pwc-archive/papers-with-abstracts huggingface dataset:
Automated detection of gibbon calls from passive acoustic monitoring data using convolutional neural networks in the "torch for R" ecosystem
Authors: Dena J. Clink, Jinsung Kim, Hope Cross-Jaya, Abdul Hamid Ahmad, Moeurk Hong, Roeun Sala, Hélène Birot, Cain Agger, Thinh Tien Vu, Hoa Nguyen Thi, Thanh Nguyen Chi, Holger Klinck
Date: 2024-07-13 00:00:00
Tasks: Benchmarking, Deep Learning, Transfer Learning

Automated detection of acoustic signals is crucial for effective monitoring of sound-producing animals and their habitats across ecologically relevant spatial and temporal scales. Recent advances in deep learning have made these approaches more accessible. However, few deep learning approaches can be implemented natively in the R programming environment; approaches that run natively in R may be more accessible for ecologists. The "torch for R" ecosystem has made deep learning with convolutional neural networks accessible for R users. Here, we evaluate a workflow for the automated detection and classification of acoustic signals from passive acoustic monitoring (PAM) data. Our specific goals include: 1) present a method for automated detection of gibbon calls from PAM data using the "torch for R" ecosystem; 2) conduct a series of benchmarking experiments and compare the results of six CNN architectures; and 3) investigate how well the different architectures perform on datasets of the female calls from two different gibbon species: the northern grey gibbon (Hylobates funereus) and the southern yellow-cheeked crested gibbon (Nomascus gabriellae). We found that the highest-performing architecture depended on the species and test dataset. We successfully deployed the top-performing model for each gibbon species to investigate spatial variation in gibbon calling behavior across two grids of autonomous recording units in Danum Valley Conservation Area, Malaysia and Keo Seima Wildlife Sanctuary, Cambodia. The fields of deep learning and automated detection are rapidly evolving, and we provide the methods and datasets as benchmarks for future work.
Reducing Uncertainty Through Mutual Information in Structural and Systems Biology
Authors: Vincent D. Zaballa, Elliot E. Hui
Date: 2024-07-11 00:00:00

Systems biology models are useful models of complex biological systems that may require a large amount of experimental data to fit each model's parameters or to approximate a likelihood function. These models range from a few to thousands of parameters depending on the complexity of the biological system modeled, potentially making the task of fitting parameters to the model difficult - especially when new experimental data cannot be gathered. We demonstrate a method that uses structural biology predictions to augment systems biology models to improve systems biology models' predictions without having to gather more experimental data. Additionally, we show how systems biology models' predictions can help evaluate novel structural biology hypotheses, which may also be expensive or infeasible to validate.
Implication of modelling choices on connectivity estimation: A comparative analysis
Authors: Marie Soret, Sylvain Moulherat, Maxime Lenormand, Sandra Luque
Date: 2024-07-05 00:00:00
Tasks: Connectivity Estimation

We focus on connectivity methods used to understand and predict how landscapes and habitats facilitate or impede the movement and dispersal of species. Our objective is to compare the implication of methodological choices at three stages of the modelling framework: landscape characterisation, connectivity estimation, and connectivity assessment. What are the convergences and divergences of different modelling approaches? What are the implications of their combined results for landscape planning? We implemented two landscape characterisation approaches: expert opinion and species distribution model (SDM); four connectivity estimation models: Euclidean distance, least-cost paths (LCP), circuit theory, and stochastic movement simulation (SMS); and two connectivity indices: flux and area-weighted flux (dPCflux). We compared outcomes such as movement maps and habitat prioritisation for a rural landscape in southwestern France. Landscape characterisation is the main factor influencing connectivity assessment. The movement maps reflect the models' assumptions: LCP produced narrow beams reflecting the optimal pathways; whereas circuit theory and SMS produced wider estimation reflecting movement stochasticity, with SMS integrating behavioural drivers. The indices highlighted different aspects: dPCflux the surface of suitable habitats and flux their proximity. We recommend focusing on landscape characterisation before engaging further in the modelling framework. We emphasise the importance of stochasticity and behavioural drivers in connectivity, which can be reflected using circuit theory, SMS or other stochastic individual-based models. We stress the importance of using multiple indices to capture the multi-factorial aspect of connectivity.
FinDKG: Dynamic Knowledge Graphs with Large Language Models for Detecting Global Trends in Financial Markets
Authors: Xiaohui Victor Li, Francesco Sanna Passino
Date: 2024-07-15 00:00:00
Tasks: Articles, Knowledge Graphs, Link Prediction

Dynamic knowledge graphs (DKGs) are popular structures to express different types of connections between objects over time. They can also serve as an efficient mathematical tool to represent information extracted from complex unstructured data sources, such as text or images. Within financial applications, DKGs could be used to detect trends for strategic thematic investing, based on information obtained from financial news articles. In this work, we explore the properties of large language models (LLMs) as dynamic knowledge graph generators, proposing a novel open-source fine-tuned LLM for this purpose, called the Integrated Contextual Knowledge Graph Generator (ICKG). We use ICKG to produce a novel open-source DKG from a corpus of financial news articles, called FinDKG, and we propose an attention-based GNN architecture for analysing it, called KGTransformer. We test the performance of the proposed model on benchmark datasets and FinDKG, demonstrating superior performance on link prediction tasks. Additionally, we evaluate the performance of the KGTransformer on FinDKG for thematic investing, showing it can outperform existing thematic ETFs.
Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
Authors: Yuval Boneh
Date: 2024-07-15 00:00:00
Tasks: Management

Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that determine the cost of borrowing, and govern counterparty exposure and return. In traditional markets, interest rates are set by risk managers, portfolio managers, the Federal Reserve, and a myriad of other sources depending on the market function. DeFi enables an algorithmic approach that typically relies on interest rates being directly dependent on market utilization. The benefit of algorithmic interest rate management is the system's continual response to market behaviors in real time, and thus an inherent ability to mitigate risks on behalf of protocols and users. These interest rate strategies target an optimal utilization based on the protocol's risk threshold, but historically lack the ability to compensate for excessive or diminished utilization over time. This research investigates contemporary DeFi interest rate management strategies and their limitations. Furthermore, this paper introduces a time-weighted approach to interest rate management that implements a Proportional-Integral-Derivative (PID) control system to constantly adapt to market utilization patterns, addressing observed limitations.
Machine learning in weekly movement prediction
Authors: Han Gui
Date: 2024-07-13 00:00:00
Tasks: Prediction, Stock Market Prediction

To predict the future movements of stock markets, numerous studies concentrate on daily data and employ various machine learning (ML) models as benchmarks that often vary and lack standardization across different research works. This paper tries to solve the problem from a fresh standpoint by aiming to predict the weekly movements, and introducing a novel benchmark of random traders. This benchmark is independent of any ML model, thus making it more objective and potentially serving as a commonly recognized standard. During training process, apart from the basic features such as technical indicators, scaling laws and directional changes are introduced as additional features, furthermore, the training datasets are also adjusted by assigning varying weights to different samples, the weighting approach allows the models to emphasize specific samples. On back-testing, several trained models show good performance, with the multi-layer perception (MLP) demonstrating stability and robustness across extensive and comprehensive data that include upward, downward and cyclic trends. The unique perspective of this work that focuses on weekly movements, incorporates new features and creates an objective benchmark, contributes to the existing literature on stock market prediction.
Central Bank Digital Currency: The Advent of its IT Governance in the financial markets
Authors: Carlos Alberto Durigan Junior, Mauro De Mesquita Spinola, Rodrigo Franco Gonçalves, Fernando José Barbin Laurindo
Date: 2024-05-17 00:00:00
Tasks: Systematic Literature Review

Central Bank Digital Currency (CBDC) can be defined as a virtual currency based on node network and digital encryption algorithm issued by a country which has a legal credit protection. CBDCs are supported by Distributed Ledger Technologies (DLTs), and they may allow a universal means of payments for the digital era. There are many ways to proceed, they all require central banks to develop technological expertise. Considering these points, it is important to understand the new IT governance in the financial markets due to CBDC and digital economy. Information Technology is an essential driver that will allow the new financial industry design. This paper has the objective to answer two questions through an updated Systematic Literature Review (SLR). The first question is What IT resources and tools have been considered or applied to set the governance of CBDC adoption? The second; Identify IT governance models in the financial market due to CBDC adoption. Bank for International Settlements (BIS) publications, Scopus and Web of Science were considered as sources of studies. After the strings and including criteria were applied, fourteen papers were analyzed. This paper finds many IT resources used in the CBDC adoption and some preliminary IT design related to the IT governance of CBDC, in the results and discussion section the findings are more detailed. Finally, limitations and future work are considered. Keywords: Blockchain, Central Bank Digital Currency (CBDC), Digital Economy, Distributed Ledger Technology (DLT), Information Technology (IT), IT governance.
Covariance Matrix Analysis for Optimal Portfolio Selection
Authors: Lim Hao Shen Keith
Date: 2024-06-23 00:00:00

In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. This inverse covariance matrix also prescribes the hedge trades in which a stock is hedged by all the other stocks in the portfolio. In practice with finite samples, however, multicollinearity gives rise to considerable estimation errors, making the hedge trades too unstable and unreliable for use. By adopting ideas from current methodologies in the existing literature, we propose 2 new estimators of the inverse covariance matrix, one which relies only on the l2 norm while the other utilizes both the l1 and l2 norms. These 2 new estimators are classified as shrinkage estimators in the literature. Comparing favorably with other methods (sample-based estimation, equal-weighting, estimation based on Principal Component Analysis), a portfolio formed on the proposed estimators achieves substantial out-of-sample risk reduction and improves the out-of-sample risk-adjusted returns of the portfolio, particularly in high-dimensional settings. Furthermore, the proposed estimators can still be computed even in instances where the sample covariance matrix is ill-conditioned or singular
Risk Analysis of Passive Portfolios
Authors: Sourish Das
Date: 2024-07-11 00:00:00
Tasks: Philosophy

In this work, we present an alternative passive investment strategy. The passive investment philosophy comes from the Efficient Market Hypothesis (EMH), and its adoption is widespread. If EMH is true, one cannot outperform market by actively managing their portfolio for a long time. Also, it requires little to no intervention. People can buy an exchange-traded fund (ETF) with a long-term perspective. As the economy grows over time, one expects the ETF to grow. For example, in India, one can invest in NETF, which suppose to mimic the Nifty50 return. However, the weights of the Nifty 50 index are based on market capitalisation. These weights are not necessarily optimal for the investor. In this work, we present that volatility risk and extreme risk measures of the Nifty50 portfolio are uniformly larger than Markowitz's optimal portfolio. However, common people can't create an optimised portfolio. So we proposed an alternative passive investment strategy of an equal-weight portfolio. We show that if one pushes the maximum weight of the portfolio towards equal weight, the idiosyncratic risk of the portfolio would be minimal. The empirical evidence indicates that the risk profile of an equal-weight portfolio is similar to that of Markowitz's optimal portfolio. Hence instead of buying Nifty50 ETFs, one should equally invest in the stocks of Nifty50 to achieve a uniformly better risk profile than the Nifty 50 ETF portfolio. We also present an analysis of how portfolios perform to idiosyncratic events like the Russian invasion of Ukraine. We found that the equal weight portfolio has a uniformly lower risk than the Nifty 50 portfolio before and during the Russia-Ukraine war. All codes are available on GitHub (\url{https://github.com/sourish-cmi/quant/tree/main/Chap_Risk_Anal_of_Passive_Portfolio}).
Nash Equilibrium between Brokers and Traders
Authors: Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
Date: 2024-07-15 00:00:00

We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact with exponential resilience, while both clients trade with the broker. The informed trader and the broker maximise expected wealth subject to inventory penalties, while the uninformed trader is not strategic and sends the broker random buy and sell orders. We characterise the Nash equilibrium of the trading strategies with the solution to a coupled system of forward-backward stochastic differential equations (FBSDEs). We solve this system explicitly and study the effect of information, profitability, and inventory control in the trading strategies of the broker and the informed trader.
Financial market geometry: The tube oscillator
Authors: Dragoljub Katic, Stefan Richter
Date: 2024-07-10 00:00:00

Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an empirical analysis of the German DAX and the Forex EUR/USD exchange rate that a simple trading strategy based on this oscillator and fixed threshold leads to consistent positive monthly returns of average magnitude of 2% or more. The oscillator is derived from a broader understanding of the geometric behavior of prices throughout a fixed period, which we term financial market geometry. The remarkable profit results of the presented technique show that 1) prices of financial market instruments have a strong underlying deterministic component which can be detected and quantified with a matching approach and 2) financial market geometry is capable of providing such detectors.
Deep Reinforcement Learning Strategies in Finance: Insights into Asset Holding, Trading Behavior, and Purchase Diversity
Authors: Alireza Mohammadshafie, Akram Mirzaeinia, Haseebullah Jumakhan, Amir Mirzaeinia
Date: 2024-06-29 00:00:00
Tasks: Decision Making, Deep Reinforcement Learning, Diversity

Recent deep reinforcement learning (DRL) methods in finance show promising outcomes. However, there is limited research examining the behavior of these DRL algorithms. This paper aims to investigate their tendencies towards holding or trading financial assets as well as purchase diversity. By analyzing their trading behaviors, we provide insights into the decision-making processes of DRL models in finance applications. Our findings reveal that each DRL algorithm exhibits unique trading patterns and strategies, with A2C emerging as the top performer in terms of cumulative rewards. While PPO and SAC engage in significant trades with a limited number of stocks, DDPG and TD3 adopt a more balanced approach. Furthermore, SAC and PPO tend to hold positions for shorter durations, whereas DDPG, A2C, and TD3 display a propensity to remain stationary for extended periods.
Image captioning in different languages
Authors: Emiel van Miltenburg
Date: 2024-05-31 00:00:00
Tasks: Image Captioning, Position

This short position paper provides a manually curated list of non-English image captioning datasets (as of May 2024). Through this list, we can observe the dearth of datasets in different languages: only 23 different languages are represented. With the addition of the Crossmodal-3600 dataset (Thapliyal et al., 2022, 36 languages) this number increases somewhat, but still this number is small compared to the +/-500 institutional languages that are out there. This paper closes with some open questions for the field of Vision & Language.
Integrating Large Language Models with Graph-based Reasoning for Conversational Question Answering
Authors: Parag Jain, Mirella Lapata
Date: 2024-06-14 00:00:00
Tasks: Conversational Question Answering, Knowledge Graphs, Question Answering, Retrieval, Text Generation

We focus on a conversational question answering task which combines the challenges of understanding questions in context and reasoning over evidence gathered from heterogeneous sources like text, knowledge graphs, tables, and infoboxes. Our method utilizes a graph structured representation to aggregate information about a question and its context (i.e., the conversation so far and evidence retrieved to find an answer), while also harnessing the reasoning and text generation capabilities of large language models (LLMs). Graph embeddings are directly injected into the LLM, bypassing the token embedding layers, and learned end-to-end by minimizing cross-entropy. Our model maintains a memory module to track and update past evidence, thus influencing the graph's structure, as the conversation evolves. Experimental results on the ConvMix benchmark(Christmann et al., 2022a) show that graph embeddings enhance the LLM's ability to reason, while the memory module provides robustness against noise and retrieval errors.
MATE: Meet At The Embedding -- Connecting Images with Long Texts
Authors: Young Kyun Jang, Junmo Kang, Yong Jae Lee, Donghyun Kim
Date: 2024-06-26 00:00:00
Tasks: Cross-Modal Retrieval, Descriptive

While advancements in Vision Language Models (VLMs) have significantly improved the alignment of visual and textual data, these models primarily focus on aligning images with short descriptive captions. This focus limits their ability to handle complex text interactions, particularly with longer texts such as lengthy captions or documents, which have not been extensively explored yet. In this paper, we introduce Meet At The Embedding (MATE), a novel approach that combines the capabilities of VLMs with Large Language Models (LLMs) to overcome this challenge without the need for additional image-long text pairs. Specifically, we replace the text encoder of the VLM with a pretrained LLM-based encoder that excels in understanding long texts. To bridge the gap between VLM and LLM, MATE incorporates a projection module that is trained in a multi-stage manner. It starts by aligning the embeddings from the VLM text encoder with those from the LLM using extensive text pairs. This module is then employed to seamlessly align image embeddings closely with LLM embeddings. We propose two new cross-modal retrieval benchmarks to assess the task of connecting images with long texts (lengthy captions / documents). Extensive experimental results demonstrate that MATE effectively connects images with long texts, uncovering diverse semantic relationships.
Using Artificial Intelligence to Unlock Crowdfunding Success for Small Businesses
Authors: Teng Ye, Jingnan Zheng, Junhui Jin, Jingyi Qiu, Wei Ai, Qiaozhu Mei
Date: 2024-04-24 00:00:00
Tasks: Language Modeling, Language Modelling, Large Language Model

While small businesses are increasingly turning to online crowdfunding platforms for essential funding, over 40% of these campaigns may fail to raise any money, especially those from low socio-economic areas. We utilize the latest advancements in AI technology to identify crucial factors that influence the success of crowdfunding campaigns and to improve their fundraising outcomes by strategically optimizing these factors. Our best-performing machine learning model accurately predicts the fundraising outcomes of 81.0% of campaigns, primarily based on their textual descriptions. Interpreting the machine learning model allows us to provide actionable suggestions on improving the textual description before launching a campaign. We demonstrate that by augmenting just three aspects of the narrative using a large language model, a campaign becomes more preferable to 83% human evaluators, and its likelihood of securing financial support increases by 11.9%. Our research uncovers the effective strategies for crafting descriptions for small business fundraising campaigns and opens up a new realm in integrating large language models into crowdfunding methodologies.
Putting GPT-4o to the Sword: A Comprehensive Evaluation of Language, Vision, Speech, and Multimodal Proficiency
Authors: Sakib Shahriar, Brady Lund, Nishith Reddy Mannuru, Muhammad Arbab Arshad, Kadhim Hayawi, Ravi Varma Kumar Bevara, Aashrith Mannuru, Laiba Batool
Date: 2024-06-19 00:00:00
Tasks: Few-Shot Learning, image-classification, Image Classification, Object Recognition

As large language models (LLMs) continue to advance, evaluating their comprehensive capabilities becomes significant for their application in various fields. This research study comprehensively evaluates the language, vision, speech, and multimodal capabilities of GPT-4o. The study employs standardized exam questions, reasoning tasks, and translation assessments to assess the model's language capability. Additionally, GPT-4o's vision and speech capabilities are tested through image classification and object recognition tasks, as well as accent classification. The multimodal evaluation assesses the model's performance in integrating visual and linguistic data. Our findings reveal that GPT-4o demonstrates high accuracy and efficiency across multiple domains in language and reasoning capabilities, excelling in tasks that require few-shot learning. GPT-4o also provides notable improvements in multimodal tasks compared to its predecessors. However, the model shows variability and faces limitations in handling complex and ambiguous inputs, particularly in audio and vision capabilities. This paper highlights the need for more comprehensive benchmarks and robust evaluation frameworks, encompassing qualitative assessments involving human judgment as well as error analysis. Future work should focus on expanding datasets, investigating prompt-based assessment, and enhancing few-shot learning techniques to test the model's practical applicability and performance in real-world scenarios.