hindering their widespread applicability. In this work, we propose the first general approach to handle model misspecification that works across different classes of SBI methods. Leveraging the fact that the choice of statistics determines the degree of misspecification in SBI, we introduce a regularized loss function that penalises those statistics that increase the mismatch between the data and the model. Taking NPE and ABC as use cases, we demonstrate the superior performance of our method on high-dimensional time-series models that are artificially misspecified. We also apply our method to real data from the field of radio propagation where the model is known to be misspecified. We show empirically that the method yields robust inference in misspecified scenarios, whilst still being accurate when the model is well-specified.
Bayesian Learning via Q-Exponential Process
Authors: Shuyi Li, Michael O'Connor, Shiwei Lan
Date: 2022-10-14 00:00:00
Proceeding: NeurIPS 2023 11

Regularization is one of the most fundamental topics in optimization, statistics and machine learning. To get sparsity in estimating a parameter $u\in\mathbb{R}^d$, an $\ell_q$ penalty term, $\Vert u\Vert_q$, is usually added to the objective function. What is the probabilistic distribution corresponding to such $\ell_q$ penalty? What is the correct stochastic process corresponding to $\Vert u\Vert_q$ when we model functions $u\in L^q$? This is important for statistically modeling large dimensional objects, e.g. images, with penalty to preserve certainty properties, e.g. edges in the image. In this work, we generalize the $q$-exponential distribution (with density proportional to) $\exp{(- \frac{1}{2}|u|^q)}$ to a stochastic process named $Q$-exponential (Q-EP) process that corresponds to the $L_q$ regularization of functions. The key step is to specify consistent multivariate $q$-exponential distributions by choosing from a large family of elliptic contour distributions. The work is closely related to Besov process which is usually defined by the expanded series. Q-EP can be regarded as a definition of Besov process with explicit probabilistic formulation and direct control on the correlation length. From the Bayesian perspective, Q-EP provides a flexible prior on functions with sharper penalty ($q<2$) than the commonly used Gaussian process (GP). We compare GP, Besov and Q-EP in modeling functional data, reconstructing images, and solving inverse problems and demonstrate the advantage of our proposed methodology.
Counterfactually Comparing Abstaining Classifiers
Authors: Yo Joong Choe, Aditya Gangrade, Aaditya Ramdas
Date: 2023-05-17 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Causal Inference, counterfactual, Decision Making

Abstaining classifiers have the option to abstain from making predictions on inputs that they are unsure about. These classifiers are becoming increasingly popular in high-stakes decision-making problems, as they can withhold uncertain predictions to improve their reliability and safety. When evaluating black-box abstaining classifier(s), however, we lack a principled approach that accounts for what the classifier would have predicted on its abstentions. These missing predictions matter when they can eventually be utilized, either directly or as a backup option in a failure mode. In this paper, we introduce a novel approach and perspective to the problem of evaluating and comparing abstaining classifiers by treating abstentions as missing data. Our evaluation approach is centered around defining the counterfactual score of an abstaining classifier, defined as the expected performance of the classifier had it not been allowed to abstain. We specify the conditions under which the counterfactual score is identifiable: if the abstentions are stochastic, and if the evaluation data is independent of the training data (ensuring that the predictions are missing at random), then the score is identifiable. Note that, if abstentions are deterministic, then the score is unidentifiable because the classifier can perform arbitrarily poorly on its abstentions. Leveraging tools from observational causal inference, we then develop nonparametric and doubly robust methods to efficiently estimate this quantity under identification. Our approach is examined in both simulated and real data experiments.
Detecting hidden confounding in observational data using multiple environments
Authors: Rickard K. A. Karlsson, Jesse H. Krijthe
Date: 2022-05-27 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Causal Inference

A common assumption in causal inference from observational data is that there is no hidden confounding. Yet it is, in general, impossible to verify this assumption from a single dataset. Under the assumption of independent causal mechanisms underlying the data-generating process, we demonstrate a way to detect unobserved confounders when having multiple observational datasets coming from different environments. We present a theory for testable conditional independencies that are only absent when there is hidden confounding and examine cases where we violate its assumptions: degenerate & dependent mechanisms, and faithfulness violations. Additionally, we propose a procedure to test these independencies and study its empirical finite-sample behavior using simulation studies and semi-synthetic data based on a real-world dataset. In most cases, the proposed procedure correctly predicts the presence of hidden confounding, particularly when the confounding bias is large.
Efficient Beam Tree Recursion
Date: 2023-09-21 00:00:00
Proceeding: NeurIPS 2023 11

Beam Tree Recursive Neural Network (BT-RvNN) was recently proposed as an extension of Gumbel Tree RvNN and it was shown to achieve state-of-the-art length generalization performance in ListOps while maintaining comparable performance on other tasks. However, although better than previous approaches in terms of memory usage, BT-RvNN can be still exorbitantly expensive. In this paper, we identify the main bottleneck in BT-RvNN's memory usage to be the entanglement of the scorer function and the recursive cell function. We propose strategies to remove this bottleneck and further simplify its memory usage. Overall, our strategies not only reduce the memory usage of BT-RvNN by $10-16$ times but also create a new state-of-the-art in ListOps while maintaining similar performance in other tasks. In addition, we also propose a strategy to utilize the induced latent-tree node representations produced by BT-RvNN to turn BT-RvNN from a sentence encoder of the form $f:\mathbb{R}^{n \times d} \rightarrow \mathbb{R}^{d}$ into a token contextualizer of the form  $f:\mathbb{R}^{n \times d} \rightarrow \mathbb{R}^{n \times d}$. Thus, our proposals not only open up a path for further scalability of RvNNs but also standardize a way to use BT-RvNNs as another building block in the deep learning toolkit that can be easily stacked or interfaced with other popular models such as Transformers and Structured State Space models. Our code is available at the link: https://github.com/JRC1995/BeamRecursionFamily.
Bifurcations and loss jumps in RNN training
Date: 2023-09-21 00:00:00
Proceeding: NeurIPS 2023 11

Recurrent neural networks (RNNs) are popular machine learning tools for modeling and forecasting sequential data and for inferring dynamical systems (DS) from observed time series. Concepts from DS theory (DST) have variously been used to further our understanding of both, how trained RNNs solve complex tasks, and the training process itself. Bifurcations are particularly important phenomena in DS, including RNNs, that refer to topological (qualitative) changes in a system's dynamical behavior as one or more of its parameters are varied. Knowing the bifurcation structure of an RNN will thus allow to deduce many of its computational and dynamical properties, like its sensitivity to parameter variations or its behavior during training. In particular, bifurcations may account for sudden loss jumps observed in RNN training that could severely impede the training process. Here we first mathematically prove for a particular class of ReLU-based RNNs that certain bifurcations are indeed associated with loss gradients tending toward infinity or zero. We then introduce a novel heuristic algorithm for detecting all fixed points and $k$-cycles in ReLU-based RNNs and their existence and stability regions, hence bifurcation manifolds in parameter space. In contrast to previous numerical algorithms for finding fixed points and common continuation methods, our algorithm provides $\textit{exact}$ results and returns fixed points and cycles up to high orders with surprisingly good scaling behavior. We exemplify the algorithm on the analysis of the training process of RNNs, and find that the recently introduced technique of generalized teacher forcing completely avoids certain types of bifurcations in training. Thus, besides facilitating the DST analysis of trained RNNs, our algorithm provides a powerful instrument for analyzing the training process itself.