pwc-archive/papers-with-abstracts huggingface dataset:
Information Entropy of the Financial Market: Modelling Random Processes Using Open Quantum Systems
Authors: Will Hicks
Date: 2024-06-28 00:00:00

We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more flexible alternative to classical methods in terms of modelling the entropy gain of a random process. We start by describing an open quantum system that can be used to model the state of a financial market. We then go on to show how to represent an essentially classical diffusion in this framework. Finally, we show how by relaxing certain assumptions, one can generate interesting and essentially non-classical results, which are highlighted through numerical simulations.
Stock Volume Forecasting with Advanced Information by Conditional Variational Auto-Encoder
Authors: Parley R Yang, Alexander Y Shestopaloff
Date: 2024-06-19 00:00:00
Tasks: Time Series

We demonstrate the use of Conditional Variational Encoder (CVAE) to improve the forecasts of daily stock volume time series in both short and long term forecasting tasks, with the use of advanced information of input variables such as rebalancing dates. CVAE generates non-linear time series as out-of-sample forecasts, which have better accuracy and closer fit of correlation to the actual data, compared to traditional linear models. These generative forecasts can also be used for scenario generation, which aids interpretation. We further discuss correlations in non-stationary time series and other potential extensions from the CVAE forecasts.
Modeling a Financial System with Memory via Fractional Calculus and Fractional Brownian Motion
Authors: Patrick Geraghty
Date: 2024-06-12 00:00:00

Financial markets have long since been modeled using stochastic methods such as Brownian motion, and more recently, rough volatility models have been built using fractional Brownian motion. This fractional aspect brings memory into the system. In this project, we describe and analyze a financial model based on the fractional Langevin equation with colored noise generated by fractional Brownian motion. Physics-based methods of analysis are used to examine the phase behavior and dispersion relations of the system upon varying input parameters. A type of anomalous marginal glass phase is potentially seen in some regions, which motivates further exploration of this model and expanded use of phase behavior and dispersion relation methods to analyze financial models.
Dissecting Multifractal detrended cross-correlation analysis
Authors: Borko Stosic, Tatijana Stosic
Date: 2024-06-09 00:00:00
Tasks: Time Series

In this work we address the question of the Multifractal detrended cross-correlation analysis method that has been subject to some controversies since its inception almost two decades ago. To this end we propose several new options to deal with negative cross-covariance among two time series, that may serve to construct a more robust view of the multifractal spectrum among the series. We compare these novel options with the proposals already existing in the literature, and we provide fast code in C, R and Python for both new and the already existing proposals. We test different algorithms on synthetic series with an exact analytical solution, as well as on daily price series of ethanol and sugar in Brazil from 2010 to 2023.
Electricity Spot Prices Forecasting Using Stochastic Volatility Models
Authors: Andrei Renatovich Batyrov
Date: 2024-06-09 00:00:00
Tasks: Bayesian Inference, Time Series

There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic volatility (variance of price). The goal of the research is to generate probabilistic forecasts of day-ahead electricity prices in a spot marker employing stochastic volatility models. A typical stochastic volatility model - that treats the volatility as a latent stochastic process in discrete time - is explored first. Then the research focuses on enriching the baseline model by introducing several exogenous regressors. A better fitting model - as compared to the baseline model - is derived as a result of the research. Out-of-sample forecasts confirm the applicability and robustness of the enriched model. This model may be used in financial derivative instruments for hedging the risk associated with electricity trading. Keywords: Electricity spot prices forecasting, Stochastic volatility, Exogenous regressors, Autoregression, Bayesian inference, Stan
Modelling financial volume curves with hierarchical Poisson processes
Authors: Creighton Heaukulani, Abhinav Pandey, Lancelot F. James
Date: 2024-06-01 00:00:00

Modeling the trading volume curves of financial instruments throughout the day is of key interest in financial trading applications. Predictions of these so-called volume profiles guide trade execution strategies, for example, a common strategy is to trade a desired quantity across many orders in line with the expected volume curve throughout the day so as not to impact the price of the instrument. The volume curves (for each day) are naturally grouped by stock and can be further gathered into higher-level groupings, such as by industry. In order to model such admixtures of volume curves, we introduce a hierarchical Poisson process model for the intensity functions of admixtures of inhomogenous Poisson processes, which represent the trading times of the stock throughout the day. The model is based on the hierarchical Dirichlet process, and an efficient Markov Chain Monte Carlo (MCMC) algorithm is derived following the slice sampling framework for Bayesian nonparametric mixture models. We demonstrate the method on datasets of different stocks from the Trade and Quote repository maintained by Wharton Research Data Services, including the most liquid stock on the NASDAQ stock exchange, Apple, demonstrating the scalability of the approach.
How scanning probe microscopy can be supported by Artificial Intelligence and quantum computing
Authors: Agnieszka Pregowska, Agata Roszkiewicz, Magdalena Osial, Michael Giersig
Date: 2024-03-20 00:00:00

We focus on the potential possibilities for supporting Scanning Probe Microscopy measurements, emphasizing the application of Artificial Intelligence, especially Machine Learning as well as quantum computing. It turned out that Artificial Intelligence can be helpful in the experimental processes automation in routine operations, the algorithmic search for good sample regions, and shed light on the structure property relationships. Thus, it contributes to increasing the efficiency and accuracy of optical nanoscopy scanning probes. Moreover, the combination of Artificial Intelligence based algorithms and quantum computing may have a huge potential to increase the practical application of Scanning Probe Microscopy. The limitations were also discussed. Finally, we outline a research path for the improvement of the proposed approach.
Woven Fabric Capture with a Reflection-Transmission Photo Pair
Authors: Yingjie Tang, Zixuan Li, Miloš Hašan, Jian Yang, Beibei Wang
Date: 2024-05-04 00:00:00

Digitizing woven fabrics would be valuable for many applications, from digital humans to interior design. Previous work introduces a lightweight woven fabric acquisition approach by capturing a single reflection image and estimating the fabric parameters with a differentiable geometric and shading model. The renderings of the estimated fabric parameters can closely match the photo; however, the captured reflection image is insufficient to fully characterize the fabric sample reflectance. For instance, fabrics with different thicknesses might have similar reflection images but lead to significantly different transmission. We propose to recover the woven fabric parameters from two captured images: reflection and transmission. At the core of our method is a differentiable bidirectional scattering distribution function (BSDF) model, handling reflection and transmission, including single and multiple scattering. We propose a two-layer model, where the single scattering uses an SGGX phase function as in previous work, and multiple scattering uses a new azimuthally-invariant microflake definition, which we term ASGGX. This new fabric BSDF model closely matches real woven fabrics in both reflection and transmission. We use a simple setup for capturing reflection and transmission photos with a cell phone camera and two point lights, and estimate the fabric parameters via a lightweight network, together with a differentiable optimization. We also model the out-of-focus effects explicitly with a simple solution to match the thin-lens camera better. As a result, the renderings of the estimated parameters can agree with the input images on both reflection and transmission for the first time. The code for this paper is at https://github.com/lxtyin/FabricBTDF-Recovery.
Deep Convolutional Neural Networks Meet Variational Shape Compactness Priors for Image Segmentation
Authors: Kehui Zhang, Lingfeng li, Hao liu, Jing Yuan, Xue-Cheng Tai
Date: 2024-05-23 00:00:00
Tasks: Image Segmentation, Segmentation, Semantic Segmentation

Shape compactness is a key geometrical property to describe interesting regions in many image segmentation tasks. In this paper, we propose two novel algorithms to solve the introduced image segmentation problem that incorporates a shape-compactness prior. Existing algorithms for such a problem often suffer from computational inefficiency, difficulty in reaching a local minimum, and the need to fine-tune the hyperparameters. To address these issues, we propose a novel optimization model along with its equivalent primal-dual model and introduce a new optimization algorithm based on primal-dual threshold dynamics (PD-TD). Additionally, we relax the solution constraint and propose another novel primal-dual soft threshold-dynamics algorithm (PD-STD) to achieve superior performance. Based on the variational explanation of the sigmoid layer, the proposed PD-STD algorithm can be integrated into Deep Neural Networks (DNNs) to enforce compact regions as image segmentation results. Compared to existing deep learning methods, extensive experiments demonstrated that the proposed algorithms outperformed state-of-the-art algorithms in numerical efficiency and effectiveness, especially while applying to the popular networks of DeepLabV3 and IrisParseNet with higher IoU, dice, and compactness metrics on noisy Iris datasets. In particular, the proposed algorithms significantly improve IoU by 20% training on a highly noisy image dataset.
YOLO11 to Its Genesis: A Decadal and Comprehensive Review of The You Only Look Once (YOLO) Series
Authors: Ranjan Sapkota, Rizwan Qureshi, Marco Flores Calero, Chetan Badjugar, Upesh Nepal, Alwin Poulose, Peter Zeno, Uday Bhanu Prakash Vaddevolu, Sheheryar Khan, Maged Shoman, Hong Yan, Manoj Karkee
Date: 2024-06-12 00:00:00
Tasks: Computational Efficiency, object-detection, Object Detection, Real-Time Object Detection

Given the rapid emergence and applications of Large Language This review systematically examines the progression of the You Only Look Once (YOLO) object detection algorithms from YOLOv1 to the recently unveiled YOLO11 (or YOLOv11). Employing a reverse chronological analysis, this study examines the advancements introduced by YOLO algorithms, beginning with YOLOv11 and progressing through YOLOv10, YOLOv9, YOLOv8, and subsequent versions to explore each version's contributions to enhancing speed, detection accuracy, and computational efficiency in real-time object detection. By detailing the incremental technological advancements in subsequent YOLO versions, this review chronicles the evolution of YOLO, and discusses the challenges and limitations in each earlier versions. The evolution signifies a path towards integrating YOLO with multimodal, context-aware, and Artificial General Intelligence (AGI) systems for the next YOLO decade, promising significant implications for future developments in AI-driven applications. YOLOV11 to YOLOv1
An Analysis of Multilingual FActScore
Authors: Kim Trong Vu, Michael Krumdick, Varshini Reddy, Franck Dernoncourt, Viet Dac Lai
Date: 2024-06-20 00:00:00

FActScore has gained popularity as a metric to estimate the factuality of long-form texts generated by Large Language Models (LLMs) in English. However, there has not been any work in studying the behavior of FActScore in other languages. This paper studies the limitations of each component in the four-component pipeline of FActScore in the multilingual setting. We introduce a new dataset for FActScore on texts generated by strong multilingual LLMs. Our evaluation shows that LLMs exhibit distinct behaviors in both fact extraction and fact scoring tasks. No LLM produces consistent and reliable FActScore across languages with varying levels of resources. We also find that the knowledge source plays an important role in the quality of the estimated FActScore. Using Wikipedia as the knowledge source may hinder the true FActScore of long-form text due to its limited coverage in medium- and low-resource languages. We also incorporate three mitigations to our knowledge source that ultimately improve FActScore estimation across all languages.
Saliency Attention and Semantic Similarity-Driven Adversarial Perturbation
Authors: Hetvi Waghela, Jaydip Sen, Sneha Rakshit
Date: 2024-06-18 00:00:00
Tasks: Adversarial Attack, Semantic Similarity, Semantic Textual Similarity, Sentence

In this paper, we introduce an enhanced textual adversarial attack method, known as Saliency Attention and Semantic Similarity driven adversarial Perturbation (SASSP). The proposed scheme is designed to improve the effectiveness of contextual perturbations by integrating saliency, attention, and semantic similarity. Traditional adversarial attack methods often struggle to maintain semantic consistency and coherence while effectively deceiving target models. Our proposed approach addresses these challenges by incorporating a three-pronged strategy for word selection and perturbation. First, we utilize a saliency-based word selection to prioritize words for modification based on their importance to the model's prediction. Second, attention mechanisms are employed to focus perturbations on contextually significant words, enhancing the attack's efficacy. Finally, an advanced semantic similarity-checking method is employed that includes embedding-based similarity and paraphrase detection. By leveraging models like Sentence-BERT for embedding similarity and fine-tuned paraphrase detection models from the Sentence Transformers library, the scheme ensures that the perturbed text remains contextually appropriate and semantically consistent with the original. Empirical evaluations demonstrate that SASSP generates adversarial examples that not only maintain high semantic fidelity but also effectively deceive state-of-the-art natural language processing models. Moreover, in comparison to the original scheme of contextual perturbation CLARE, SASSP has yielded a higher attack success rate and lower word perturbation rate.
GATE: How to Keep Out Intrusive Neighbors
Authors: Nimrah Mustafa, Rebekka Burkholz
Date: 2024-06-01 00:00:00
Tasks: Graph Attention

Graph Attention Networks (GATs) are designed to provide flexible neighborhood aggregation that assigns weights to neighbors according to their importance. In practice, however, GATs are often unable to switch off task-irrelevant neighborhood aggregation, as we show experimentally and analytically. To address this challenge, we propose GATE, a GAT extension that holds three major advantages: i) It alleviates over-smoothing by addressing its root cause of unnecessary neighborhood aggregation. ii) Similarly to perceptrons, it benefits from higher depth as it can still utilize additional layers for (non-)linear feature transformations in case of (nearly) switched-off neighborhood aggregation. iii) By down-weighting connections to unrelated neighbors, it often outperforms GATs on real-world heterophilic datasets. To further validate our claims, we construct a synthetic test bed to analyze a model's ability to utilize the appropriate amount of neighborhood aggregation, which could be of independent interest.
Dataset for flood area recognition with semantic segmentation
Authors: Naili Suri Intizhami, Eka Qadri Nuranti, Nur Inaya Bahar
Date: 2023-11-04 00:00:00
Proceeding: Data in Brief 2023 11
Tasks: Object Recognition, Semantic Segmentation

Floods are natural disasters that repeatedly occur in Indonesia, causing substantial material losses and claiming many lives. Meanwhile, social media data has emerged as a valuable resource for analyzing user behaviour and interests, and its use for flood-related information is increasing. In this paper, we present a flood dataset collected from Instagram Reels, which consists of videos depicting flood events in Parepare. Every video was collected from different areas, time conditions and viewpoint, and converted into image form. The data set includes 7248 images. Images undergo preprocessing to ensure a clear depiction and differentiation of the flood event from the surrounding elements. Annotations given to each object, using a different color label, facilitate recognition and understanding of various computer vision applications. Overall, this flood dataset is a valuable resource for computer vision research, especially semantic segmentation method and promotes the development of algorithms for flood area identification and object recognition in flood-affected areas.
Hybrid Approach to Parallel Stochastic Gradient Descent
Authors: Aakash Sudhirbhai Vora, Dhrumil Chetankumar Joshi, Aksh Kantibhai Patel
Date: 2024-06-27 00:00:00

Stochastic Gradient Descent is used for large datasets to train models to reduce the training time. On top of that data parallelism is widely used as a method to efficiently train neural networks using multiple worker nodes in parallel. Synchronous and asynchronous approach to data parallelism is used by most systems to train the model in parallel. However, both of them have their drawbacks. We propose a third approach to data parallelism which is a hybrid between synchronous and asynchronous approaches, using both approaches to train the neural network. When the threshold function is selected appropriately to gradually shift all parameter aggregation from asynchronous to synchronous, we show that in a given time period our hybrid approach outperforms both asynchronous and synchronous approaches.
HGNET: A Hierarchical Feature Guided Network for Occupancy Flow Field Prediction
Authors: Zhan Chen, Chen Tang, Lu Xiong
Date: 2024-07-01 00:00:00
Tasks: Autonomous Driving, multimodal interaction, Prediction, Time Series, Trajectory Prediction

Predicting the motion of multiple traffic participants has always been one of the most challenging tasks in autonomous driving. The recently proposed occupancy flow field prediction method has shown to be a more effective and scalable representation compared to general trajectory prediction methods. However, in complex multi-agent traffic scenarios, it remains difficult to model the interactions among various factors and the dependencies among prediction outputs at different time steps. In view of this, we propose a transformer-based hierarchical feature guided network (HGNET), which can efficiently extract features of agents and map information from visual and vectorized inputs, modeling multimodal interaction relationships. Second, we design the Feature-Guided Attention (FGAT) module to leverage the potential guiding effects between different prediction targets, thereby improving prediction accuracy. Additionally, to enhance the temporal consistency and causal relationships of the predictions, we propose a Time Series Memory framework to learn the conditional distribution models of the prediction outputs at future time steps from multivariate time series. The results demonstrate that our model exhibits competitive performance, which ranks 3rd in the 2024 Waymo Occupancy and Flow Prediction Challenge.
Heterogeneous Graph-based Framework with Disentangled Representations Learning for Multi-target Cross Domain Recommendation
Authors: Xiaopeng Liu, Juan Zhang, Chongqi Ren, Shenghui Xu, Zhaoming Pan, Zhimin Zhang
Date: 2024-07-01 00:00:00

CDR (Cross-Domain Recommendation), i.e., leveraging information from multiple domains, is a critical solution to data sparsity problem in recommendation system. The majority of previous research either focused on single-target CDR (STCDR) by utilizing data from the source domains to improve the model's performance on the target domain, or applied dual-target CDR (DTCDR) by integrating data from the source and target domains. In addition, multi-target CDR (MTCDR) is a generalization of DTCDR, which is able to capture the link among different domains. In this paper we present HGDR (Heterogeneous Graph-based Framework with Disentangled Representations Learning), an end-to-end heterogeneous network architecture where graph convolutional layers are applied to model relations among different domains, meanwhile utilizes the idea of disentangling representation for domain-shared and domain-specifc information. First, a shared heterogeneous graph is generated by gathering users and items from several domains without any further side information. Second, we use HGDR to compute disentangled representations for users and items in all domains. Experiments on real-world datasets and online A/B tests prove that our proposed model can transmit information among domains effectively and reach the SOTA performance. The code can be found here: https://github.com/NetEase-Media/HGCDR.
SolarSAM: Building-scale Photovoltaic Potential Assessment Based on Segment Anything Model (SAM) and Remote Sensing for Emerging City
Authors: Guohao Wang
Date: 2024-06-29 00:00:00
Tasks: Semantic Segmentation

Driven by advancements in photovoltaic (PV) technology, solar energy has emerged as a promising renewable energy source, due to its ease of integration onto building rooftops, facades, and windows. For the emerging cities, the lack of detailed street-level data presents a challenge for effectively assessing the potential of building-integrated photovoltaic (BIPV). To address this, this study introduces SolarSAM, a novel BIPV evaluation method that leverages remote sensing imagery and deep learning techniques, and an emerging city in northern China is utilized to validate the model performance. During the process, SolarSAM segmented various building rooftops using text prompt guided semantic segmentation. Separate PV models were then developed for Rooftop PV, Facade-integrated PV, and PV windows systems, using this segmented data and local climate information. The potential for BIPV installation, solar power generation, and city-wide power self-sufficiency were assessed, revealing that the annual BIPV power generation potential surpassed the city's total electricity consumption by a factor of 2.5. Economic and environmental analysis were also conducted, including levelized cost of electricity and carbon reduction calculations, comparing different BIPV systems across various building categories. These findings demonstrated the model's performance and reveled the potential of BIPV power generation in the future.
Exploring the Independent Cascade Model and Its Evolution in Social Network Information Diffusion
Authors: Jixuan He, Yutong Guo, Jiacheng Zhao
Date: 2024-03-16 00:00:00

This paper delves into the paramount significance of information dissemination within the dynamic realm of social networks. It underscores the pivotal role of information communication models in unraveling the intricacies of data propagation in the digital age. By shedding light on the profound influence of these models, it not only lays the groundwork for exploring various hierarchies and their manifestations but also serves as a catalyst for further research in this formidable field.