Asset Pricing and Deep Learning

Traditional machine learning methods have been widely studied in financial innovation. My study focuses on the application of deep learning methods on asset pricing. I investigate various deep learning methods for asset pricing, especially for risk premia measurement. All models take the same set of predictive signals (firm characteristics, systematic risks and macroeconomics). I demonstrate high performance of all kinds of state-of-the-art (SOTA) deep learning methods, and figure out that RNNs with memory mechanism and attention have the best performance in terms of predictivity. Furthermore, I demonstrate large economic gains to investors using deep learning forecasts. The results of my comparative experiments highlight the importance of domain knowledge and financial theory when designing deep learning models. I also show return prediction tasks bring new challenges to deep learning. The time varying distribution causes distribution shift problem, which is essential for financial time series prediction. I demonstrate that deep learning methods can improve asset risk premium measurement. Due to the booming deep learning studies, they can constantly promote the study of underlying financial mechanisms behind asset pricing. I also propose a promising research method that learning from data and figuring out the underlying economic mechanisms through explainable artificial intelligence (AI) methods. My findings not only justify the value of deep learning in blooming fintech development, but also highlight their prospects and advantages over traditional machine learning methods.

A Focused Study on Sequence Length for Dialogue Summarization

Output length is critical to dialogue summarization systems. The dialogue summary length is determined by multiple factors, including dialogue complexity, summary objective, and personal preferences. In this work, we approach dialogue summary length from three perspectives. First, we analyze the length differences between existing models' outputs and the corresponding human references and find that summarization models tend to produce more verbose summaries due to their pretraining objectives. Second, we identify salient features for summary length prediction by comparing different model settings. Third, we experiment with a length-aware summarizer and show notable improvement on existing models if summary length can be well incorporated. Analysis and experiments are conducted on popular DialogSum and SAMSum datasets to validate our findings.

Nesting Forward Automatic Differentiation for Memory-Efficient Deep Neural Network Training

An activation function is an element-wise mathematical function and plays a crucial role in deep neural networks (DNN). Many novel and sophisticated activation functions have been proposed to improve the DNN accuracy but also consume massive memory in the training process with back-propagation. In this study, we propose the nested forward automatic differentiation (Forward-AD), specifically for the element-wise activation function for memory-efficient DNN training. We deploy nested Forward-AD in two widely-used deep learning frameworks, TensorFlow and PyTorch, which support the static and dynamic computation graph, respectively. Our evaluation shows that nested Forward-AD reduces the memory footprint by up to 1.97x than the baseline model and outperforms the recomputation by 20% under the same memory reduction ratio.

SongDriver: Real-time Music Accompaniment Generation without Logical Latency nor Exposure Bias

Real-time music accompaniment generation has a wide range of applications in the music industry, such as music education and live performances. However, automatic real-time music accompaniment generation is still understudied and often faces a trade-off between logical latency and exposure bias. In this paper, we propose SongDriver, a real-time music accompaniment generation system without logical latency nor exposure bias. Specifically, SongDriver divides one accompaniment generation task into two phases: 1) The arrangement phase, where a Transformer model first arranges chords for input melodies in real-time, and caches the chords for the next phase instead of playing them out. 2) The prediction phase, where a CRF model generates playable multi-track accompaniments for the coming melodies based on previously cached chords. With this two-phase strategy, SongDriver directly generates the accompaniment for the upcoming melody, achieving zero logical latency. Furthermore, when predicting chords for a timestep, SongDriver refers to the cached chords from the first phase rather than its previous predictions, which avoids the exposure bias problem. Since the input length is often constrained under real-time conditions, another potential problem is the loss of long-term sequential information. To make up for this disadvantage, we extract four musical features from a long-term music piece before the current time step as global information. In the experiment, we train SongDriver on some open-source datasets and an original \`aiSong Dataset built from Chinese-style modern pop music scores. The results show that SongDriver outperforms existing SOTA (state-of-the-art) models on both objective and subjective metrics, meanwhile significantly reducing the physical latency.

Knowledge-enhanced Iterative Instruction Generation and Reasoning for Knowledge Base Question Answering

Multi-hop Knowledge Base Question Answering(KBQA) aims to find the answer entity in a knowledge base which is several hops from the topic entity mentioned in the question. Existing Retrieval-based approaches first generate instructions from the question and then use them to guide the multi-hop reasoning on the knowledge graph. As the instructions are fixed during the whole reasoning procedure and the knowledge graph is not considered in instruction generation, the model cannot revise its mistake once it predicts an intermediate entity incorrectly. To handle this, we propose KBIGER(Knowledge Base Iterative Instruction GEnerating and Reasoning), a novel and efficient approach to generate the instructions dynamically with the help of reasoning graph. Instead of generating all the instructions before reasoning, we take the (k-1)-th reasoning graph into consideration to build the k-th instruction. In this way, the model could check the prediction from the graph and generate new instructions to revise the incorrect prediction of intermediate entities. We do experiments on two multi-hop KBQA benchmarks and outperform the existing approaches, becoming the new-state-of-the-art. Further experiments show our method does detect the incorrect prediction of intermediate entities and has the ability to revise such errors.

A Weakly Supervised Learning Framework for Salient Object Detection via Hybrid Labels

Fully-supervised salient object detection (SOD) methods have made great progress, but such methods often rely on a large number of pixel-level annotations, which are time-consuming and labour-intensive. In this paper, we focus on a new weakly-supervised SOD task under hybrid labels, where the supervision labels include a large number of coarse labels generated by the traditional unsupervised method and a small number of real labels. To address the issues of label noise and quantity imbalance in this task, we design a new pipeline framework with three sophisticated training strategies. In terms of model framework, we decouple the task into label refinement sub-task and salient object detection sub-task, which cooperate with each other and train alternately. Specifically, the R-Net is designed as a two-stream encoder-decoder model equipped with Blender with Guidance and Aggregation Mechanisms (BGA), aiming to rectify the coarse labels for more reliable pseudo-labels, while the S-Net is a replaceable SOD network supervised by the pseudo labels generated by the current R-Net. Note that, we only need to use the trained S-Net for testing. Moreover, in order to guarantee the effectiveness and efficiency of network training, we design three training strategies, including alternate iteration mechanism, group-wise incremental mechanism, and credibility verification mechanism. Experiments on five SOD benchmarks show that our method achieves competitive performance against weakly-supervised/unsupervised methods both qualitatively and quantitatively.

Structural Bias for Aspect Sentiment Triplet Extraction

Structural bias has recently been exploited for aspect sentiment triplet extraction (ASTE) and led to improved performance. On the other hand, it is recognized that explicitly incorporating structural bias would have a negative impact on efficiency, whereas pretrained language models (PLMs) can already capture implicit structures. Thus, a natural question arises: Is structural bias still a necessity in the context of PLMs? To answer the question, we propose to address the efficiency issues by using an adapter to integrate structural bias in the PLM and using a cheap-to-compute relative position structure in place of the syntactic dependency structure. Benchmarking evaluation is conducted on the SemEval datasets. The results show that our proposed structural adapter is beneficial to PLMs and achieves state-of-the-art performance over a range of strong baselines, yet with a light parameter demand and low latency. Meanwhile, we give rise to the concern that the current evaluation default with data of small scale is under-confident. Consequently, we release a large-scale dataset for ASTE. The results on the new dataset hint that the structural adapter is confidently effective and efficient to a large scale. Overall, we draw the conclusion that structural bias shall still be a necessity even with PLMs.

Multi-scale temporal-frequency attention for music source separation

In recent years, deep neural networks (DNNs) based approaches have achieved the start-of-the-art performance for music source separation (MSS). Although previous methods have addressed the large receptive field modeling using various methods, the temporal and frequency correlations of the music spectrogram with repeated patterns have not been explicitly explored for the MSS task. In this paper, a temporal-frequency attention module is proposed to model the spectrogram correlations along both temporal and frequency dimensions. Moreover, a multi-scale attention is proposed to effectively capture the correlations for music signal. The experimental results on MUSDB18 dataset show that the proposed method outperforms the existing state-of-the-art systems with 9.51 dB signal-to-distortion ratio (SDR) on separating the vocal stems, which is the primary practical application of MSS.

ANT: Exploiting Adaptive Numerical Data Type for Low-bit Deep Neural Network Quantization

Quantization is a technique to reduce the computation and memory cost of DNN models, which are getting increasingly large. Existing quantization solutions use fixed-point integer or floating-point types, which have limited benefits, as both require more bits to maintain the accuracy of original models. On the other hand, variable-length quantization uses low-bit quantization for normal values and high-precision for a fraction of outlier values. Even though this line of work brings algorithmic benefits, it also introduces significant hardware overheads due to variable-length encoding and decoding. In this work, we propose a fixed-length adaptive numerical data type called ANT to achieve low-bit quantization with tiny hardware overheads. Our data type ANT leverages two key innovations to exploit the intra-tensor and inter-tensor adaptive opportunities in DNN models. First, we propose a particular data type, flint, that combines the advantages of float and int for adapting to the importance of different values within a tensor. Second, we propose an adaptive framework that selects the best type for each tensor according to its distribution characteristics. We design a unified processing element architecture for ANT and show its ease of integration with existing DNN accelerators. Our design results in 2.8$\times$ speedup and 2.5$\times$ energy efficiency improvement over the state-of-the-art quantization accelerators.

Doge Tickets: Uncovering Domain-general Language Models by Playing Lottery Tickets

Over-parameterized models, typically pre-trained language models (LMs), have shown an appealing expressive power due to their small learning bias. However, the huge learning capacity of LMs can also lead to large learning variance. In a pilot study, we find that, when faced with multiple domains, a critical portion of parameters behave unexpectedly in a domain-specific manner while others behave in a domain-general one. Motivated by this phenomenon, we for the first time posit that domain-general parameters can underpin a domain-general LM that can be derived from the original LM. To uncover the domain-general LM, we propose to identify domain-general parameters by playing lottery tickets (dubbed doge tickets). In order to intervene the lottery, we propose a domain-general score, which depicts how domain-invariant a parameter is by associating it with the variance. Comprehensive experiments are conducted on the Amazon, Mnli and OntoNotes datasets. The results show that the doge tickets obtains an improved out-of-domain generalization in comparison with a range of competitive baselines. Analysis results further hint the existence of domain-general parameters and the performance consistency of doge tickets.