pwc-archive/papers-with-abstracts huggingface dataset:
Isotropic Correlation Models for the Cross-Section of Equity Returns
Authors: Graham L. Giller
Date: 2024-11-13 00:00:00

This note discusses some of the aspects of a model for the covariance of equity returns based on a simple "isotropic" structure in which all pairwise correlations are taken to be the same value. The effect of the structure on feasible values for the common correlation of returns and on the "effective degrees of freedom" within the equity cross-section are discussed, as well as the impact of this constraint on the asymptotic Normality of portfolio returns. An eigendecomposition of the covariance matrix is presented and used to partition variance into that from a common "market" factor and "non-diversifiable" idiosyncratic risk. A empirical analysis of the recent history of the returns of S&P 500 Index members is presented and compared to the expectations from both this model and linear factor models. This analysis supports the isotropic covariance model and does not seem to provide evidence in support of linear factor models. Analysis of portfolio selection under isotropic correlation is presented using mean-variance optimization for both heteroskedastic and homoskedastic cases. Portfolio selection for negative exponential utility maximizers is also discussed for the general case of distributions of returns with elliptical symmetry. The fact that idiosyncratic risk may not be removed by diversification in a model that the data supports undermines the basic premises of structures such as the C.A.P.M. and A.P.T. If the cross-section of equity returns is more accurately described by this structure then an inevitable consequence is that picking stocks is not a "pointless" activity, as the returns to residual risk would be non-zero.
A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging
Authors: Xianhua Peng, Xiang Zhou, Bo Xiao, Yi Wu
Date: 2024-11-14 00:00:00
Tasks: reinforcement-learning, Reinforcement Learning

We propose a new risk sensitive reinforcement learning approach for the dynamic hedging of options. The approach focuses on the minimization of the tail risk of the final P&L of the seller of an option. Different from most existing reinforcement learning approaches that require a parametric model of the underlying asset, our approach can learn the optimal hedging strategy directly from the historical market data without specifying a parametric model; in addition, the learned optimal hedging strategy is contract-unified, i.e., it applies to different options contracts with different initial underlying prices, strike prices, and maturities. Our approach extends existing reinforcement learning methods by learning the tail risk measures of the final hedging P&L and the optimal hedging strategy at the same time. We carry out comprehensive empirical study to show that, in the out-of-sample tests, the proposed reinforcement learning hedging strategy can obtain statistically significantly lower tail risk and higher mean of the final P&L than delta hedging methods.
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
Authors: Tong Pu, Yunran Wei, Yiying Zhang
Date: 2024-11-14 00:00:00
Tasks: Position

We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial distress. Various theoretical properties of Vulnerability Conditional risk measures, along with a series of related contribution measures, have been considered in this paper. We further introduce the backtesting procedures of VCoES and MCoES. Through numerical examples, we validate our theoretical insights and further apply our newly proposed risk measures to the empirical analysis of cryptocurrencies, demonstrating their practical relevance and utility in capturing systemic risk.
Asymptotics of Sum of Heavy-tailed Risks with Copulas
Authors: Fan Yang, Yi Zhang
Date: 2024-11-14 00:00:00

We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each example we apply the main results to obtain the asymptotic expansions for Value-at-Risk of aggregate risk.
New approaches of the DCC-GARCH residual: Application to foreign exchange rates
Authors: Kenichiro Shiraya, Kanji Suzuki, Tomohisa Yamakami
Date: 2024-11-12 00:00:00
Tasks: Time Series

Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach is to estimate the correlation matrix as a parameter and transform any joint distribution to have an arbitrary correlation matrix. The second approach transforms time series data into an uncorrelated residual based on the eigenvalue decomposition of a correlation matrix. The empirical performance of these methods is examined through a prediction task for foreign exchange rates and compared with other methodologies in terms of the out-of-sample likelihood. By using these approaches, the DCC-GARCH residual can be almost independent.
FinVision: A Multi-Agent Framework for Stock Market Prediction
Authors: Sorouralsadat Fatemi, Yuheng Hu
Date: 2024-10-29 00:00:00
Tasks: Decision Making, Prediction, Stock Market Prediction

Financial trading has been a challenging task, as it requires the integration of vast amounts of data from various modalities. Traditional deep learning and reinforcement learning methods require large training data and often involve encoding various data types into numerical formats for model input, which limits the explainability of model behavior. Recently, LLM-based agents have demonstrated remarkable advancements in handling multi-modal data, enabling them to execute complex, multi-step decision-making tasks while providing insights into their thought processes. This research introduces a multi-modal multi-agent system designed specifically for financial trading tasks. Our framework employs a team of specialized LLM-based agents, each adept at processing and interpreting various forms of financial data, such as textual news reports, candlestick charts, and trading signal charts. A key feature of our approach is the integration of a reflection module, which conducts analyses of historical trading signals and their outcomes. This reflective process is instrumental in enhancing the decision-making capabilities of the system for future trading scenarios. Furthermore, the ablation studies indicate that the visual reflection module plays a crucial role in enhancing the decision-making capabilities of our framework.
Equitable Length of Stay Prediction for Patients with Learning Disabilities and Multiple Long-term Conditions Using Machine Learning
Authors: Emeka Abakasanga, Rania Kousovista, Georgina Cosma, Ashley Akbari, Francesco Zaccardi, Navjot Kaur, Danielle Fitt, Gyuchan Thomas Jun, Reza Kiani, Satheesh Gangadharan
Date: 2024-11-03 00:00:00
Tasks: Length-of-Stay prediction

People with learning disabilities have a higher mortality rate and premature deaths compared to the general public, as reported in published research in the UK and other countries. This study analyses hospitalisations of 9,618 patients identified with learning disabilities and long-term conditions for the population of Wales using electronic health record (EHR) data sources from the SAIL Databank. We describe the demographic characteristics, prevalence of long-term conditions, medication history, hospital visits, and lifestyle history for our study cohort, and apply machine learning models to predict the length of hospital stays for this cohort. The random forest (RF) model achieved an Area Under the Curve (AUC) of 0.759 (males) and 0.756 (females), a false negative rate of 0.224 (males) and 0.229 (females), and a balanced accuracy of 0.690 (males) and 0.689 (females). After examining model performance across ethnic groups, two bias mitigation algorithms (threshold optimization and the reductions algorithm using an exponentiated gradient) were applied to minimise performance discrepancies. The threshold optimizer algorithm outperformed the reductions algorithm, achieving lower ranges in false positive rate and balanced accuracy for the male cohort across the ethnic groups. This study demonstrates the potential of applying machine learning models with effective bias mitigation approaches on EHR data sources to enable equitable prediction of hospital stays by addressing data imbalances across groups.
Weakly supervised temporal action localization with actionness-guided false positive suppression
Authors: Zhilin Li, Zilei Wang
Date: 2024-04-15 00:00:00
Proceeding: Neural Networks 2024 4
Tasks: Action Localization, Temporal Action Localization, Weakly Supervised Action Localization, Weakly-supervised Temporal Action Localization

Weakly supervised temporal action localization aims to locate the temporal boundaries of action instances in untrimmed videos using video-level labels and assign them the corresponding action category. Generally, it is solved by a pipeline called “localization-by-classification”, which finds the action instances by classifying video snippets. However, since this approach optimizes the video-level classification objective, the generated activation sequences often suffer interference from class-related scenes, resulting in a large number of false positives in the prediction results. Many existing works treat background as an independent category, forcing models to learn to distinguish background snippets. However, under weakly supervised conditions, the background information is fuzzy and uncertain, making this method extremely difficult. To alleviate the impact of false positives, we propose a new actionness-guided false positive suppression framework. Our method seeks to suppress false positive backgrounds without introducing the background category. Firstly, we propose a self-training actionness branch to learn class-agnostic actionness, which can minimize the interference of class-related scene information by ignoring the video labels. Secondly, we propose a false positive suppression module to mine false positive snippets and suppress them. Finally, we introduce the foreground enhancement module, which guides the model to learn the foreground with the help of the attention mechanism as well as class-agnostic actionness. We conduct extensive experiments on three benchmarks (THUMOS14, ActivityNet1.2, and ActivityNet1.3). The results demonstrate the effectiveness of our method in suppressing false positives and it achieves the state-of-the-art performance. Code: https://github.com/lizhilin-ustc/AFPS.
Actionness Inconsistency-guided Contrastive Learning for Weakly-supervised Temporal Action Localization
Authors: Zhilin Li, Zilei Wang, Qinying Liu
Date: 2023-06-26 00:00:00
Proceeding: AAAI 2023 6
Tasks: Action Localization, Contrastive Learning, Representation Learning, Temporal Action Localization, Weakly Supervised Action Localization, Weakly-supervised Temporal Action Localization

Weakly-supervised temporal action localization (WTAL) aims to detect action instances given only video-level labels. To address the challenge, recent methods commonly employ a two-branch framework, consisting of a class-aware branch and a class-agnostic branch. In principle, the two branches are supposed to produce the same actionness activation. However, we observe that there are actually many inconsistent activation regions. These inconsistent regions usually contain some challenging segments whose semantic information (action or background) is ambiguous. In this work, we propose a novel Actionness Inconsistency-guided Contrastive Learning (AICL) method which utilizes the consistent segments to boost the representation learning of the inconsistent segments. Specifically, we first define the consistent and inconsistent segments by comparing the predictions of two branches and then construct positive and negative pairs between consistent segments and inconsistent segments for contrastive learning. In addition, to avoid the trivial case where there is no consistent sample, we introduce an action consistency constraint to control the difference between the two branches. We conduct extensive experiments on THUMOS14, ActivityNet v1.2, and ActivityNet v1.3 datasets, and the results show the effectiveness of AICL with state-of-the-art performance. Our code is available at https://github.com/lizhilin-ustc/AAAI2023-AICL.
Perceived Text Relevance Estimation Using Scanpaths and GNNs
Authors: Abdulrahman Mohamed Selim, Omair Shahzad Bhatti, Michael Barz, Daniel Sonntag
Date: 2024-11-04 00:00:00
Proceeding: International Conference on Multimodal Interaction 2024 11

A scanpath is an important concept in eye tracking that represents a person’s eye movements in a graph-like structure. Passive gaze-based interfaces, in which users do not consciously interact using their eyes, typically interpret users’ scanpaths to enable adaptive and personalised interaction. Despite the benefits of graph neural networks (GNNs) in graph processing, this technology has not been considered for that purpose. An example application is perceived relevance estimation, which still suffers from low classification performance. In this work, we investigate how and whether GNNs can be used to analyse scanpaths for readers’ perceived relevance estimation using the gazeRE dataset. This dataset contains eye-tracking data from 24 participants, who rated the relevance of 12 short and 12 long documents in relation to a given query. The relevance was assigned either to an entire short document or to each paragraph within a long document, which allowed us to investigate two different GNN tasks. For comparison, we reproduced the gazeRE baseline using Random Forest and Support Vector classifiers, and an additional Convolutional Neural Network (CNN) from the literature. All models were evaluated using leave-users-out cross-validation. For short documents, the GNNs surpassed the baseline methods, with certain experiments showing an absolute balanced accuracy improvement of 7.6% and 14.3% over the CNN and gazeRE baselines, respectively. However, similar improvements were not observed in long documents. This work investigates and discusses the future potential of using GNNs as a scanpath analysis method for passive gaze-based applications, such as implicit relevance estimation.
High Dynamic Range Image Tone Mapping Based on Layer Decomposition and Image Fusion
Authors: Xueyu Han1, and Susanto Rahardja1, 2
Date: 2023-11-08 00:00:00
Proceeding: Conference 2023 11
Tasks: Tone Mapping

Common displays have limited dynamic range and therefore cannot support direct reproduction of high dynamic range (HDR) images. Generally, this gap can be effectively solved by image tone mapping. One of the typical tone mapping methods is known as layer decomposition based algorithms. They decompose an HDR image into base and detail layers, and reduce the dynamic range by employing gamma functions on the base layer. However, simple gamma curves are not sufficient to produce good local contrasts. This paper proposes a layer decomposition based method by utilizing image fusion techniques to enhance local contrasts. Our method constructs virtual images to stretch dark, normal and bright regions of the base layer respectively and fuses them together for contrast enhancement. Experimental results validate that the proposed method produces enhanced local contrasts and more natural colors in the tone-mapped images.
Image Aesthetic Assessment Assisted by Attributes through Adversarial Learning
Authors: Bowen Pan, Shangfei Wang, Qisheng Jiang
Date: 2019-01-01 00:00:00
Proceeding: Association for the Advancement of Artificial Intelligence 2019 1
Tasks: Multi-Task Learning

The inherent connections among aesthetic attributes and aesthetics are crucial for image aesthetic assessment, but have not been thoroughly explored yet. In this paper, we propose a novel image aesthetic assessment assisted by attributes through both representation-level and label-level. The attributes are used as privileged information, which is only required during training. Specifically, we first propose a multitask deep convolutional rating network to learn the aesthetic score and attributes simultaneously. The attributes are explored to construct better feature representations for aesthetic assessment through multi-task learning. After that, we introduce a discriminator to distinguish the predicted attributes and aesthetics of the multi-task deep network from the ground truth label distribution embedded in the training data. The multi-task deep network wants to output aesthetic score and attributes as close to the ground truth labels as possible. Thus the deep network and the discriminator compete with each other. Through adversarial learning, the attributes are explored to enforce the distribution of the predicted attributes and aesthetics to converge to the ground truth label distribution. Experimental results on two benchmark databases demonstrate the superiority of the proposed method to state of the art work.
Design and Deployment of Resilient Control Execution Patterns: A Prediction, Mitigation Approach
Authors: Ipsita Koley, Sunandan Adhikary, Arkaprava Sain, Soumyajit Dey
Date: 2023-05-09 00:00:00
Proceeding: International Conference on Cyber-Physical Systems (ICCPS) 2023 5

Modern Cyber-Physical Systems (CPSs) are often designed as networked, software-based controller implementations which have been found to be vulnerable to network-level and physical-level attacks. A number of research works have proposed CPS-specific attack detection schemes as well as techniques for attack-resilient controller design. However, such schemes also incur platform-level overheads. In this regard, some recent works have leveraged the use of skips in control execution to enhance the resilience of a CPS against false data injection (FDI) attacks. However, skipping the control executions may degrade the performance of the controller.
In this paper, we provide an analytical discussion on when and how skipping a control execution can improve the system's resilience against FDI attacks while maintaining the control performance requirement. Our proposed method i) synthesizes a library of such optimal control execution patterns offline, and ii) executes one of them in run-time judging the intent of the attacker. To the best of our knowledge, no previous work has provided any quantitative analysis about the trade-off between attack resilience and control performance for such aperiodic control execution. Finally, we evaluate the proposed method on several safety-critical CPS benchmarks.
Semantic Editing Increment Benefits Zero-Shot Composed Image Retrieval
Authors: Zhenyu Yang, Shengsheng Qian, Dizhan Xue, JiaHong Wu, Fan Yang, WeiMing Dong, Changsheng Xu
Date: 2024-10-28 00:00:00
Proceeding: ACM MM 2024 10
Tasks: Image Retrieval, Image to text, Retrieval, Zero-Shot Composed Image Retrieval (ZS-CIR)

Zero-Shot Composed Image Retrieval (ZS-CIR) has attracted more attention in recent years, focusing on retrieving a specific image based on a query composed of a reference image and a relative text without training samples. Specifically, the relative text describes the differences between the two images. Prevailing ZS-CIR methods employ image-to-text (I2T) models to convert the query image into a single caption, which is further merged with the relative text by text-fusion approaches to form a composed text for retrieval. However, these methods neglect the fact that ZS-CIR entails considering not only the final similarity between the composed text and retrieved images but also the semantic increment during the compositional editing process. To address this limitation, this paper proposes a training-free method called Semantic Editing Increment for ZS-CIR (SEIZE) to retrieve the target image based on the query image and text without training. Firstly, we employ a pre-trained captioning model to generate diverse captions for the reference image and prompt Large Language Models (LLMs) to perform breadth compositional reasoning based on these captions and relative text, thereby covering the potential semantics of the target image. Then, we design a semantic editing search to incorporate the semantic editing increment contributed by the relative text into the retrieval process. Concretely, we comprehensively consider relative semantic increment and absolute similarity as the final retrieval score, which is subsequently utilized to retrieve the target image in the CLIP feature space. Extensive experiments on three public datasets demonstrate that our proposed SEIZE achieves the new state-of-the-art performance. The code is publicly available at https://github.com/yzy-bupt/SEIZE.
Network scaling and scale-driven loss balancing for intelligent poroelastography
Authors: Yang Xu, Fatemeh Pourahmadian
Date: 2024-10-27 00:00:00

A deep learning framework is developed for multiscale characterization of poroelastic media from full waveform data which is known as poroelastography. Special attention is paid to heterogeneous environments whose multiphase properties may drastically change across several scales. Described in space-frequency, the data takes the form of focal solid displacement and pore pressure fields in various neighborhoods furnished either by reconstruction from remote data or direct measurements depending on the application. The objective is to simultaneously recover the six hydromechanical properties germane to Biot equations and their spatial distribution in a robust and efficient manner. Two major challenges impede direct application of existing state-of-the-art techniques for this purpose: (i) the sought-for properties belong to vastly different and potentially uncertain scales, and~(ii) the loss function is multi-objective and multi-scale (both in terms of its individual components and the total loss). To help bridge the gap, we propose the idea of \emph{network scaling} where the neural property maps are constructed by unit shape functions composed into a scaling layer. In this model, the unknown network parameters (weights and biases) remain of O(1) during training. This forms the basis for explicit scaling of the loss components and their derivatives with respect to the network parameters. Thereby, we propose the physics-based \emph{dynamic scaling} approach for adaptive loss balancing. The idea is first presented in a generic form for multi-physics and multi-scale PDE systems, and then applied through a set of numerical experiments to poroelastography. The results are presented along with reconstructions by way of gradient normalization (GradNorm) and Softmax adaptive weights (SoftAdapt) for loss balancing. A comparative analysis of the methods and corresponding results is provided.
SoccerGuard: Investigating Injury Risk Factors for Professional Soccer Players with Machine Learning
Authors: Finn Bartels, Lu Xing, Cise Midoglu, Matthias Boeker, Toralf Kirsten, Pål Halvorsen
Date: 2024-10-29 00:00:00
Tasks: Synthetic Data Generation

We present SoccerGuard, a novel framework for predicting injuries in women's soccer using Machine Learning (ML). This framework can ingest data from multiple sources, including subjective wellness and training load reports from players, objective GPS sensor measurements, third-party player statistics, and injury reports verified by medical personnel. We experiment with a number of different settings related to synthetic data generation, input and output window sizes, and ML models for prediction. Our results show that, given the right configurations and feature combinations, injury event prediction can be undertaken with considerable accuracy. The optimal results are achieved when input windows are reduced and larger combined output windows are defined, in combination with an ideally balanced data set. The framework also includes a dashboard with a user-friendly Graphical User Interface (GUI) to support interactive analysis and visualization.