pwc-archive/papers-with-abstracts huggingface dataset:
Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network
Authors: Peer Nagy, Sascha Frey, Silvia Sapora, Kang Li, Anisoara Calinescu, Stefan Zohren, Jakob Foerster
Date: 2023-08-23 00:00:00

Developing a generative model of realistic order flow in financial markets is a challenging open problem, with numerous applications for market participants. Addressing this, we propose the first end-to-end autoregressive generative model that generates tokenized limit order book (LOB) messages. These messages are interpreted by a Jax-LOB simulator, which updates the LOB state. To handle long sequences efficiently, the model employs simplified structured state-space layers to process sequences of order book states and tokenized messages. Using LOBSTER data of NASDAQ equity LOBs, we develop a custom tokenizer for message data, converting groups of successive digits to tokens, similar to tokenization in large language models. Out-of-sample results show promising performance in approximating the data distribution, as evidenced by low model perplexity. Furthermore, the mid-price returns calculated from the generated order flow exhibit a significant correlation with the data, indicating impressive conditional forecast performance. Due to the granularity of generated data, and the accuracy of the model, it offers new application areas for future work beyond forecasting, e.g. acting as a world model in high-frequency financial reinforcement learning applications. Overall, our results invite the use and extension of the model in the direction of autoregressive large financial models for the generation of high-frequency financial data and we commit to open-sourcing our code to facilitate future research.
Attention De-sparsification Matters: Inducing Diversity in Digital Pathology Representation Learning
Authors: Saarthak Kapse, Srijan Das, Jingwei Zhang, Rajarsi R. Gupta, Joel Saltz, Dimitris Samaras, Prateek Prasanna
Date: 2023-09-12 00:00:00
Tasks: Cell Segmentation, Diversity, Representation Learning, Self-Supervised Learning

We propose DiRL, a Diversity-inducing Representation Learning technique for histopathology imaging. Self-supervised learning techniques, such as contrastive and non-contrastive approaches, have been shown to learn rich and effective representations of digitized tissue samples with limited pathologist supervision. Our analysis of vanilla SSL-pretrained models' attention distribution reveals an insightful observation: sparsity in attention, i.e, models tends to localize most of their attention to some prominent patterns in the image. Although attention sparsity can be beneficial in natural images due to these prominent patterns being the object of interest itself, this can be sub-optimal in digital pathology; this is because, unlike natural images, digital pathology scans are not object-centric, but rather a complex phenotype of various spatially intermixed biological components. Inadequate diversification of attention in these complex images could result in crucial information loss. To address this, we leverage cell segmentation to densely extract multiple histopathology-specific representations, and then propose a prior-guided dense pretext task for SSL, designed to match the multiple corresponding representations between the views. Through this, the model learns to attend to various components more closely and evenly, thus inducing adequate diversification in attention for capturing context rich representations. Through quantitative and qualitative analysis on multiple tasks across cancer types, we demonstrate the efficacy of our method and observe that the attention is more globally distributed.
Exploring Non-additive Randomness on ViT against Query-Based Black-Box Attacks
Authors: Jindong Gu, Fangyun Wei, Philip Torr, Han Hu
Date: 2023-09-12 00:00:00

Deep Neural Networks can be easily fooled by small and imperceptible perturbations. The query-based black-box attack (QBBA) is able to create the perturbations using model output probabilities of image queries requiring no access to the underlying models. QBBA poses realistic threats to real-world applications. Recently, various types of robustness have been explored to defend against QBBA. In this work, we first taxonomize the stochastic defense strategies against QBBA. Following our taxonomy, we propose to explore non-additive randomness in models to defend against QBBA. Specifically, we focus on underexplored Vision Transformers based on their flexible architectures. Extensive experiments show that the proposed defense approach achieves effective defense, without much sacrifice in performance.
InstaFlow: One Step is Enough for High-Quality Diffusion-Based Text-to-Image Generation
Authors: Xingchao Liu, Xiwen Zhang, Jianzhu Ma, Jian Peng, Qiang Liu
Date: 2023-09-12 00:00:00
Tasks: GPU, Image Generation, Text to Image Generation, Text-to-Image Generation

Diffusion models have revolutionized text-to-image generation with its exceptional quality and creativity. However, its multi-step sampling process is known to be slow, often requiring tens of inference steps to obtain satisfactory results. Previous attempts to improve its sampling speed and reduce computational costs through distillation have been unsuccessful in achieving a functional one-step model. In this paper, we explore a recent method called Rectified Flow, which, thus far, has only been applied to small datasets. The core of Rectified Flow lies in its \emph{reflow} procedure, which straightens the trajectories of probability flows, refines the coupling between noises and images, and facilitates the distillation process with student models. We propose a novel text-conditioned pipeline to turn Stable Diffusion (SD) into an ultra-fast one-step model, in which we find reflow plays a critical role in improving the assignment between noise and images. Leveraging our new pipeline, we create, to the best of our knowledge, the first one-step diffusion-based text-to-image generator with SD-level image quality, achieving an FID (Frechet Inception Distance) of $23.3$ on MS COCO 2017-5k, surpassing the previous state-of-the-art technique, progressive distillation, by a significant margin ($37.2$ $\rightarrow$ $23.3$ in FID). By utilizing an expanded network with 1.7B parameters, we further improve the FID to $22.4$. We call our one-step models \emph{InstaFlow}. On MS COCO 2014-30k, InstaFlow yields an FID of $13.1$ in just $0.09$ second, the best in $\leq 0.1$ second regime, outperforming the recent StyleGAN-T ($13.9$ in $0.1$ second). Notably, the training of InstaFlow only costs 199 A100 GPU days. Codes and pre-trained models are available at \url{github.com/gnobitab/InstaFlow}.
Padding-free Convolution based on Preservation of Differential Characteristics of Kernels
Authors: Kuangdai Leng, Jeyan Thiyagalingam
Date: 2023-09-12 00:00:00
Tasks: image-classification, Image Classification, Semantic Segmentation, Super-Resolution

Convolution is a fundamental operation in image processing and machine learning. Aimed primarily at maintaining image size, padding is a key ingredient of convolution, which, however, can introduce undesirable boundary effects. We present a non-padding-based method for size-keeping convolution based on the preservation of differential characteristics of kernels. The main idea is to make convolution over an incomplete sliding window "collapse" to a linear differential operator evaluated locally at its central pixel, which no longer requires information from the neighbouring missing pixels. While the underlying theory is rigorous, our final formula turns out to be simple: the convolution over an incomplete window is achieved by convolving its nearest complete window with a transformed kernel. This formula is computationally lightweight, involving neither interpolation or extrapolation nor restrictions on image and kernel sizes. Our method favours data with smooth boundaries, such as high-resolution images and fields from physics. Our experiments include: i) filtering analytical and non-analytical fields from computational physics and, ii) training convolutional neural networks (CNNs) for the tasks of image classification, semantic segmentation and super-resolution reconstruction. In all these experiments, our method has exhibited visible superiority over the compared ones.
Exploring Flat Minima for Domain Generalization with Large Learning Rates
Authors: Jian Zhang, Lei Qi, Yinghuan Shi, Yang Gao
Date: 2023-09-12 00:00:00
Tasks: Diversity, Domain Generalization, Semantic Segmentation

Domain Generalization (DG) aims to generalize to arbitrary unseen domains. A promising approach to improve model generalization in DG is the identification of flat minima. One typical method for this task is SWAD, which involves averaging weights along the training trajectory. However, the success of weight averaging depends on the diversity of weights, which is limited when training with a small learning rate. Instead, we observe that leveraging a large learning rate can simultaneously promote weight diversity and facilitate the identification of flat regions in the loss landscape. However, employing a large learning rate suffers from the convergence problem, which cannot be resolved by simply averaging the training weights. To address this issue, we introduce a training strategy called Lookahead which involves the weight interpolation, instead of average, between fast and slow weights. The fast weight explores the weight space with a large learning rate, which is not converged while the slow weight interpolates with it to ensure the convergence. Besides, weight interpolation also helps identify flat minima by implicitly optimizing the local entropy loss that measures flatness. To further prevent overfitting during training, we propose two variants to regularize the training weight with weighted averaged weight or with accumulated history weight. Taking advantage of this new perspective, our methods achieve state-of-the-art performance on both classification and semantic segmentation domain generalization benchmarks. The code is available at https://github.com/koncle/DG-with-Large-LR.
SAMPLING: Scene-adaptive Hierarchical Multiplane Images Representation for Novel View Synthesis from a Single Image
Authors: Xiaoyu Zhou, Zhiwei Lin, Xiaojun Shan, Yongtao Wang, Deqing Sun, Ming-Hsuan Yang
Date: 2023-09-12 00:00:00
Proceeding: ICCV 2023 1
Tasks: Novel View Synthesis

Recent novel view synthesis methods obtain promising results for relatively small scenes, e.g., indoor environments and scenes with a few objects, but tend to fail for unbounded outdoor scenes with a single image as input. In this paper, we introduce SAMPLING, a Scene-adaptive Hierarchical Multiplane Images Representation for Novel View Synthesis from a Single Image based on improved multiplane images (MPI). Observing that depth distribution varies significantly for unbounded outdoor scenes, we employ an adaptive-bins strategy for MPI to arrange planes in accordance with each scene image. To represent intricate geometry and multi-scale details, we further introduce a hierarchical refinement branch, which results in high-quality synthesized novel views. Our method demonstrates considerable performance gains in synthesizing large-scale unbounded outdoor scenes using a single image on the KITTI dataset and generalizes well to the unseen Tanks and Temples dataset.The code and models will soon be made available.
Semantic and Articulated Pedestrian Sensing Onboard a Moving Vehicle
Authors: Maria Priisalu
Date: 2023-09-12 00:00:00
Tasks: 3D Reconstruction, Human Detection, object-detection, Object Detection

It is difficult to perform 3D reconstruction from on-vehicle gathered video due to the large forward motion of the vehicle. Even object detection and human sensing models perform significantly worse on onboard videos when compared to standard benchmarks because objects often appear far away from the camera compared to the standard object detection benchmarks, image quality is often decreased by motion blur and occlusions occur often. This has led to the popularisation of traffic data-specific benchmarks. Recently Light Detection And Ranging (LiDAR) sensors have become popular to directly estimate depths without the need to perform 3D reconstructions. However, LiDAR-based methods still lack in articulated human detection at a distance when compared to image-based methods. We hypothesize that benchmarks targeted at articulated human sensing from LiDAR data could bring about increased research in human sensing and prediction in traffic and could lead to improved traffic safety for pedestrians.
Towards High-Quality Specular Highlight Removal by Leveraging Large-Scale Synthetic Data
Authors: Gang Fu, Qing Zhang, Lei Zhu, Chunxia Xiao, Ping Li
Date: 2023-09-12 00:00:00
Proceeding: ICCV 2023 1
Tasks: highlight removal, Object

This paper aims to remove specular highlights from a single object-level image. Although previous methods have made some progresses, their performance remains somewhat limited, particularly for real images with complex specular highlights. To this end, we propose a three-stage network to address them. Specifically, given an input image, we first decompose it into the albedo, shading, and specular residue components to estimate a coarse specular-free image. Then, we further refine the coarse result to alleviate its visual artifacts such as color distortion. Finally, we adjust the tone of the refined result to match that of the input as closely as possible. In addition, to facilitate network training and quantitative evaluation, we present a large-scale synthetic dataset of object-level images, covering diverse objects and illumination conditions. Extensive experiments illustrate that our network is able to generalize well to unseen real object-level images, and even produce good results for scene-level images with multiple background objects and complex lighting.
Self-Training and Multi-Task Learning for Limited Data: Evaluation Study on Object Detection
Authors: Hoàng-Ân Lê, Minh-Tan Pham
Date: 2023-09-12 00:00:00
Tasks: Knowledge Distillation, Multi-Task Learning, object-detection, Object Detection

Self-training allows a network to learn from the predictions of a more complicated model, thus often requires well-trained teacher models and mixture of teacher-student data while multi-task learning jointly optimizes different targets to learn salient interrelationship and requires multi-task annotations for each training example. These frameworks, despite being particularly data demanding have potentials for data exploitation if such assumptions can be relaxed. In this paper, we compare self-training object detection under the deficiency of teacher training data where students are trained on unseen examples by the teacher, and multi-task learning with partially annotated data, i.e. single-task annotation per training example. Both scenarios have their own limitation but potentially helpful with limited annotated data. Experimental results show the improvement of performance when using a weak teacher with unseen data for training a multi-task student. Despite the limited setup we believe the experimental results show the potential of multi-task knowledge distillation and self-training, which could be beneficial for future study. Source code is at https://lhoangan.github.io/multas.
Fg-T2M: Fine-Grained Text-Driven Human Motion Generation via Diffusion Model
Authors: Yin Wang, Zhiying Leng, Frederick W. B. Li, Shun-Cheng Wu, Xiaohui Liang
Date: 2023-09-12 00:00:00
Proceeding: ICCV 2023 1
Tasks: Motion Generation, Motion Synthesis

Text-driven human motion generation in computer vision is both significant and challenging. However, current methods are limited to producing either deterministic or imprecise motion sequences, failing to effectively control the temporal and spatial relationships required to conform to a given text description. In this work, we propose a fine-grained method for generating high-quality, conditional human motion sequences supporting precise text description. Our approach consists of two key components: 1) a linguistics-structure assisted module that constructs accurate and complete language feature to fully utilize text information; and 2) a context-aware progressive reasoning module that learns neighborhood and overall semantic linguistics features from shallow and deep graph neural networks to achieve a multi-step inference. Experiments show that our approach outperforms text-driven motion generation methods on HumanML3D and KIT test sets and generates better visually confirmed motion to the text conditions.
IBAFormer: Intra-batch Attention Transformer for Domain Generalized Semantic Segmentation
Authors: Qiyu Sun, Huilin Chen, Meng Zheng, Ziyan Wu, Michael Felsberg, Yang Tang
Date: 2023-09-12 00:00:00
Tasks: Semantic Segmentation

Domain generalized semantic segmentation (DGSS) is a critical yet challenging task, where the model is trained only on source data without access to any target data. Despite the proposal of numerous DGSS strategies, the generalization capability remains limited in CNN architectures. Though some Transformer-based segmentation models show promising performance, they primarily focus on capturing intra-sample attentive relationships, disregarding inter-sample correlations which can potentially benefit DGSS. To this end, we enhance the attention modules in Transformer networks for improving DGSS by incorporating information from other independent samples in the same batch, enriching contextual information, and diversifying the training data for each attention block. Specifically, we propose two alternative intra-batch attention mechanisms, namely mean-based intra-batch attention (MIBA) and element-wise intra-batch attention (EIBA), to capture correlations between different samples, enhancing feature representation and generalization capabilities. Building upon intra-batch attention, we introduce IBAFormer, which integrates self-attention modules with the proposed intra-batch attention for DGSS. Extensive experiments demonstrate that IBAFormer achieves SOTA performance in DGSS, and ablation studies further confirm the effectiveness of each introduced component.
A New Framework to Estimate Return on Investment for Player Salaries in the National Basketball Association
Authors: Jackson P. Lautier
Date: 2023-09-11 00:00:00
Tasks: Unity

The National Basketball Association (NBA) imposes a player salary cap. It is therefore useful to develop tools to measure the relative realized return of a player's salary given their on court performance. Very few such studies exist, however. We thus present the first known framework to estimate a return on investment (ROI) for NBA player contracts. The framework operates in five parts: (1) decide on a measurement time horizon, such as the standard 82-game NBA regular season; (2) calculate the novel game contribution percentage (GCP) measure we propose, which is a single game summary statistic that sums to unity for each competing team and is comprised of traditional, playtype, hustle, box outs, defensive, tracking, and rebounding per game NBA statistics; (3) estimate the single game value (SGV) of each regular season NBA game using a standard currency conversion calculation; (4) multiply the SGV by the vector of realized GCPs to obtain a series of realized per-player single season cash flows; and (5) use the player salary as an initial investment to perform the traditional ROI calculation. We illustrate our framework by compiling a novel, sharable dataset of per game GCP statistics and salaries for the 2022-2023 NBA regular season. A scatter plot of ROI by salary for all players is presented, including the top and bottom 50 performers. Notably, missed games are treated as defaults because GCP is a per game metric. This allows for break-even calculations between high-performing players with frequent missed games and average performers with few missed games, which we demonstrate with a comparison of the 2023 NBA regular seasons of Anthony Davis and Brook Lopez. We conclude by suggesting uses of our framework, discussing its flexibility through customization, and outlining potential future improvements.
OTAS: Unsupervised Boundary Detection for Object-Centric Temporal Action Segmentation
Authors: Yuerong Li, Zhengrong Xue, Huazhe Xu
Date: 2023-09-12 00:00:00
Tasks: Action Segmentation, Boundary Detection, Segmentation, Temporal Action Segmentation

Temporal action segmentation is typically achieved by discovering the dramatic variances in global visual descriptors. In this paper, we explore the merits of local features by proposing the unsupervised framework of Object-centric Temporal Action Segmentation (OTAS). Broadly speaking, OTAS consists of self-supervised global and local feature extraction modules as well as a boundary selection module that fuses the features and detects salient boundaries for action segmentation. As a second contribution, we discuss the pros and cons of existing frame-level and boundary-level evaluation metrics. Through extensive experiments, we find OTAS is superior to the previous state-of-the-art method by $41\%$ on average in terms of our recommended F1 score. Surprisingly, OTAS even outperforms the ground-truth human annotations in the user study. Moreover, OTAS is efficient enough to allow real-time inference.
New News is Bad News
Authors: Paul Glasserman, Harry Mamaysky, Jimmy Qin
Date: 2023-09-11 00:00:00

An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated using a recurrent neural network applied to a large news corpus. Entropy is a better out-of-sample predictor of market returns than a collection of standard measures. Cross-sectional entropy exposure carries a negative risk premium, suggesting that assets that positively covary with entropy hedge the aggregate risk associated with shifting news language. Entropy risk cannot be explained by existing long-short factors.
Aggregation of financial markets
Authors: Georg Menz, Moritz Voß
Date: 2023-09-08 00:00:00

We present a formal framework for the aggregation of financial markets mediated by arbitrage. Our main tool is to characterize markets via utility functions and to employ a one-to-one correspondence to limit order book states. Inspired by the theory of thermodynamics, we argue that the arbitrage-mediated aggregation mechanism gives rise to a market-dynamical entropy, which quantifies the loss of liquidity caused by aggregation. As a concrete guiding example, we illustrate our general approach with the Uniswap v2 automated market maker protocol used in decentralized cryptocurrency exchanges, which we characterize as a so-called ideal market. We derive its equivalent limit order book representation and explicitly compute the arbitrage-mediated aggregation of two liquidity pools of the same asset pair with different marginal prices. We also discuss future directions of research in this emerging theory of market dynamics.