pwc-archive/papers-with-abstracts huggingface dataset:
Predictive Modeling, Pattern Recognition, and Spatiotemporal Representations of Plant Growth in Simulated and Controlled Environments: A Comprehensive Review
Authors: Mohamed Debbagh, Shangpeng Sun, Mark Lefsrud
Date: 2024-12-13 00:00:00

Accurate predictions and representations of plant growth patterns in simulated and controlled environments are important for addressing various challenges in plant phenomics research. This review explores various works on state-of-the-art predictive pattern recognition techniques, focusing on the spatiotemporal modeling of plant traits and the integration of dynamic environmental interactions. We provide a comprehensive examination of deterministic, probabilistic, and generative modeling approaches, emphasizing their applications in high-throughput phenotyping and simulation-based plant growth forecasting. Key topics include regressions and neural network-based representation models for the task of forecasting, limitations of existing experiment-based deterministic approaches, and the need for dynamic frameworks that incorporate uncertainty and evolving environmental feedback. This review surveys advances in 2D and 3D structured data representations through functional-structural plant models and conditional generative models. We offer a perspective on opportunities for future works, emphasizing the integration of domain-specific knowledge to data-driven methods, improvements to available datasets, and the implementation of these techniques toward real-world applications.
MiCull2 -- simulating mastitis transmission through milking order
Authors: Maya Gussmann, Carsten Kirkeby, Lars Rönnegård
Date: 2024-12-13 00:00:00

Contagious mastitis pathogens can be transmitted through milking. However, previously published simulation models, such as MiCull, have not directly taken this into account. We have reimplemented the MiCull model to model transmission of contagious mastitis pathogens through milking in a milking parlor. This additional complexity requires a substantial increase in computations and a need to structure the program code to make it more flexible for future use. The aim of this paper was threefold: First, to implement the new model in a faster programming language; secondly, to describe the new model, in particular transmission of a contagious mastitis pathogen through milking; and thirdly, to compare three different milking order strategies in regards to prevalence and incidence of intramammary infections. For each scenario, 500 herds with 200 cows each were simulated over 10 years. The model was calibrated using available mastitis parameters from the literature. We hypothesized that milking order should have a considerable effect on disease transmission, especially if the infected cows with clinical enter the milking parlor first and thereby have a high risk of infecting the following cows. The milking order scenarios examined were random milking order and milking clinical cases first, or last. Unexpectedly, there were no large differences between these scenarios for reasonably sized infection rates corresponding to a herd with a moderate level of clinical mastitis in the herd. Larger differences are expected to be found in herds with very high infection rates. We have developed a transmission simulation model of mastitis pathogens using a new mode of transmission by milking order. We expect that this new version of MiCull will be useful for both researchers and advisors since it is flexible, can be fitted to various in-herd situations and the computations are fast.
Pre-trained protein language model for codon optimization
Authors: Shashank Pathak, Guohui Lin
Date: 2024-12-08 00:00:00
Tasks: Language Modeling, Language Modelling, model, Protein Language Model

Motivation: Codon optimization of Open Reading Frame (ORF) sequences is essential for enhancing mRNA stability and expression in applications like mRNA vaccines, where codon choice can significantly impact protein yield which directly impacts immune strength. In this work, we investigate the use of a pre-trained protein language model (PPLM) for getting a rich representation of amino acids which could be utilized for codon optimization. This leaves us with a simpler fine-tuning task over PPLM in optimizing ORF sequences. Results: The ORFs generated by our proposed models outperformed their natural counterparts encoding the same proteins on computational metrics for stability and expression. They also demonstrated enhanced performance against the benchmark ORFs used in mRNA vaccines for the SARS-CoV-2 viral spike protein and the varicella-zoster virus (VZV). These results highlight the potential of adapting PPLM for designing ORFs tailored to encode target antigens in mRNA vaccines.
Computational Methods for Breast Cancer Molecular Profiling through Routine Histopathology: A Review
Authors: Suchithra Kunhoth, Somaya Al- Maadeed, Younes Akbari, Rafif Al Saady
Date: 2024-12-01 00:00:00
Tasks: Diagnostic, Prognosis

Precision medicine has become a central focus in breast cancer management, advancing beyond conventional methods to deliver more precise and individualized therapies. Traditionally, histopathology images have been used primarily for diagnostic purposes; however, they are now recognized for their potential in molecular profiling, which provides deeper insights into cancer prognosis and treatment response. Recent advancements in artificial intelligence (AI) have enabled digital pathology to analyze histopathologic images for both targeted molecular and broader omic biomarkers, marking a pivotal step in personalized cancer care. These technologies offer the capability to extract various biomarkers such as genomic, transcriptomic, proteomic, and metabolomic markers directly from the routine hematoxylin and eosin (H&E) stained images, which can support treatment decisions without the need for costly molecular assays. In this work, we provide a comprehensive review of AI-driven techniques for biomarker detection, with a focus on diverse omic biomarkers that allow novel biomarker discovery. Additionally, we analyze the major challenges faced in this field for robust algorithm development. These challenges highlight areas where further research is essential to bridge the gap between AI research and clinical application.
S&P 500 Trend Prediction
Authors: Shasha Yu, Qinchen Zhang, Yuwei Zhao
Date: 2024-12-16 00:00:00
Tasks: Feature Engineering, Feature Importance, feature selection, Missing Values, Prediction

This project aims to predict short-term and long-term upward trends in the S&P 500 index using machine learning models and feature engineering based on the "101 Formulaic Alphas" methodology. The study employed multiple models, including Logistic Regression, Decision Trees, Random Forests, Neural Networks, K-Nearest Neighbors (KNN), and XGBoost, to identify market trends from historical stock data collected from Yahoo! Finance. Data preprocessing involved handling missing values, standardization, and iterative feature selection to ensure relevance and variability. For short-term predictions, KNN emerged as the most effective model, delivering robust performance with high recall for upward trends, while for long-term forecasts, XGBoost demonstrated the highest accuracy and AUC scores after hyperparameter tuning and class imbalance adjustments using SMOTE. Feature importance analysis highlighted the dominance of momentum-based and volume-related indicators in driving predictions. However, models exhibited limitations such as overfitting and low recall for positive market movements, particularly in imbalanced datasets. The study concludes that KNN is ideal for short-term alerts, whereas XGBoost is better suited for long-term trend forecasting. Future enhancements could include advanced architectures like Long Short-Term Memory (LSTM) networks and further feature refinement to improve precision and generalizability. These findings contribute to developing reliable machine learning tools for market trend prediction and investment decision-making.
Simulation of square-root processes made simple: applications to the Heston model
Authors: Eduardo Abi Jaber
Date: 2024-12-15 00:00:00

We introduce a simple, efficient and accurate nonnegative preserving numerical scheme for simulating the square-root process. The novel idea is to simulate the integrated square-root process first instead of the square-root process itself. Numerical experiments on realistic parameter sets, applied for the integrated process and the Heston model, display high precision with a very low number of time steps. As a bonus, our scheme yields the exact limiting Inverse Gaussian distributions of the integrated square-root process with only one single time-step in two scenarios: (i) for high mean-reversion and volatility-of-volatility regimes, regardless of maturity; and (ii) for long maturities, independent of the other parameters.
From Votes to Volatility Predicting the Stock Market on Election Day
Authors: Igor L. R. Azevedo, Toyotaro Suzumura
Date: 2024-12-15 00:00:00

Stock market forecasting has been a topic of extensive research, aiming to provide investors with optimal stock recommendations for higher returns. In recent years, this field has gained even more attention due to the widespread adoption of deep learning models. While these models have achieved impressive accuracy in predicting stock behavior, tailoring them to specific scenarios has become increasingly important. Election Day represents one such critical scenario, characterized by intensified market volatility, as the winning candidate's policies significantly impact various economic sectors and companies. To address this challenge, we propose the Election Day Stock Market Forecasting (EDSMF) Model. Our approach leverages the contextual capabilities of large language models alongside specialized agents designed to analyze the political and economic consequences of elections. By building on a state-of-the-art architecture, we demonstrate that EDSMF improves the predictive performance of the S&P 500 during this uniquely volatile day.
Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach
Authors: Huy Chau, Duy Nguyen, Thai Nguyen
Date: 2024-12-14 00:00:00
Tasks: Reinforcement Learning (RL)

In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that includes widely-used financial regulations such as short-selling constraints and borrowing prohibition. The optimal feedback policy of the exploratory unconstrained classical EU problem is shown to be Gaussian. In the case where the portfolio weight is constrained to a given interval, the corresponding constrained optimal exploratory policy follows a truncated Gaussian distribution. We verify that the closed form optimal solution obtained for logarithmic utility and quadratic utility for both unconstrained and constrained situations converge to the non-exploratory expected utility counterpart when the exploration weight goes to zero. Finally, we establish a policy improvement theorem and devise an implementable reinforcement learning algorithm by casting the optimal problem in a martingale framework. Our numerical examples show that exploration leads to an optimal wealth process that is more dispersedly distributed with heavier tail compared to that of the case without exploration. This effect becomes less significant as the exploration parameter is smaller. Moreover, the numerical implementation also confirms the intuitive understanding that a broader domain of investment opportunities necessitates a higher exploration cost. Notably, when subjected to both short-selling and money borrowing constraints, the exploration cost becomes negligible compared to the unconstrained case.
Replica del valor de un pool (CPM) y hedging de perdidas impermanentes
Authors: Agustín Muñoz González, Juan I. Sequeira y Ariel Dembling
Date: 2024-12-12 00:00:00

This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a combination of European calls and puts. We will formulate a result to guarantee coverage for any final price that falls within a predefined range.
PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning
Authors: Siqiao Zhao, Dan Wang, Raphael Douady
Date: 2024-12-15 00:00:00
Tasks: feature selection, Portfolio Optimization

The domain of hedge fund investments is undergoing significant transformation, influenced by the rapid expansion of data availability and the advancement of analytical technologies. This study explores the enhancement of hedge fund investment performance through the integration of machine learning techniques, the application of PolyModel feature selection, and the analysis of fund size. We address three critical questions: (1) the effect of machine learning on trading performance, (2) the role of PolyModel feature selection in fund selection and performance, and (3) the comparative reliability of larger versus smaller funds. Our findings offer compelling insights. We observe that while machine learning techniques enhance cumulative returns, they also increase annual volatility, indicating variability in performance. PolyModel feature selection proves to be a robust strategy, with approaches that utilize a comprehensive set of features for fund selection outperforming more selective methodologies. Notably, Long-Term Stability (LTS) effectively manages portfolio volatility while delivering favorable returns. Contrary to popular belief, our results suggest that larger funds do not consistently yield better investment outcomes, challenging the assumption of their inherent reliability. This research highlights the transformative impact of data-driven approaches in the hedge fund investment arena and provides valuable implications for investors and asset managers. By leveraging machine learning and PolyModel feature selection, investors can enhance portfolio optimization and reassess the dependability of larger funds, leading to more informed investment strategies.
Multivariate Distributions in Non-Stationary Complex Systems II: Empirical Results for Correlated Stock Markets
Authors: Anton J. Heckens, Efstratios Manolakis, Cedric Schuhmann, Thomas Guhr
Date: 2024-12-16 00:00:00

Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the non-stationarity typically found in complex systems. Here, we apply these results to the returns measured in correlated stock markets. Only the knowledge of the multivariate return distributions allows for a full-fledged risk assessment. We analyze intraday data of 479 US stocks included in the S&P500 index during the trading year of 2014. We focus particularly on the tails which are algebraic and heavy. The non-stationary fluctuations of the correlations make the tails heavier. With the few-parameter formulae of our Random Matrix Model we can describe and quantify how the empirical distributions change for varying time resolution and in the presence of non-stationarity.
Multivariate Distributions in Non-Stationary Complex Systems I: Random Matrix Model and Formulae for Data Analysis
Authors: Efstratios Manolakis, Anton J. Heckens, Thomas Guhr
Date: 2024-12-16 00:00:00

Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy-tailed multivariate distributions of the relevant variables, i.e. their joint probability density functions. Only for few systems, such investigation have been performed. Statistical models are desirable that describe heavy-tailed multivariate distributions, in particular when non-stationarity is present as is typically the case in complex systems. Recently, we put forward such a model based on a separation of time scales. By utilizing random matrices, we showed that the fluctuations of the correlations lift the tails. Here, we present formulae and methods to carry out a data comparisons for complex systems. There are only few fit parameters. Compared to our previous results, we manage to remove in the algebraic cases one out of the two, respectively three, fit parameters which considerably facilitates applications. Furthermore, we explicitly work out the moments of our model distributions. In a forthcoming paper we will apply our model to financial markets.
A Deep Learning Approach for Trading Factor Residuals
Authors: Wo Long, Victor Xiao
Date: 2024-12-16 00:00:00
Tasks: Deep Learning

The residuals in factor models prevalent in asset pricing presents opportunities to exploit the mis-pricing from unexplained cross-sectional variation for arbitrage. We performed a replication of the methodology of Guijarro-Ordonez et al. (2019) (G-P-Z) on Deep Learning Statistical Arbitrage (DLSA), originally applied to U.S. equity data from 1998 to 2016, using a more recent out-of-sample period from 2016 to 2024. Adhering strictly to point-in-time (PIT) principles and ensuring no information leakage, we follow the same data pre-processing, factor modeling, and deep learning architectures (CNNs and Transformers) as outlined by G-P-Z. Our replication yields unusually strong performance metrics in certain tests, with out-of-sample Sharpe ratios occasionally exceeding 10. While such results are intriguing, they may indicate model overfitting, highly specific market conditions, or insufficient accounting for transaction costs and market impact. Further examination and robustness checks are needed to align these findings with the more modest improvements reported in the original study. (This work was conducted as the final project for IEOR 4576: Data-Driven Methods in Finance at Columbia University.)
Higher Order Transformers: Enhancing Stock Movement Prediction On Multimodal Time-Series Data
Authors: Soroush Omranpour, Guillaume Rabusseau, Reihaneh Rabbany
Date: 2024-12-13 00:00:00
Tasks: Decoder, Stock Market Prediction, Tensor Decomposition, Time Series

In this paper, we tackle the challenge of predicting stock movements in financial markets by introducing Higher Order Transformers, a novel architecture designed for processing multivariate time-series data. We extend the self-attention mechanism and the transformer architecture to a higher order, effectively capturing complex market dynamics across time and variables. To manage computational complexity, we propose a low-rank approximation of the potentially large attention tensor using tensor decomposition and employ kernel attention, reducing complexity to linear with respect to the data size. Additionally, we present an encoder-decoder model that integrates technical and fundamental analysis, utilizing multimodal signals from historical prices and related tweets. Our experiments on the Stocknet dataset demonstrate the effectiveness of our method, highlighting its potential for enhancing stock movement prediction in financial markets.
Limit Order Book Event Stream Prediction with Diffusion Model
Authors: Zetao Zheng, Guoan Li, Deqiang Ouyang, Decui Liang, Jie Shao
Date: 2024-11-27 00:00:00
Tasks: Denoising, Point Processes, Prediction

Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events. The challenge lies in modeling the time-event distribution to capture the interdependence between time and event type, which has traditionally relied on stochastic point processes. However, modeling complex market dynamics using stochastic processes, e.g., Hawke stochastic process, can be simplistic and struggle to capture the evolution of market dynamics. In this study, we present LOBDIF (LOB event stream prediction with diffusion model), which offers a new paradigm for event stream prediction within the LOB system. LOBDIF learns the complex time-event distribution by leveraging a diffusion model, which decomposes the time-event distribution into sequential steps, with each step represented by a Gaussian distribution. Additionally, we propose a denoising network and a skip-step sampling strategy. The former facilitates effective learning of time-event interdependence, while the latter accelerates the sampling process during inference. By introducing a diffusion model, our approach breaks away from traditional modeling paradigms, offering novel insights and providing an effective and efficient solution for learning the time-event distribution in order streams within the LOB system. Extensive experiments using real-world data from the limit order books of three widely traded assets confirm that LOBDIF significantly outperforms current state-of-the-art methods.
Auto-Regressive Control of Execution Costs
Authors: Simeon Kolev
Date: 2024-12-14 00:00:00

Bertsimas and Lo's seminal work established a foundational framework for addressing the implementation shortfall dilemma faced by large institutional investors. Their models emphasized the critical role of accurate knowledge of market microstructure and price/information dynamics in optimizing trades to minimize execution costs. However, this paper recognizes that perfect initial knowledge may not be a realistic assumption for new investors entering the market. Therefore, this study aims to bridge this gap by proposing an approach that iteratively derives OLS estimates of the market parameters from period to period. This methodology enables uninformed investors to engage in the market dynamically, adjusting their strategies over time based on evolving estimates, thus offering a practical solution for navigating the complexities of execution cost optimization without perfect initial knowledge.
Adaptive Nonparametric Perturbations of Parametric Bayesian Models
Authors: Bohan Wu, Eli N. Weinstein, Sohrab Salehi, Yixin Wang, David M. Blei
Date: 2024-12-14 00:00:00
Tasks: Bayesian Inference, Causal Inference

Parametric Bayesian modeling offers a powerful and flexible toolbox for scientific data analysis. Yet the model, however detailed, may still be wrong, and this can make inferences untrustworthy. In this paper we study nonparametrically perturbed parametric (NPP) Bayesian models, in which a parametric Bayesian model is relaxed via a distortion of its likelihood. We analyze the properties of NPP models when the target of inference is the true data distribution or some functional of it, such as in causal inference. We show that NPP models can offer the robustness of nonparametric models while retaining the data efficiency of parametric models, achieving fast convergence when the parametric model is close to true. To efficiently analyze data with an NPP model, we develop a generalized Bayes procedure to approximate its posterior. We demonstrate our method by estimating causal effects of gene expression from single cell RNA sequencing data. NPP modeling offers an efficient approach to robust Bayesian inference and can be used to robustify any parametric Bayesian model.