pwc-archive/papers-with-abstracts huggingface dataset:
Optimal stopping and divestment timing under scenario ambiguity and learning
Authors: Andrea Mazzon, Peter Tankov
Date: 2024-08-18 00:00:00
Tasks: Decision Making

Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a scenario from a given set of possible futures. Since the future scenario is unknown and the probabilities of individual prospective scenarios are ambiguous, we adopt the smooth model of decision making under ambiguity aversion of Klibanoff et al (2005), framing the optimal divestment decision as an optimal stopping problem with learning under ambiguity aversion. We then prove a minimax result reducing this problem to a series of standard optimal stopping problems with learning. The theory is illustrated with two examples: the problem of optimally selling a stock with ambiguous drift, and the problem of optimal divestment from a coal-fired power plant under transition scenario ambiguity.
Optimal insurance design with Lambda-Value-at-Risk
Authors: Tim J. Boonen, Yuyu Chen, Xia Han, Qiuqi Wang
Date: 2024-08-19 00:00:00

This paper explores optimal insurance solutions based on the Lambda-Value-at-Risk ($\Lambda\VaR$). If the expected value premium principle is used, our findings confirm that, similar to the VaR model, a truncated stop-loss indemnity is optimal in the $\Lambda\VaR$ model. We further provide a closed-form expression of the deductible parameter under certain conditions. Moreover, we study the use of a $\Lambda'\VaR$ as premium principle as well, and show that full or no insurance is optimal. Dual stop-loss is shown to be optimal if we use a $\Lambda'\VaR$ only to determine the risk-loading in the premium principle. Moreover, we study the impact of model uncertainty, considering situations where the loss distribution is unknown but falls within a defined uncertainty set. Our findings indicate that a truncated stop-loss indemnity is optimal when the uncertainty set is based on a likelihood ratio. However, when uncertainty arises from the first two moments of the loss variable, we provide the closed-form optimal deductible in a stop-loss indemnity.
Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change
Authors: Yan-Hong Yang, Ying-Hui Shao, Wei-Xing Zhou
Date: 2024-08-19 00:00:00

In this paper, we examine the dynamic spillovers among the crude oil, carbon emission allowance, climate change, and agricultural markets. Adopting a novel $R^2$ decomposed connectedness approach, our empirical analysis reveals several key findings. The overall TCI dynamics have been mainly dominated by contemporaneous dynamics rather than the lagged dynamics. We also find climate change has significant spillovers to other markets. Moreover, there are heterogeneous spillover effects among agricultural markets. Specially, corn is the biggest risk contributor to this system, while barley is the major risk receiver of shocks.
Using Fermat-Torricelli points in assessing investment risks
Authors: Sergey Yekimov
Date: 2024-08-17 00:00:00

The use of Fermat-Torricelli points can be an effective mathematical tool for analyzing numerical series that have a large variance, a pronounced nonlinear trend, or do not have a normal distribution of a random variable. Linear dependencies are very rare in nature. Smoothing numerical series by constructing Fermat-Torricelli points reduces the influence of the random component on the final result. The presence of a normal distribution of a random variable for numerical series that relate to long time intervals is an exception to the rule rather than an axiom. The external environment (international economic relations, scientific and technological progress, political events) is constantly changing, which in turn, in general, does not give grounds to assert that under these conditions a random variable satisfies the requirements of the Gauss-Markov theorem.
Infinite-mean models in risk management: Discussions and recent advances
Authors: Yuyu Chen, Ruodu Wang
Date: 2024-08-16 00:00:00
Tasks: Management

In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and the central limit theorems. Such an assumption may not be completely innocent, and it may not be appropriate for datasets with heavy tails (e.g., catastrophic losses), relevant to financial risk management. In this paper, we discuss the importance of infinite-mean models in economics, finance, and related fields, with recent results and examples. We emphasize that many results or intuitions that hold for finite-mean models turn out to fail or even flip for infinite-mean models. Due to the breakdown of standard thinking for infinite-mean models, we argue that if the possibility of using infinite-mean models cannot be excluded, great caution should be taken when applying classic methods that are usually designed for finite-mean cases in finance and insurance.
High-Frequency Trading Liquidity Analysis | Application of Machine Learning Classification
Authors: Sid Bhatia, Sidharth Peri, Sam Friedman, Michelle Malen
Date: 2024-08-19 00:00:00

This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic Regression, Support Vector Machine, and Random Forest, the study aims to predict minute-level price movements using an extensive set of liquidity metrics derived from the Trade and Quote (TAQ) data. The findings reveal that employing a broad spectrum of liquidity measures yields higher predictive accuracy compared to models utilizing a reduced subset of features. Key liquidity metrics, such as Liquidity Ratio, Flow Ratio, and Turnover, consistently emerged as significant predictors across all models, with the Random Forest algorithm demonstrating superior accuracy. This study not only underscores the critical role of liquidity in market stability and transaction costs but also highlights the complexities involved in short-interval market predictions. The research suggests that a comprehensive set of liquidity measures is essential for accurate prediction, and proposes future work to validate these findings across different stock datasets to assess their generalizability.
Unleashing The Power of Pre-Trained Language Models for Irregularly Sampled Time Series
Authors: Weijia Zhang, Chenlong Yin, Hao liu, Hui Xiong
Date: 2024-08-12 00:00:00
Tasks: Time Series, Time Series Analysis, Zero-Shot Learning

Pre-trained Language Models (PLMs), such as ChatGPT, have significantly advanced the field of natural language processing. This progress has inspired a series of innovative studies that explore the adaptation of PLMs to time series analysis, intending to create a unified foundation model that addresses various time series analytical tasks. However, these efforts predominantly focus on Regularly Sampled Time Series (RSTS), neglecting the unique challenges posed by Irregularly Sampled Time Series (ISTS), which are characterized by uneven sampling intervals and prevalent missing data. To bridge this gap, this work takes the first step in exploring the potential of PLMs for ISTS analysis. We begin by investigating the effect of various methods for representing ISTS, aiming to maximize the efficacy of PLMs in the analysis. Furthermore, we propose a unified PLM-based framework, named ISTS-PLM, to address diverse ISTS analytical tasks. It integrates novel time-aware and variable-aware PLMs tailored to tackle the intractable intra- and inter-time series modeling in ISTS. Finally, extensive experiments on a comprehensive benchmark demonstrate that the ISTS-PLM, utilizing a structured and effective series-based representation for ISTS, consistently achieves state-of-the-art performance across various analytical tasks, such as classification, interpolation, extrapolation, few-shot and zero-shot learning scenarios, spanning scientific domains like healthcare, biomechanics, and climate science.
Cyclic Supports in Recursive Bipolar Argumentation Frameworks: Semantics and LP Mapping
Authors: Gianvincenzo Alfano, Sergio Greco, Francesco Parisi, Irina Trubitsyna
Date: 2024-08-14 00:00:00
Tasks: Abstract Argumentation

Dung's Abstract Argumentation Framework (AF) has emerged as a key formalism for argumentation in Artificial Intelligence. It has been extended in several directions, including the possibility to express supports, leading to the development of the Bipolar Argumentation Framework (BAF), and recursive attacks and supports, resulting in the Recursive BAF (Rec-BAF). Different interpretations of supports have been proposed, whereas for Rec-BAF (where the target of attacks and supports may also be attacks and supports) even different semantics for attacks have been defined. However, the semantics of these frameworks have either not been defined in the presence of support cycles, or are often quite intricate in terms of the involved definitions. We encompass this limitation and present classical semantics for general BAF and Rec-BAF and show that the semantics for specific BAF and Rec-BAF frameworks can be defined by very simple and intuitive modifications of that defined for the case of AF. This is achieved by providing a modular definition of the sets of defeated and acceptable elements for each AF-based framework. We also characterize, in an elegant and uniform way, the semantics of general BAF and Rec-BAF in terms of logic programming and partial stable model semantics.
SHARP-Net: A Refined Pyramid Network for Deficiency Segmentation in Culverts and Sewer Pipes
Authors: Rasha Alshawi, Md Meftahul Ferdaus, Md Tamjidul Hoque, Kendall Niles, Ken Pathak, Steve Sloan, Mahdi Abdelguerfi
Date: 2024-08-02 00:00:00
Tasks: Semantic Segmentation

This paper introduces Semantic Haar-Adaptive Refined Pyramid Network (SHARP-Net), a novel architecture for semantic segmentation. SHARP-Net integrates a bottom-up pathway featuring Inception-like blocks with varying filter sizes (3x3$ and 5x5), parallel max-pooling, and additional spatial detection layers. This design captures multi-scale features and fine structural details. Throughout the network, depth-wise separable convolutions are used to reduce complexity. The top-down pathway of SHARP-Net focuses on generating high-resolution features through upsampling and information fusion using $1\times1$ and $3\times3$ depth-wise separable convolutions. We evaluated our model using our developed challenging Culvert-Sewer Defects dataset and the benchmark DeepGlobe Land Cover dataset. Our experimental evaluation demonstrated the base model's (excluding Haar-like features) effectiveness in handling irregular defect shapes, occlusions, and class imbalances. It outperformed state-of-the-art methods, including U-Net, CBAM U-Net, ASCU-Net, FPN, and SegFormer, achieving average improvements of 14.4% and 12.1% on the Culvert-Sewer Defects and DeepGlobe Land Cover datasets, respectively, with IoU scores of 77.2% and 70.6%. Additionally, the training time was reduced. Furthermore, the integration of carefully selected and fine-tuned Haar-like features enhanced the performance of deep learning models by at least 20%. The proposed SHARP-Net, incorporating Haar-like features, achieved an impressive IoU of 94.75%, representing a 22.74% improvement over the base model. These features were also applied to other deep learning models, showing a 35.0% improvement, proving their versatility and effectiveness. SHARP-Net thus provides a powerful and efficient solution for accurate semantic segmentation in challenging real-world scenarios.
Challenge Summary U-MedSAM: Uncertainty-aware MedSAM for Medical Image Segmentation
Authors: Xin Wang, Xiaoyu Liu, Peng Huang, Pu Huang, Shu Hu, Hongtu Zhu
Date: 2024-08-03 00:00:00
Tasks: Image Segmentation, Medical Image Segmentation, Semantic Segmentation

Medical Image Foundation Models have proven to be powerful tools for mask prediction across various datasets. However, accurately assessing the uncertainty of their predictions remains a significant challenge. To address this, we propose a new model, U-MedSAM, which integrates the MedSAM model with an uncertainty-aware loss function and the Sharpness-Aware Minimization (SharpMin) optimizer. The uncertainty-aware loss function automatically combines region-based, distribution-based, and pixel-based loss designs to enhance segmentation accuracy and robustness. SharpMin improves generalization by finding flat minima in the loss landscape, thereby reducing overfitting. Our method was evaluated in the CVPR24 MedSAM on Laptop challenge, where U-MedSAM demonstrated promising performance.
Tree species classification at the pixel-level using deep learning and multispectral time series in an imbalanced context
Authors: Florian Mouret, David Morin, Milena Planells, Cécile Vincent-Barbaroux
Date: 2024-08-05 00:00:00
Tasks: Time Series

This paper investigates tree species classification using Sentinel-2 multispectral satellite image time-series. Despite their critical importance for many applications, such maps are often unavailable, outdated, or inaccurate for large areas. The interest of using remote sensing time series to produce these maps has been highlighted in many studies. However, many methods proposed in the literature still rely on a standard classification algorithm, usually the Random Forest (RF) algorithm with vegetation indices. This study shows that the use of deep learning models can lead to a significant improvement in classification results, especially in an imbalanced context where the RF algorithm tends to predict towards the majority class. In our use case in the center of France with 10 tree species, we obtain an overall accuracy (OA) around 95% and a F1-macro score around 80% using three different benchmark deep learning architectures. In contrast, using the RF algorithm yields an OA of 93% and an F1 of 60%, indicating that the minority classes are not classified with sufficient accuracy. Therefore, the proposed framework is a strong baseline that can be easily implemented in most scenarios, even with a limited amount of reference data. Our results highlight that standard multilayer perceptron can be competitive with batch normalization and a sufficient amount of parameters. Other architectures (convolutional or attention-based) can also achieve strong results when tuned properly. Furthermore, our results show that DL models are naturally robust to imbalanced data, although similar results can be obtained using dedicated techniques.
VACoDe: Visual Augmented Contrastive Decoding
Authors: Sihyeon Kim, Boryeong Cho, Sangmin Bae, Sumyeong Ahn, Se-Young Yun
Date: 2024-07-26 00:00:00

Despite the astonishing performance of recent Large Vision-Language Models (LVLMs), these models often generate inaccurate responses. To address this issue, previous studies have focused on mitigating hallucinations by employing contrastive decoding (CD) with augmented images, which amplifies the contrast with the original image. However, these methods have limitations, including reliance on a single augmentation, which is restrictive for certain tasks, as well as the high cost of using external knowledge. In this study, we address these limitations by exploring how to utilize multiple image augmentations. Through extensive experiments, we observed that different augmentations produce varying levels of contrast depending on the task. Based on this observation, we introduce a novel method called VACoDe, Visual Augmented Contrastive Decoding. This method adaptively selects the augmentation with the highest contrast for each task using the proposed softmax distance metric. Our empirical tests show that \alg outperforms previous methods and improves output quality in various vision-language tasks. Additionally, VACoDe can be universally applied across different model types and sizes without additional training or the use of external models and data.
PreciseControl: Enhancing Text-To-Image Diffusion Models with Fine-Grained Attribute Control
Authors: Rishubh Parihar, Sachidanand VS, Sabariswaran Mani, Tejan Karmali, R. Venkatesh Babu
Date: 2024-07-24 00:00:00
Tasks: Attribute, continuous-control, Continuous Control

Recently, we have seen a surge of personalization methods for text-to-image (T2I) diffusion models to learn a concept using a few images. Existing approaches, when used for face personalization, suffer to achieve convincing inversion with identity preservation and rely on semantic text-based editing of the generated face. However, a more fine-grained control is desired for facial attribute editing, which is challenging to achieve solely with text prompts. In contrast, StyleGAN models learn a rich face prior and enable smooth control towards fine-grained attribute editing by latent manipulation. This work uses the disentangled $\mathcal{W+}$ space of StyleGANs to condition the T2I model. This approach allows us to precisely manipulate facial attributes, such as smoothly introducing a smile, while preserving the existing coarse text-based control inherent in T2I models. To enable conditioning of the T2I model on the $\mathcal{W+}$ space, we train a latent mapper to translate latent codes from $\mathcal{W+}$ to the token embedding space of the T2I model. The proposed approach excels in the precise inversion of face images with attribute preservation and facilitates continuous control for fine-grained attribute editing. Furthermore, our approach can be readily extended to generate compositions involving multiple individuals. We perform extensive experiments to validate our method for face personalization and fine-grained attribute editing.
Segment Anything for Videos: A Systematic Survey
Authors: Chunhui Zhang, Yawen Cui, Weilin Lin, Guanjie Huang, Yan Rong, Li Liu, Shiguang Shan
Date: 2024-07-31 00:00:00
Tasks: Image Segmentation, Robot Manipulation Generalization, Semantic Segmentation, Survey, Video Editing, Video Generation, Video Understanding, Zero-shot Generalization

The recent wave of foundation models has witnessed tremendous success in computer vision (CV) and beyond, with the segment anything model (SAM) having sparked a passion for exploring task-agnostic visual foundation models. Empowered by its remarkable zero-shot generalization, SAM is currently challenging numerous traditional paradigms in CV, delivering extraordinary performance not only in various image segmentation and multi-modal segmentation (\eg, text-to-mask) tasks, but also in the video domain. Additionally, the latest released SAM 2 is once again sparking research enthusiasm in the realm of promptable visual segmentation for both images and videos. However, existing surveys mainly focus on SAM in various image processing tasks, a comprehensive and in-depth review in the video domain is notably absent. To address this gap, this work conducts a systematic review on SAM for videos in the era of foundation models. As the first to review the progress of SAM for videos, this work focuses on its applications to various tasks by discussing its recent advances, and innovation opportunities of developing foundation models on broad applications. We begin with a brief introduction to the background of SAM and video-related research domains. Subsequently, we present a systematic taxonomy that categorizes existing methods into three key areas: video understanding, video generation, and video editing, analyzing and summarizing their advantages and limitations. Furthermore, comparative results of SAM-based and current state-of-the-art methods on representative benchmarks, as well as insightful analysis are offered. Finally, we discuss the challenges faced by current research and envision several future research directions in the field of SAM for video and beyond.
CLIP-DPO: Vision-Language Models as a Source of Preference for Fixing Hallucinations in LVLMs
Authors: Yassine Ouali, Adrian Bulat, Brais Martinez, Georgios Tzimiropoulos
Date: 2024-08-19 00:00:00
Tasks: Hallucination, zero-shot-classification, Zero-Shot Learning

Despite recent successes, LVLMs or Large Vision Language Models are prone to hallucinating details like objects and their properties or relations, limiting their real-world deployment. To address this and improve their robustness, we present CLIP-DPO, a preference optimization method that leverages contrastively pre-trained Vision-Language (VL) embedding models, such as CLIP, for DPO-based optimization of LVLMs. Unlike prior works tackling LVLM hallucinations, our method does not rely on paid-for APIs, and does not require additional training data or the deployment of other external LVLMs. Instead, starting from the initial pool of supervised fine-tuning data, we generate a diverse set of predictions, which are ranked based on their CLIP image-text similarities, and then filtered using a robust rule-based approach to obtain a set of positive and negative pairs for DPO-based training. We applied CLIP-DPO fine-tuning to the MobileVLM-v2 family of models and to LlaVA-1.5, in all cases observing significant improvements in terms of hallucination reduction over baseline models. We also observe better performance for zero-shot classification, suggesting improved grounding capabilities, and verify that the original performance on standard LVLM benchmarks is overall preserved.
LSVOS Challenge 3rd Place Report: SAM2 and Cutie based VOS
Authors: Xinyu Liu, Jing Zhang, Kexin Zhang, Xu Liu, Lingling Li
Date: 2024-08-20 00:00:00
Tasks: Instance Segmentation, Object, Segmentation, Semantic Segmentation, Video Instance Segmentation, Video Object Segmentation, Video Semantic Segmentation

Video Object Segmentation (VOS) presents several challenges, including object occlusion and fragmentation, the dis-appearance and re-appearance of objects, and tracking specific objects within crowded scenes. In this work, we combine the strengths of the state-of-the-art (SOTA) models SAM2 and Cutie to address these challenges. Additionally, we explore the impact of various hyperparameters on video instance segmentation performance. Our approach achieves a J\&F score of 0.7952 in the testing phase of LSVOS challenge VOS track, ranking third overall.