pwc-archive/papers-with-abstracts huggingface dataset:
Assessing Stablecoin Credit Risks
Authors: Yuval Boneh, Ethan Jones
Date: 2024-11-21 00:00:00

This paper delves into the spectrum of credit risks associated with decentralized stablecoin issuance, ranging from overcollateralized lending to business-to-business credit. It examines the mechanisms, risks, and mitigation strategies at each layer, highlighting the potential for scaling decentralized stablecoins while ensuring systemic health.
Intergenerational cross-subsidies in UK Collective Defined Contribution (CDC) funds
Authors: John Armstrong, James Dalby, Catherine Donnelly
Date: 2024-11-10 00:00:00

We evaluate the performance and level of intergenerational cross-subsidy in flat-accrual and dynamic-accrual collective defined contribution (CDC) schemes which have been designed to be compatible with UK legislation. In the flat-accrual scheme, all members accrue the benefits at the same rate irrespective of age. This captures the most significant feature of the Royal Mail Collective Pension Plan, which is currently the only UK CDC scheme. The dynamic-accrual schemes seeks to reduce intergenerational cross-subsidies by varying the rate of benefit-accrual in accordance to the age of members and the current funding level. We find that these CDC schemes can often be successful in smoothing pension outcomes post-retirement while outperforming a defined contribution scheme followed by annuity purchase at the point of retirement. However, this out-performance is not guaranteed in a flat-accrual scheme and there is little smoothing of projected pension outcomes before retirement. There are significant intergenerational cross-subsidies in the flat-accrual scheme. These qualitatively mirror the cross-subsidies seen in existing defined benefit schemes, but we find the magnitude of the cross-subsidies is much larger in flat accrual CDC schemes. The dynamic-accrual scheme design is intended to reduce such cross-subsidies, but we find they still arise due to the approximate pricing methodology used to determine the benefits accrued by each contribution. Although the cross-subsidies tend to cancel out over time, in any given year they can be large. Thus, the benefits accrued by contributions should be calculated rigorously to reduce cross-subsidies.
Analytical Formula for Fractional-Order Conditional Moments of Nonlinear Drift CEV Process with Regime Switching: Hybrid Approach with Applications
Authors: Kittisak Chumpong, Khamron Mekchay, Fukiat Nualsri, Phiraphat Sutthimat
Date: 2024-11-21 00:00:00
Tasks: Computational Efficiency

This paper introduces an analytical formula for the fractional-order conditional moments of nonlinear drift constant elasticity of variance (NLD-CEV) processes under regime switching, governed by continuous-time finite-state irreducible Markov chains. By employing a hybrid system approach, we derive exact closed-form expressions for these moments across arbitrary fractional orders and regime states, thereby enhancing the analytical tractability of NLD-CEV models under stochastic regimes. Our methodology hinges on formulating and solving a complex system of interconnected partial differential equations derived from the Feynman-Kac formula for switching diffusions. To illustrate the practical relevance of our approach, Monte Carlo simulations for process with Markovian switching are applied to validate the accuracy and computational efficiency of the analytical formulas. Furthermore, we apply our findings for the valuation of financial derivatives within a dynamic nonlinear mean-reverting regime-switching framework, which demonstrates significant improvements over traditional methods. This work offers substantial contributions to financial modeling and derivative pricing by providing a robust tool for practitioners and researchers who are dealing with complex stochastic environments.
A Random Forest approach to detect and identify Unlawful Insider Trading
Authors: Krishna Neupane, Igor Griva
Date: 2024-11-09 00:00:00

According to The Exchange Act, 1934 unlawful insider trading is the abuse of access to privileged corporate information. While a blurred line between "routine" the "opportunistic" insider trading exists, detection of strategies that insiders mold to maneuver fair market prices to their advantage is an uphill battle for hand-engineered approaches. In the context of detailed high-dimensional financial and trade data that are structurally built by multiple covariates, in this study, we explore, implement and provide detailed comparison to the existing study (Deng et al. (2019)) and independently implement automated end-to-end state-of-art methods by integrating principal component analysis to the random forest (PCA-RF) followed by a standalone random forest (RF) with 320 and 3984 randomly selected, semi-manually labeled and normalized transactions from multiple industry. The settings successfully uncover latent structures and detect unlawful insider trading. Among the multiple scenarios, our best-performing model accurately classified 96.43 percent of transactions. Among all transactions the models find 95.47 lawful as lawful and $98.00$ unlawful as unlawful percent. Besides, the model makes very few mistakes in classifying lawful as unlawful by missing only 2.00 percent. In addition to the classification task, model generated Gini Impurity based features ranking, our analysis show ownership and governance related features based on permutation values play important roles. In summary, a simple yet powerful automated end-to-end method relieves labor-intensive activities to redirect resources to enhance rule-making and tracking the uncaptured unlawful insider trading transactions. We emphasize that developed financial and trading features are capable of uncovering fraudulent behaviors.
High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines
Authors: Christian D. Blakely
Date: 2024-11-18 00:00:00

We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread and best bid to ask imbalance, and adjusts the microprice based on recent dynamics of higher price rank imbalances. We introduce a computationally fast estimator using a recently proposed hyperdimensional vector Tsetlin machine framework and demonstrate empirically that this estimator can provide a robust estimate of future prices in the orderbook.
Advance Detection Of Bull And Bear Phases In Cryptocurrency Markets
Authors: Rahul Arulkumaran, Suyash Kumar, Shikha Tomar, Manideep Gongalla, Harshitha
Date: 2024-11-18 00:00:00

Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed towards. As of today Bitcoin has a market dominance of close to 50 percent. Bull and bear phases in cryptocurrencies are determined based on the performance of Bitcoin over the 50 Day and 200 Day Moving Averages. The aim of this paper is to foretell the performance of bitcoin in the near future by employing predictive algorithms. This predicted data will then be used to calculate the 50 Day and 200 Day Moving Averages and subsequently plotted to establish the potential bull and bear phases.
The Role of AI in Financial Forecasting: ChatGPT's Potential and Challenges
Authors: Shuochen Bi, Tingting Deng, Jue Xiao
Date: 2024-11-07 00:00:00
Tasks: Decision Making

The outlook for the future of artificial intelligence (AI) in the financial sector, especially in financial forecasting, the challenges and implications. The dynamics of AI technology, including deep learning, reinforcement learning, and integration with blockchAIn and the Internet of Things, also highlight the continued improvement in data processing capabilities. Explore how AI is reshaping financial services with precisely tAIlored services that can more precisely meet the diverse needs of individual investors. The integration of AI challenges regulatory and ethical issues in the financial sector, as well as the implications for data privacy protection. Analyze the limitations of current AI technology in financial forecasting and its potential impact on the future financial industry landscape, including changes in the job market, the emergence of new financial institutions, and user interface innovations. Emphasizing the importance of increasing investor understanding and awareness of AI and looking ahead to future trends in AI tools for user experience to drive wider adoption of AI in financial decision making. The huge potential, challenges, and future directions of AI in the financial sector highlight the critical role of AI technology in driving transformation and innovation in the financial sector
Deep Learning in Long-Short Stock Portfolio Allocation: An Empirical Study
Authors: Junjie Guo
Date: 2024-10-31 00:00:00
Tasks: Deep Learning

This paper provides an empirical study explores the application of deep learning algorithms-Multilayer Perceptron (MLP), Convolutional Neural Networks (CNN), Long Short-Term Memory (LSTM), and Transformer-in constructing long-short stock portfolios. Two datasets comprising randomly selected stocks from the S&P500 and NASDAQ indices, each spanning a decade of daily data, are utilized. The models predict daily stock returns based on historical features such as past returns,Relative Strength Index (RSI), trading volume, and volatility. Portfolios are dynamically adjusted by longing stocks with positive predicted returns and shorting those with negative predictions, with equal asset weights. Performance is evaluated over a two-year testing period, focusing on return, Sharpe ratio, and maximum drawdown metrics. The results demonstrate the efficacy of deep learning models in enhancing long-short stock portfolio performance.
Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
Authors: James B. Glattfelder, Thomas Houweling
Date: 2024-11-21 00:00:00
Tasks: Algorithmic Trading

We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to evaluate the performance of trading model algorithms.
Composing Ensembles of Instrument-Model Pairs for Optimizing Profitability in Algorithmic Trading
Authors: Sahand Hassanizorgabad
Date: 2024-11-06 00:00:00
Tasks: Algorithmic Trading

Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since various factors like stock-specific news, company profiles, public sentiments, and global economic conditions influence them. This paper describes a daily price directional predictive system of financial instruments, addressing the difficulty of predicting short-term price movements. This paper will introduce the development of a novel trading system methodology by proposing a two-layer Composing Ensembles architecture, optimized through grid search, to predict whether the price will rise or fall the next day. This strategy was back-tested on a wide range of financial instruments and time frames, demonstrating an improvement of 20% over the benchmark, representing a standard investment strategy.
Integrated Water Resource Management in the Segura Hydrographic Basin: An Artificial Intelligence Approach
Authors: Urtzi Otamendi, Mikel Maiza, Igor G. Olaizola, Basilio Sierra, Markel Flores, Marco Quartulli
Date: 2024-11-11 00:00:00
Tasks: Decision Making, Management

Managing resources effectively in uncertain demand, variable availability, and complex governance policies is a significant challenge. This paper presents a paradigmatic framework for addressing these issues in water management scenarios by integrating advanced physical modelling, remote sensing techniques, and Artificial Intelligence algorithms. The proposed approach accurately predicts water availability, estimates demand, and optimizes resource allocation on both short- and long-term basis, combining a comprehensive hydrological model, agronomic crop models for precise demand estimation, and Mixed-Integer Linear Programming for efficient resource distribution. In the study case of the Segura Hydrographic Basin, the approach successfully allocated approximately 642 million cubic meters ($hm^3$) of water over six months, minimizing the deficit to 9.7% of the total estimated demand. The methodology demonstrated significant environmental benefits, reducing CO2 emissions while optimizing resource distribution. This robust solution supports informed decision-making processes, ensuring sustainable water management across diverse contexts. The generalizability of this approach allows its adaptation to other basins, contributing to improved governance and policy implementation on a broader scale. Ultimately, the methodology has been validated and integrated into the operational water management practices in the Segura Hydrographic Basin in Spain.
COOD: Concept-based Zero-shot OOD Detection
Authors: Zhendong Liu, Yi Nian, Henry Peng Zou, Li Li, Xiyang Hu, Yue Zhao
Date: 2024-11-15 00:00:00

How can models effectively detect out-of-distribution (OOD) samples in complex, multi-label settings without extensive retraining? Existing OOD detection methods struggle to capture the intricate semantic relationships and label co-occurrences inherent in multi-label settings, often requiring large amounts of training data and failing to generalize to unseen label combinations. While large language models have revolutionized zero-shot OOD detection, they primarily focus on single-label scenarios, leaving a critical gap in handling real-world tasks where samples can be associated with multiple interdependent labels. To address these challenges, we introduce COOD, a novel zero-shot multi-label OOD detection framework. COOD leverages pre-trained vision-language models, enhancing them with a concept-based label expansion strategy and a new scoring function. By enriching the semantic space with both positive and negative concepts for each label, our approach models complex label dependencies, precisely differentiating OOD samples without the need for additional training. Extensive experiments demonstrate that our method significantly outperforms existing approaches, achieving approximately 95% average AUROC on both VOC and COCO datasets, while maintaining robust performance across varying numbers of labels and different types of OOD samples.
AddrLLM: Address Rewriting via Large Language Model on Nationwide Logistics Data
Authors: Qinchen Yang, Zhiqing Hong, Dongjiang Cao, Haotian Wang, Zejun Xie, Tian He, Yunhuai Liu, Yu Yang, Desheng Zhang
Date: 2024-11-17 00:00:00
Tasks: Language Modeling, Language Modelling, Large Language Model, Retrieval, Retrieval-augmented Generation

Textual description of a physical location, commonly known as an address, plays an important role in location-based services(LBS) such as on-demand delivery and navigation. However, the prevalence of abnormal addresses, those containing inaccuracies that fail to pinpoint a location, have led to significant costs. Address rewriting has emerged as a solution to rectify these abnormal addresses. Despite the critical need, existing address rewriting methods are limited, typically tailored to correct specific error types, or frequently require retraining to process new address data effectively. In this study, we introduce AddrLLM, an innovative framework for address rewriting that is built upon a retrieval augmented large language model. AddrLLM overcomes aforementioned limitations through a meticulously designed Supervised Fine-Tuning module, an Address-centric Retrieval Augmented Generation module and a Bias-free Objective Alignment module. To the best of our knowledge, this study pioneers the application of LLM-based address rewriting approach to solve the issue of abnormal addresses. Through comprehensive offline testing with real-world data on a national scale and subsequent online deployment, AddrLLM has demonstrated superior performance in integration with existing logistics system. It has significantly decreased the rate of parcel re-routing by approximately 43\%, underscoring its exceptional efficacy in real-world applications.
Unveiling Redundancy in Diffusion Transformers (DiTs): A Systematic Study
Authors: Xibo Sun, Jiarui Fang, Aoyu Li, Jinzhe Pan
Date: 2024-11-18 00:00:00
Tasks: Scheduling

The increased model capacity of Diffusion Transformers (DiTs) and the demand for generating higher resolutions of images and videos have led to a significant rise in inference latency, impacting real-time performance adversely. While prior research has highlighted the presence of high similarity in activation values between adjacent diffusion steps (referred to as redundancy) and proposed various caching mechanisms to mitigate computational overhead, the exploration of redundancy in existing literature remains limited, with findings often not generalizable across different DiT models. This study aims to address this gap by conducting a comprehensive investigation into redundancy across a broad spectrum of mainstream DiT models. Our experimental analysis reveals substantial variations in the distribution of redundancy across diffusion steps among different DiT models. Interestingly, within a single model, the redundancy distribution remains stable regardless of variations in input prompts, step counts, or scheduling strategies. Given the lack of a consistent pattern across diverse models, caching strategies designed for a specific group of models may not easily transfer to others. To overcome this challenge, we introduce a tool for analyzing the redundancy of individual models, enabling subsequent research to develop tailored caching strategies for specific model architectures. The project is publicly available at https://github.com/xdit-project/DiTCacheAnalysis.
Deep learning waterways for rural infrastructure development
Authors: Matthew Pierson, Zia Mehrabi
Date: 2024-11-18 00:00:00
Tasks: Deep Learning, Humanitarian

Surprisingly a number of Earth's waterways remain unmapped, with a significant number in low and middle income countries. Here we build a computer vision model (WaterNet) to learn the location of waterways in the United States, based on high resolution satellite imagery and digital elevation models, and then deploy this in novel environments in the African continent. Our outputs provide detail of waterways structures hereto unmapped. When assessed against community needs requests for rural bridge building related to access to schools, health care facilities and agricultural markets, we find these newly generated waterways capture on average 93% (country range: 88-96%) of these requests whereas Open Street Map, and the state of the art data from TDX-Hydro, capture only 36% (5-72%) and 62% (37%-85%), respectively. Because these new machine learning enabled maps are built on public and operational data acquisition this approach offers promise for capturing humanitarian needs and planning for social development in places where cartographic efforts have so far failed to deliver. The improved performance in identifying community needs missed by existing data suggests significant value for rural infrastructure development and better targeting of development interventions.
Towards Accessible Learning: Deep Learning-Based Potential Dysgraphia Detection and OCR for Potentially Dysgraphic Handwriting
Authors: Vydeki D, Divyansh Bhandari, Pranav Pratap Patil, Aarush Anand Kulkarni
Date: 2024-11-18 00:00:00
Tasks: Diagnostic, Optical Character Recognition, Optical Character Recognition (OCR)

Dysgraphia is a learning disorder that affects handwriting abilities, making it challenging for children to write legibly and consistently. Early detection and monitoring are crucial for providing timely support and interventions. This study applies deep learning techniques to address the dual tasks of dysgraphia detection and optical character recognition (OCR) on handwriting samples from children with potential dysgraphic symptoms. Using a dataset of handwritten samples from Malaysian schoolchildren, we developed a custom Convolutional Neural Network (CNN) model, alongside VGG16 and ResNet50, to classify handwriting as dysgraphic or non-dysgraphic. The custom CNN model outperformed the pre-trained models, achieving a test accuracy of 91.8% with high precision, recall, and AUC, demonstrating its robustness in identifying dysgraphic handwriting features. Additionally, an OCR pipeline was created to segment and recognize individual characters in dysgraphic handwriting, achieving a character recognition accuracy of approximately 43.5%. This research highlights the potential of deep learning in supporting dysgraphia assessment, laying a foundation for tools that could assist educators and clinicians in identifying dysgraphia and tracking handwriting progress over time. The findings contribute to advancements in assistive technologies for learning disabilities, offering hope for more accessible and accurate diagnostic tools in educational and clinical settings.
Public Health Advocacy Dataset: A Dataset of Tobacco Usage Videos from Social Media
Authors: Naga VS Raviteja Chappa, Charlotte McCormick, Susana Rodriguez Gongora, Page Daniel Dobbs, Khoa Luu
Date: 2024-11-12 00:00:00

The Public Health Advocacy Dataset (PHAD) is a comprehensive collection of 5,730 videos related to tobacco products sourced from social media platforms like TikTok and YouTube. This dataset encompasses 4.3 million frames and includes detailed metadata such as user engagement metrics, video descriptions, and search keywords. This is the first dataset with these features providing a valuable resource for analyzing tobacco-related content and its impact. Our research employs a two-stage classification approach, incorporating a Vision-Language (VL) Encoder, demonstrating superior performance in accurately categorizing various types of tobacco products and usage scenarios. The analysis reveals significant user engagement trends, particularly with vaping and e-cigarette content, highlighting areas for targeted public health interventions. The PHAD addresses the need for multi-modal data in public health research, offering insights that can inform regulatory policies and public health strategies. This dataset is a crucial step towards understanding and mitigating the impact of tobacco usage, ensuring that public health efforts are more inclusive and effective.
Deep Feature Response Discriminative Calibration
Authors: Wenxiang Xu, Tian Qiu, Linyun Zhou, Zunlei Feng, Mingli Song, Huiqiong Wang
Date: 2024-11-16 00:00:00
Tasks: Image Classification

Deep neural networks (DNNs) have numerous applications across various domains. Several optimization techniques, such as ResNet and SENet, have been proposed to improve model accuracy. These techniques improve the model performance by adjusting or calibrating feature responses according to a uniform standard. However, they lack the discriminative calibration for different features, thereby introducing limitations in the model output. Therefore, we propose a method that discriminatively calibrates feature responses. The preliminary experimental results indicate that the neural feature response follows a Gaussian distribution. Consequently, we compute confidence values by employing the Gaussian probability density function, and then integrate these values with the original response values. The objective of this integration is to improve the feature discriminability of the neural feature response. Based on the calibration values, we propose a plugin-based calibration module incorporated into a modified ResNet architecture, termed Response Calibration Networks (ResCNet). Extensive experiments on datasets like CIFAR-10, CIFAR-100, SVHN, and ImageNet demonstrate the effectiveness of the proposed approach. The developed code is publicly available at https://github.com/tcmyxc/ResCNet.