pwc-archive/papers-with-abstracts huggingface dataset:
Why Groups Matter: Necessity of Group Structures in Attributions
Authors: Dangxing Chen, Jingfeng Chen, Weicheng Ye
Date: 2024-08-11 00:00:00

Explainable machine learning methods have been accompanied by substantial development. Despite their success, the existing approaches focus more on the general framework with no prior domain expertise. High-stakes financial sectors have extensive domain knowledge of the features. Hence, it is expected that explanations of models will be consistent with domain knowledge to ensure conceptual soundness. In this work, we study the group structures of features that are naturally formed in the financial dataset. Our study shows the importance of considering group structures that conform to the regulations. When group structures are present, direct applications of explainable machine learning methods, such as Shapley values and Integrated Gradients, may not provide consistent explanations; alternatively, group versions of the Shapley value can provide consistent explanations. We contain detailed examples to concentrate on the practical perspective of our framework.
Inefficiencies of Carbon Trading Markets
Authors: Nicola Borri, Yukun Liu, Aleh Tsyvinski, Xi Wu
Date: 2024-08-12 00:00:00

The European Union Emission Trading System is a prominent market-based mechanism to reduce emissions. While the theory is well understood, we are the first to study the whole cap-and-trade mechanism as a financial market. Analyzing the universe of transactions in 2005-2020 (more than one million records of granular transaction data), we show that this market features significant inefficiencies undermining its goals. First, about 40% of firms never trade in a given year. Second, many firms only trade during surrendering months, when compliance is immediate and prices are predictably high. Third, a number of operators engage in speculative trading, exploiting private information.
Endogenous Crashes as Phase Transitions
Authors: Revant Nayar, Minhajul Islam
Date: 2024-08-12 00:00:00

This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model these events as first-order phase transitions critical, stochastic, and dynamic. Through a comparative analysis of early warning signals associated with each type of transition, we demonstrate that dynamic phase transitions (DPT) offer a more accurate representation of market crashes than critical (CPT) or stochastic phase transitions (SPT). Unlike existing models, such as the Log-Periodic Power Law (LPPL) model, which often suffers from overfitting and false positives, our approach grounded in DPT provides a more robust prediction framework. Empirical findings, based on an analysis of S&P 500 stocks from 2019 to 2024, reveal significant trends in volatility and anomalous dimensions before crashes, supporting the superiority of the DPT model. This work contributes to a deeper understanding of the predictive signals preceding market crashes and offers a novel perspective on their underlying dynamics.
The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency
Authors: Junshu Jiang, Jordan Richards, Raphaël Huser, David Bolin
Date: 2024-08-13 00:00:00
Tasks: Econometrics

In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for multivariate extremes focus on positive dependence, making them unsuitable for studying extremal dependence in financial markets where data often exhibit both positive and negative extremal dependence. To this end, we construct regular variation models on the entirety of $\mathbb{R}^d$ and develop a bivariate measure for asymmetry in the strength of extremal dependence between adjacent orthants. Our directional tail dependence (DTD) measure allows us to define the Efficient Tail Hypothesis (ETH) -- an analogue of the Efficient Market Hypothesis -- for the extremal behaviour of the market. Asymptotic results for estimators of DTD are described, and we discuss testing of the ETH via permutation-based methods and present novel tools for visualization. Empirical study of China's futures market leads to a rejection of the ETH and we identify potential profitable investment opportunities. To promote the research of microstructure in China's derivatives market, we open-source our high-frequency data, which are being collected continuously from multiple derivative exchanges.
A GCN-LSTM Approach for ES-mini and VX Futures Forecasting
Authors: Nikolas Michael, Mihai Cucuringu, Sam Howison
Date: 2024-08-10 00:00:00

We propose a novel data-driven network framework for forecasting problems related to E-mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations act as distinct nodes. We provide visual demonstrations of the correlation structures of these products in terms of their returns, realized volatility, and trading volume. The resulting networks offer insights into the contemporaneous movements across the different products, illustrating how inherently connected the movements of the future products belonging to these two classes are. These networks are further utilized by a multi-channel Graph Convolutional Network to enhance the predictive power of a Long Short-Term Memory network, allowing for the propagation of forecasts of highly correlated quantities, combining the temporal with the spatial aspect of the term structure.
Large Language Model Agent in Financial Trading: A Survey
Authors: Han Ding, Yinheng Li, Junhao Wang, Hang Chen
Date: 2024-07-26 00:00:00
Tasks: Language Modeling, Language Modelling, Large Language Model, Survey

Trading is a highly competitive task that requires a combination of strategy, knowledge, and psychological fortitude. With the recent success of large language models(LLMs), it is appealing to apply the emerging intelligence of LLM agents in this competitive arena and understanding if they can outperform professional traders. In this survey, we provide a comprehensive review of the current research on using LLMs as agents in financial trading. We summarize the common architecture used in the agent, the data inputs, and the performance of LLM trading agents in backtesting as well as the challenges presented in these research. This survey aims to provide insights into the current state of LLM-based financial trading agents and outline future research directions in this field.
Experimental implementation of skeleton tracking for collision avoidance in collaborative robotics
Authors: Matteo Forlini, Federico Neri, Marianna Ciccarelli, Giacomo Palmieri, Massimo Callegari
Date: 2024-07-15 00:00:00
Proceeding: The International Journal of Advanced Manufacturing Technology 2024 7
Tasks: Collision Avoidance, Human Detection, Object Skeleton Detection

Collaborative robotic manipulators can stop in case of a collision, according to the ISO/TS 15066 and ISO 10218-1 standards. However, in a human-robot collaboration scenario where the robot and the human share the workspace, a better solution with concerns to production and operator safety would be to perceive in advance the presence of an obstacle and be able to avoid it, thereby completing the task without halting the robot. In this paper, an obstacle avoidance algorithm is tested using a sensor system for real-time human detection; the operator represents a potential dynamic obstacle that can interfere with the robot motion. The sensor system consists of three RGB-D cameras. A custom software framework has been developed in Python exploiting machine learning tools for human skeleton detection. The coordinates of the human body joints relative to the manipulator base are used as input to the obstacle avoidance algorithm. The use of multiple sensors makes it possible to limit the occlusion problem; in addition, the choice of non-wearable sensors goes in the direction of better operator comfort. A series of experimental tests were performed to verify the accuracy of skeleton detection and the ability of the system to avoid obstacles in real time. The human motion caption system, in particular, was validated through a comparison with a commercial system based on wearable IMU sensors widely used and validated in motion capture. There is an NRMSE of 
 for the RGB-D camera-based skeleton detection system, against an NRMSE of 
 for the IMU wearable sensor system. Test results confirm that the system is able to avoid collisions with the human body under various conditions, static or dynamic, ensuring a minimum safety distance to any part of the manipulator. In 44 tests in which the operator moves around the robot with possible collisions (at a speed typical of manufacturing operations), the minimum operator-robot distance averaged 208 mm
, being 200 mm
 the limit safety distance set by algorithm.
An Efficient Inference Framework for Early-exit Large Language Models
Authors: Ruijie Miao, Yihan Yan, Xinshuo Yao, Tong Yang
Date: 2024-07-25 00:00:00
Tasks: Management

Building efficient inference framework has gained increasing interests for research community. Early-exit models, a variant of LLMs, improves the inference efficiency of LLMs by skipping rest layers and directly generate output tokens when they are confident enough. However, there is no work of LLM inference framework that takes early-exit models into consideration. This is non-trivial as prior art on LLM inference cannot be directly applied to early-exit models. In this work, we solves two key challenges in building efficient inference framework for early-exit models: (1) batch inference at iteration-level granularity; and (2) KV cache management. For the former, we propose to process the batch until all sequences surpass the early-exit confidence threshold. For the latter, we propose to fill the KV cache of rest layers before the iteration terminates. Our evaluation shows that, compared with the original vLLM operating at full layers, our solution achieves up to 1.25x speed up.
Distinguishing Chatbot from Human
Authors: Gauri Anil Godghase, Rishit Agrawal, Tanush Obili, Mark Stamp
Date: 2024-08-03 00:00:00
Tasks: Chatbot

There have been many recent advances in the fields of generative Artificial Intelligence (AI) and Large Language Models (LLM), with the Generative Pre-trained Transformer (GPT) model being a leading "chatbot." LLM-based chatbots have become so powerful that it may seem difficult to differentiate between human-written and machine-generated text. To analyze this problem, we have developed a new dataset consisting of more than 750,000 human-written paragraphs, with a corresponding chatbot-generated paragraph for each. Based on this dataset, we apply Machine Learning (ML) techniques to determine the origin of text (human or chatbot). Specifically, we consider two methodologies for tackling this issue: feature analysis and embeddings. Our feature analysis approach involves extracting a collection of features from the text for classification. We also explore the use of contextual embeddings and transformer-based architectures to train classification models. Our proposed solutions offer high classification accuracy and serve as useful tools for textual analysis, resulting in a better understanding of chatbot-generated text in this era of advanced AI technology.
Towards a fuller understanding of neurons with Clustered Compositional Explanations
Authors: Biagio La Rosa, Leilani H. Gilpin, Roberto Capobianco
Date: 2023-10-27 00:00:00
Proceeding: NeurIPS 2023 11

Compositional Explanations is a method for identifying logical formulas of concepts that approximate the neurons' behavior. However, these explanations are linked to the small spectrum of neuron activations (i.e., the highest ones) used to check the alignment, thus lacking completeness. In this paper, we propose a generalization, called Clustered Compositional Explanations, that combines Compositional Explanations with clustering and a novel search heuristic to approximate a broader spectrum of the neurons' behavior. We define and address the problems connected to the application of these methods to multiple ranges of activations, analyze the insights retrievable by using our algorithm, and propose desiderata qualities that can be used to study the explanations returned by different algorithms.
Modality-Balanced Learning for Multimedia Recommendation
Authors: Jinghao Zhang, Guofan Liu, Qiang Liu, Shu Wu, Liang Wang
Date: 2024-07-26 00:00:00
Tasks: Collaborative Filtering, counterfactual, Counterfactual Inference, Knowledge Distillation, Multimedia recommendation, Multimodal Recommendation

Many recommender models have been proposed to investigate how to incorporate multimodal content information into traditional collaborative filtering framework effectively. The use of multimodal information is expected to provide more comprehensive information and lead to superior performance. However, the integration of multiple modalities often encounters the modal imbalance problem: since the information in different modalities is unbalanced, optimizing the same objective across all modalities leads to the under-optimization problem of the weak modalities with a slower convergence rate or lower performance. Even worse, we find that in multimodal recommendation models, all modalities suffer from the problem of insufficient optimization. To address these issues, we propose a Counterfactual Knowledge Distillation method that could solve the imbalance problem and make the best use of all modalities. Through modality-specific knowledge distillation, it could guide the multimodal model to learn modality-specific knowledge from uni-modal teachers. We also design a novel generic-and-specific distillation loss to guide the multimodal student to learn wider-and-deeper knowledge from teachers. Additionally, to adaptively recalibrate the focus of the multimodal model towards weaker modalities during training, we estimate the causal effect of each modality on the training objective using counterfactual inference techniques, through which we could determine the weak modalities, quantify the imbalance degree and re-weight the distillation loss accordingly. Our method could serve as a plug-and-play module for both late-fusion and early-fusion backbones. Extensive experiments on six backbones show that our proposed method can improve the performance by a large margin. The source code will be released at \url{https://github.com/CRIPAC-DIG/Balanced-Multimodal-Rec}
Deep Learning based Key Information Extraction from Business Documents: Systematic Literature Review
Authors: Alexander Rombach, Peter Fettke
Date: 2024-07-23 00:00:00
Tasks: Deep Learning, document understanding, Key Information Extraction, Systematic Literature Review

Extracting key information from documents represents a large portion of business workloads and therefore offers a high potential for efficiency improvements and process automation. With recent advances in deep learning, a plethora of deep learning-based approaches for Key Information Extraction have been proposed under the umbrella term Document Understanding that enable the processing of complex business documents. The goal of this systematic literature review is an in-depth analysis of existing approaches in this domain and the identification of opportunities for further research. To this end, 96 approaches published between 2017 and 2023 are analyzed in this study.
Learning Rule-Induced Subgraph Representations for Inductive Relation Prediction
Authors: Tianyu Liu, Qitan Lv, Jie Wang, Shuling Yang, Hanzhu Chen
Date: 2024-08-09 00:00:00
Proceeding: NeurIPS 2023 11
Tasks: Inductive Relation Prediction, Knowledge Graphs, Prediction, Relation, Relation Prediction

Inductive relation prediction (IRP) -- where entities can be different during training and inference -- has shown great power for completing evolving knowledge graphs. Existing works mainly focus on using graph neural networks (GNNs) to learn the representation of the subgraph induced from the target link, which can be seen as an implicit rule-mining process to measure the plausibility of the target link. However, these methods cannot differentiate the target link and other links during message passing, hence the final subgraph representation will contain irrelevant rule information to the target link, which reduces the reasoning performance and severely hinders the applications for real-world scenarios. To tackle this problem, we propose a novel \textit{single-source edge-wise} GNN model to learn the \textbf{R}ule-induc\textbf{E}d \textbf{S}ubgraph represen\textbf{T}ations (\textbf{REST}), which encodes relevant rules and eliminates irrelevant rules within the subgraph. Specifically, we propose a \textit{single-source} initialization approach to initialize edge features only for the target link, which guarantees the relevance of mined rules and target link. Then we propose several RNN-based functions for \textit{edge-wise} message passing to model the sequential property of mined rules. REST is a simple and effective approach with theoretical support to learn the \textit{rule-induced subgraph representation}. Moreover, REST does not need node labeling, which significantly accelerates the subgraph preprocessing time by up to \textbf{11.66$\times$}. Experiments on inductive relation prediction benchmarks demonstrate the effectiveness of our REST. Our code is available at https://github.com/smart-lty/REST.
Dominating Set Reconfiguration with Answer Set Programming
Authors: Masato Kato, Torsten Schaub, Takehide Soh, Naoyuki Tamura, Mutsunori Banbara
Date: 2024-08-14 00:00:00

The dominating set reconfiguration problem is defined as determining, for a given dominating set problem and two among its feasible solutions, whether one is reachable from the other via a sequence of feasible solutions subject to a certain adjacency relation. This problem is PSPACE-complete in general. The concept of the dominating set is known to be quite useful for analyzing wireless networks, social networks, and sensor networks. We develop an approach to solve the dominating set reconfiguration problem based on Answer Set Programming (ASP). Our declarative approach relies on a high-level ASP encoding, and both the grounding and solving tasks are delegated to an ASP-based combinatorial reconfiguration solver. To evaluate the effectiveness of our approach, we conduct experiments on a newly created benchmark set.
ChemVLM: Exploring the Power of Multimodal Large Language Models in Chemistry Area
Authors: Junxian Li, Di Zhang, Xunzhi Wang, Zeying Hao, Jingdi Lei, Qian Tan, Cai Zhou, Wei Liu, Yaotian Yang, Xinrui Xiong, Weiyun Wang, Zhe Chen, Wenhai Wang, Wei Li, Shufei Zhang, Mao Su, Wanli Ouyang, Yuqiang Li, Dongzhan Zhou
Date: 2024-08-14 00:00:00
Tasks: Language Modeling, Language Modelling, Large Language Model, Multimodal Large Language Model, Optical Character Recognition, Optical Character Recognition (OCR), Question Answering

Large Language Models (LLMs) have achieved remarkable success and have been applied across various scientific fields, including chemistry. However, many chemical tasks require the processing of visual information, which cannot be successfully handled by existing chemical LLMs. This brings a growing need for models capable of integrating multimodal information in the chemical domain. In this paper, we introduce \textbf{ChemVLM}, an open-source chemical multimodal large language model specifically designed for chemical applications. ChemVLM is trained on a carefully curated bilingual multimodal dataset that enhances its ability to understand both textual and visual chemical information, including molecular structures, reactions, and chemistry examination questions. We develop three datasets for comprehensive evaluation, tailored to Chemical Optical Character Recognition (OCR), Multimodal Chemical Reasoning (MMCR), and Multimodal Molecule Understanding tasks. We benchmark ChemVLM against a range of open-source and proprietary multimodal large language models on various tasks. Experimental results demonstrate that ChemVLM achieves competitive performance across all evaluated tasks. Our model can be found at https://huggingface.co/AI4Chem/ChemVLM-26B.
Quantifying over Optimum Answer Sets
Authors: Giuseppe Mazzotta, Francesco Ricca, Mirek Truszczynski
Date: 2024-08-14 00:00:00
Tasks: global-optimization

Answer Set Programming with Quantifiers (ASP(Q)) has been introduced to provide a natural extension of ASP modeling to problems in the polynomial hierarchy (PH). However, ASP(Q) lacks a method for encoding in an elegant and compact way problems requiring a polynomial number of calls to an oracle in $\Sigma_n^p$ (that is, problems in $\Delta_{n+1}^p$). Such problems include, in particular, optimization problems. In this paper we propose an extension of ASP(Q), in which component programs may contain weak constraints. Weak constraints can be used both for expressing local optimization within quantified component programs and for modeling global optimization criteria. We showcase the modeling capabilities of the new formalism through various application scenarios. Further, we study its computational properties obtaining complexity results and unveiling non-obvious characteristics of ASP(Q) programs with weak constraints.
End-to-end Semantic-centric Video-based Multimodal Affective Computing
Authors: Ronghao Lin, Ying Zeng, Sijie Mai, Haifeng Hu
Date: 2024-08-14 00:00:00
Tasks: Contrastive Learning, Pseudo Label, Representation Learning

In the pathway toward Artificial General Intelligence (AGI), understanding human's affection is essential to enhance machine's cognition abilities. For achieving more sensual human-AI interaction, Multimodal Affective Computing (MAC) in human-spoken videos has attracted increasing attention. However, previous methods are mainly devoted to designing multimodal fusion algorithms, suffering from two issues: semantic imbalance caused by diverse pre-processing operations and semantic mismatch raised by inconsistent affection content contained in different modalities comparing with the multimodal ground truth. Besides, the usage of manual features extractors make they fail in building end-to-end pipeline for multiple MAC downstream tasks. To address above challenges, we propose a novel end-to-end framework named SemanticMAC to compute multimodal semantic-centric affection for human-spoken videos. We firstly employ pre-trained Transformer model in multimodal data pre-processing and design Affective Perceiver module to capture unimodal affective information. Moreover, we present a semantic-centric approach to unify multimodal representation learning in three ways, including gated feature interaction, multi-task pseudo label generation, and intra-/inter-sample contrastive learning. Finally, SemanticMAC effectively learn specific- and shared-semantic representations in the guidance of semantic-centric labels. Extensive experimental results demonstrate that our approach surpass the state-of-the-art methods on 7 public datasets in four MAC downstream tasks.