pwc-archive/papers-with-abstracts huggingface dataset:
Multi-Industry Simplex 2.0 : Temporally-Evolving Probabilistic Industry Classification
Authors: Maksim Papenkov
Date: 2024-07-23 00:00:00

Accurate industry classification is critical for many areas of portfolio management, yet the traditional single-industry framework of the Global Industry Classification Standard (GICS) struggles to comprehensively represent risk for highly diversified multi-sector conglomerates like Amazon. Previously, we introduced the Multi-Industry Simplex (MIS), a probabilistic extension of GICS that utilizes topic modeling, a natural language processing approach. Although our initial version, MIS-1, was able to improve upon GICS by providing multi-industry representations, it relied on an overly simple architecture that required prior knowledge about the number of industries and relied on the unrealistic assumption that industries are uncorrelated and independent over time. We improve upon this model with MIS-2, which addresses three key limitations of MIS-1 : we utilize Bayesian Non-Parametrics to automatically infer the number of industries from data, we employ Markov Updating to account for industries that change over time, and we adjust for correlated and hierarchical industries allowing for both broad and niche industries (similar to GICS). Further, we provide an out-of-sample test directly comparing MIS-2 and GICS on the basis of future correlation prediction, where we find evidence that MIS-2 provides a measurable improvement over GICS. MIS-2 provides portfolio managers with a more robust tool for industry classification, empowering them to more effectively identify and manage risk, particularly around multi-sector conglomerates in a rapidly evolving market in which new industries periodically emerge.
Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
Authors: Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu
Date: 2024-07-23 00:00:00

We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. Using large deviations theory methods, the asymptotics for the OTM options are expressed as a two-dimensional variational problem, which is reduced to an extremal problem for a function of two real variables. This extremal problem is solved explicitly in an expansion in log-moneyness. We derive series expansions for the implied volatility for European and VIX options which should be useful for model calibration. We give explicit results for two classes of local-stochastic volatility models relevant in practice, with Heston-type and SABR-type stochastic volatility. The leading-order asymptotics for at-the-money options are computed in closed-form. The asymptotic results reproduce known results in the literature for the Heston and SABR models and for the uncorrelated local-stochastic volatility model. The asymptotic results are tested against numerical simulations for a local-stochastic volatility model with bounded local volatility.
On the Separability of Vector-Valued Risk Measures
Authors: Çağın Ararat, Zachary Feinstein
Date: 2024-07-23 00:00:00
Tasks: Decision Making

Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a random vector its set of all capital requirements or allocation vectors, the actual decision-making process requires an additional rule to select from this set. In this paper, we define vector-valued risk measures by an analogous list of axioms and show that, in the convex and lower semicontinuous case, such functionals always ignore the dependence structures of the input random vectors. We also show that set-valued risk measures do not have this issue as long as they do not reduce to a vector-valued functional. Finally, we demonstrate that our results also generalize to the conditional setting. These results imply that convex vector-valued risk measures are not suitable for defining capital allocation rules for a wide range of financial applications including systemic risk measures.
Counter-monotonic risk allocations and distortion risk measures
Authors: Mario Ghossoub, Qinghua Ren, Ruodu Wang
Date: 2024-07-22 00:00:00

In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular, Pareto optima in such a setting may not necessarily be comonotonic, in contrast to the case of risk-averse agents. In fact, when market participants are risk-seeking, Pareto-optimal allocations are counter-monotonic. Counter-monotonicity of Pareto optima also arises in some situations for quantile-optimizing agents. In this paper, we provide a systematic study of efficient risk sharing in markets where allocations are constrained to be counter-monotonic. The preferences of the agents are modelled by a common distortion risk measure, or equivalently, by a common Yaari dual utility. We consider three different settings: risk-averse agents, risk-seeking agents, and those with an inverse S-shaped distortion function. In each case, we provide useful characterizations of optimal allocations, for both the counter-monotonic market and the unconstrained market. To illustrate our results, we consider an application to a portfolio choice problem for a portfolio manager tasked with managing the investments of a group of clients, with varying levels of risk aversion or risk seeking. We determine explicitly the optimal investment strategies in this case. Our results confirm the intuition that a manager investing on behalf of risk-seeking agents tends to invest more in risky assets than a manager acting on behalf of risk-averse agents.
Automated Market Making and Decentralized Finance
Authors: Marcello Monga
Date: 2024-07-23 00:00:00

Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading function determines how markets are cleared. Within CFMMs, we focus on constant product market makers (CPMMs) which implements the concentrated liquidity (CL) feature. In this thesis we formalise and study the trading mechanism of CPMMs with CL, and we develop liquidity provision and liquidity taking strategies. Our models are motivated and tested with market data. We derive optimal strategies for liquidity takers (LTs) who trade orders of large size and execute statistical arbitrages. First, we consider an LT who trades in a CPMM with CL and uses the dynamics of prices in competing venues as market signals. We use Uniswap v3 data to study price, liquidity, and trading cost dynamics, and to motivate the model. Next, we consider an LT who trades a basket of crypto-currencies whose constituents co-move. We use market data to study lead-lag effects, spillover effects, and causality between trading venues. We derive optimal strategies for strategic liquidity providers (LPs) who provide liquidity in CPMM with CL. First, we use stochastic control tools to derive a self-financing and closed-form optimal liquidity provision strategy where the width of the LP's liquidity range is determined by the profitability of the pool, the dynamics of the LP's position, and concentration risk. Next, we use a model-free approach to solve the problem of an LP who provides liquidity in multiple CPMMs with CL. We do not specify a model for the stochastic processes observed by LPs, and use a long short-term memory (LSTM) neural network to approximate the optimal liquidity provision strategy.
Learning from Memory: Non-Parametric Memory Augmented Self-Supervised Learning of Visual Features
Authors: Thalles Silva, Helio Pedrini, Adín Ramírez Rivera
Date: 2024-07-03 00:00:00
Tasks: Image Retrieval, Retrieval, Self-Supervised Learning, Transfer Learning

This paper introduces a novel approach to improving the training stability of self-supervised learning (SSL) methods by leveraging a non-parametric memory of seen concepts. The proposed method involves augmenting a neural network with a memory component to stochastically compare current image views with previously encountered concepts. Additionally, we introduce stochastic memory blocks to regularize training and enforce consistency between image views. We extensively benchmark our method on many vision tasks, such as linear probing, transfer learning, low-shot classification, and image retrieval on many datasets. The experimental results consolidate the effectiveness of the proposed approach in achieving stable SSL training without additional regularizers while learning highly transferable representations and requiring less computing time and resources.
Robust Adaptation of Foundation Models with Black-Box Visual Prompting
Authors: Changdae Oh, Gyeongdeok Seo, Geunyoung Jung, Zhi-Qi Cheng, Hosik Choi, Jiyoung Jung, Kyungwoo Song
Date: 2024-07-04 00:00:00
Tasks: Transfer Learning, Visual Prompting

With the surge of large-scale pre-trained models (PTMs), adapting these models to numerous downstream tasks becomes a crucial problem. Consequently, parameter-efficient transfer learning (PETL) of large models has grasped huge attention. While PETL methods show impressive performance, they commonly rely on two optimistic assumptions: 1) the entire parameters of a PTM are available, and 2) a sufficiently large memory capacity is equipped for caching all the intermediate activations to compute gradients. However, in most real-world applications, PTMs are served as black-box APIs or proprietary software without explicit parameter accessibility. Besides, it is hard to meet a large memory requirement for modern PTMs. This work proposes black-box visual prompting (BlackVIP), which efficiently adapts the PTMs without knowledge about model architectures and parameters. BlackVIP has two components; 1) Coordinator and 2) simultaneous perturbation stochastic approximation with gradient correction (SPSA-GC). The Coordinator designs input-dependent visual prompts, which allow the target PTM to adapt in the wild. SPSA-GC efficiently estimates the gradient of PTM to update the Coordinator. Besides, we propose a variant, BlackVIP-SE, which significantly reduces the runtime and computational cost of BlackVIP. Extensive experiments on 19 datasets demonstrate that BlackVIPs enable robust adaptation to diverse domains and tasks with minimal memory requirements. We further provide theoretical analysis on the generalization of visual prompting methods by presenting their connection to the certified robustness of randomized smoothing.
Challenges and Considerations in Annotating Legal Data: A Comprehensive Overview
Authors: Harshil Darji, Jelena Mitrović, Michael Granitzer
Date: 2024-07-05 00:00:00

The process of annotating data within the legal sector is filled with distinct challenges that differ from other fields, primarily due to the inherent complexities of legal language and documentation. The initial task usually involves selecting an appropriate raw dataset that captures the intricate aspects of legal texts. Following this, extracting text becomes a complicated task, as legal documents often have complex structures, footnotes, references, and unique terminology. The importance of data cleaning is magnified in this context, ensuring that redundant information is eliminated while maintaining crucial legal details and context. Creating comprehensive yet straightforward annotation guidelines is imperative, as these guidelines serve as the road map for maintaining uniformity and addressing the subtle nuances of legal terminology. Another critical aspect is the involvement of legal professionals in the annotation process. Their expertise is valuable in ensuring that the data not only remains contextually accurate but also adheres to prevailing legal standards and interpretations. This paper provides an expanded view of these challenges and aims to offer a foundational understanding and guidance for researchers and professionals engaged in legal data annotation projects. In addition, we provide links to our created and fine-tuned datasets and language models. These resources are outcomes of our discussed projects and solutions to challenges faced while working on them.
The #Somos600M Project: Generating NLP resources that represent the diversity of the languages from LATAM, the Caribbean, and Spain
Authors: María Grandury
Date: 2024-07-01 00:00:00
Tasks: Diversity

We are 600 million Spanish speakers. We launched the #Somos600M Project because the diversity of the languages from LATAM, the Caribbean and Spain needs to be represented in Artificial Intelligence (AI) systems. Despite being the 7.5% of the world population, there is no open dataset to instruction-tune large language models (LLMs), nor a leaderboard to evaluate and compare them. In this paper, we present how we have created as an international open-source community the first versions of the instruction and evaluation datasets, indispensable resources for the advancement of Natural Language Processing (NLP) in our languages.
Real-Time Automated donning and doffing detection of PPE based on Yolov4-tiny
Authors: Anusha Verma, Ghazal Ghajari, K M Tawsik Jawad, Dr. Hugh P. Salehi, Dr. Fathi Amsaad
Date: 2024-06-10 00:00:00
Tasks: object-detection, Object Detection, Real-Time Object Detection

Maintaining patient safety and the safety of healthcare workers (HCWs) in hospitals and clinics highly depends on following the proper protocol for donning and taking off personal protective equipment (PPE). HCWs can benefit from a feedback system during the putting on and removal process because the process is cognitively demanding and errors are common. Centers for Disease Control and Prevention (CDC) provided guidelines for correct PPE use which should be followed. A real time object detection along with a unique sequencing algorithms are used to identify and determine the donning and doffing process in real time. The purpose of this technical research is two-fold: The user gets real time alert to the step they missed in the sequence if they don't follow the proper procedure during donning or doffing. Secondly, the use of tiny machine learning (yolov4-tiny) in embedded system architecture makes it feasible and cost-effective to deploy in different healthcare settings.
Dynamic Universal Approximation Theory: The Basic Theory for Deep Learning-Based Computer Vision Models
Authors: Wei Wang, Qing Li
Date: 2024-07-02 00:00:00

Computer vision (CV) is one of the most crucial fields in artificial intelligence. In recent years, a variety of deep learning models based on convolutional neural networks (CNNs) and Transformers have been designed to tackle diverse problems in CV. These algorithms have found practical applications in areas such as robotics and facial recognition. Despite the increasing power of current CV models, several fundamental questions remain unresolved: Why do CNNs require deep layers? What ensures the generalization ability of CNNs? Why do residual-based networks outperform fully convolutional networks like VGG? What is the fundamental difference between residual-based CNNs and Transformer-based networks? Why can CNNs utilize LoRA and pruning techniques? The root cause of these questions lies in the lack of a robust theoretical foundation for deep learning models in CV. To address these critical issues and techniques, we employ the Universal Approximation Theorem (UAT) to provide a theoretical basis for convolution- and Transformer-based models in CV. By doing so, we aim to elucidate these questions from a theoretical perspective.
Model Collapse in the Self-Consuming Chain of Diffusion Finetuning: A Novel Perspective from Quantitative Trait Modeling
Authors: Youngseok Yoon, Dainong Hu, Iain Weissburg, Yao Qin, Haewon Jeong
Date: 2024-07-04 00:00:00
Tasks: Image Generation, Scheduling

The success of generative models has reached a unique threshold where their outputs are indistinguishable from real data, leading to the inevitable contamination of future data collection pipelines with synthetic data. While their potential to generate infinite samples initially offers promise for reducing data collection costs and addressing challenges in data-scarce fields, the severe degradation in performance has been observed when iterative loops of training and generation occur -- known as ``model collapse.'' This paper explores a practical scenario in which a pretrained text-to-image diffusion model is finetuned using synthetic images generated from a previous iteration, a process we refer to as the ``Chain of Diffusion.'' We first demonstrate the significant degradation in image quality caused by this iterative process and identify the key factor driving this decline through rigorous empirical investigations. Drawing an analogy between the Chain of Diffusion and biological evolution, we then introduce a novel theoretical analysis based on quantitative trait modeling. Our theoretical analysis aligns with empirical observations of the generated images in the Chain of Diffusion. Finally, we propose Reusable Diffusion Finetuning (ReDiFine), a simple yet effective strategy inspired by genetic mutations. ReDiFine mitigates model collapse without requiring any hyperparameter tuning, making it a plug-and-play solution for reusable image generation.
CORT: Class-Oriented Real-time Tracking for Embedded Systems
Authors: Edoardo Cittadini, Alessandro De Siena, Giorgio Buttazzo
Date: 2024-07-20 00:00:00
Tasks: Autonomous Driving, Multi-Object Tracking, Object Tracking

The ever-increasing use of artificial intelligence in autonomous systems has significantly contributed to advance the research on multi-object tracking, adopted in several real-time applications (e.g., autonomous driving, surveillance drones, robotics) to localize and follow the trajectory of multiple objects moving in front of a camera. Current tracking algorithms can be divided into two main categories: some approaches introduce complex heuristics and re-identification models to improve the tracking accuracy and reduce the number of identification switches, without particular attention to the timing performance, whereas other approaches are aimed at reducing response times by removing the re-identification phase, thus penalizing the tracking accuracy. This work proposes a new approach to multi-class object tracking that allows achieving smaller and more predictable execution times, without penalizing the tracking performance. The idea is to reduce the problem of matching predictions with detections into smaller sub-problems by splitting the Hungarian matrix by class and invoking the second re-identification stage only when strictly necessary for a smaller number of elements. The proposed solution was evaluated in complex urban scenarios with several objects of different types (as cars, trucks, bikes, and pedestrians), showing the effectiveness of the multi-class approach with respect to state of the art trackers.
StreamTinyNet: video streaming analysis with spatial-temporal TinyML
Authors: Hazem Hesham Yousef Shalby, Massimo Pavan, Manuel Roveri
Date: 2024-07-22 00:00:00
Tasks: Edge-computing

Tiny Machine Learning (TinyML) is a branch of Machine Learning (ML) that constitutes a bridge between the ML world and the embedded system ecosystem (i.e., Internet of Things devices, embedded devices, and edge computing units), enabling the execution of ML algorithms on devices constrained in terms of memory, computational capabilities, and power consumption. Video Streaming Analysis (VSA), one of the most interesting tasks of TinyML, consists in scanning a sequence of frames in a streaming manner, with the goal of identifying interesting patterns. Given the strict constraints of these tiny devices, all the current solutions rely on performing a frame-by-frame analysis, hence not exploiting the temporal component in the stream of data. In this paper, we present StreamTinyNet, the first TinyML architecture to perform multiple-frame VSA, enabling a variety of use cases that requires spatial-temporal analysis that were previously impossible to be carried out at a TinyML level. Experimental results on public-available datasets show the effectiveness and efficiency of the proposed solution. Finally, StreamTinyNet has been ported and tested on the Arduino Nicla Vision, showing the feasibility of what proposed.
AI in Remote Patient Monitoring
Authors: Nishargo Nigar
Date: 2024-07-04 00:00:00

The rapid evolution of Artificial Intelligence (AI) has significantly transformed healthcare, particularly in the domain of Remote Patient Monitoring (RPM). This chapter explores the integration of AI in RPM, highlighting real-life applications, system architectures, and the benefits it brings to patient care and healthcare systems. Through a comprehensive analysis of current technologies, methodologies, and case studies, I present a detailed overview of how AI enhances monitoring accuracy, predictive analytics, and personalized treatment plans. The chapter also discusses the challenges and future directions in this field, providing a comprehensive view of AI's role in revolutionizing remote patient care.
Quality Diversity for Robot Learning: Limitations and Future Directions
Authors: Sumeet Batra, Bryon Tjanaka, Stefanos Nikolaidis, Gaurav Sukhatme
Date: 2024-07-09 00:00:00
Tasks: Diversity

Quality Diversity (QD) has shown great success in discovering high-performing, diverse policies for robot skill learning. While current benchmarks have led to the development of powerful QD methods, we argue that new paradigms must be developed to facilitate open-ended search and generalizability. In particular, many methods focus on learning diverse agents that each move to a different xy position in MAP-Elites-style bounded archives. Here, we show that such tasks can be accomplished with a single, goal-conditioned policy paired with a classical planner, achieving O(1) space complexity w.r.t. the number of policies and generalization to task variants. We hypothesize that this approach is successful because it extracts task-invariant structural knowledge by modeling a relational graph between adjacent cells in the archive. We motivate this view with emerging evidence from computational neuroscience and explore connections between QD and models of cognitive maps in human and other animal brains. We conclude with a discussion exploring the relationships between QD and cognitive maps, and propose future research directions inspired by cognitive maps towards future generalizable algorithms capable of truly open-ended search.
Quelle {é}thique pour quelle IA ?
Authors: David Doat
Date: 2024-05-21 00:00:00
Tasks: Ethics, Philosophy

This study proposes an analysis of the different types of ethical approaches involved in the ethics of AI, and situates their interests and limits. First, the author introduces to the contemporary need for and meaning of ethics. He distinguishes it from other registers of normativities and underlines its inadequacy to formalization. He then presents a cartography of the landscape of ethical theories covered by moral philosophy, taking care to distinguish meta-ethics, normative ethics and applied ethics. In drawing up this overview, the author questions the relationship between ethics and artificial intelligence. The analysis focuses in particular on the main ethical currents that have imposed themselves in the ways of doing digital ethics and AI in our Western democracies. The author asks whether these practices of ethics, as they seem to crystallize today in a precise pattern, constitute a sufficient and sufficiently satisfactory response to our needs for ethics in AI. The study concludes with a reflection on the reasons why a human ethics of AI based on a pragmatic practice of contextual ethics remains necessary and irreducible to any formalization or automated treatment of the ethical questions that arise for humans.