Learning the Market: Sentiment-Based Ensemble Trading Agents

We propose the integration of sentiment analysis and deep-reinforcement learning ensemble algorithms for stock trading, and design a strategy capable of dynamically altering its employed agent given concurrent market sentiment. In particular, we create a simple-yet-effective method for extracting news sentiment and combine this with general improvements upon existing works, resulting in automated trading agents that effectively consider both qualitative market factors and quantitative stock data. We show that our approach results in a strategy that is profitable, robust, and risk-minimal -- outperforming the traditional ensemble strategy as well as single agent algorithms and market metrics. Our findings determine that the conventional practice of switching ensemble agents every fixed-number of months is sub-optimal, and that a dynamic sentiment-based framework greatly unlocks additional performance within these agents. Furthermore, as we have designed our algorithm with simplicity and efficiency in mind, we hypothesize that the transition of our method from historical evaluation towards real-time trading with live data should be relatively simple.

Winner-Take-All Column Row Sampling for Memory Efficient Adaptation of Language Model

With the rapid growth in model size, fine-tuning the large pre-trained language model has become increasingly difficult due to its extensive memory usage. Previous works usually focus on reducing the number of trainable parameters in the network. While the model parameters do contribute to memory usage, the primary memory bottleneck during training arises from storing feature maps, also known as activations, as they are crucial for gradient calculation. Notably, neural networks are usually trained using stochastic gradient descent. We argue that in stochastic optimization, models can handle noisy gradients as long as the gradient estimator is unbiased with reasonable variance. Following this motivation, we propose a new family of unbiased estimators called WTA-CRS, for matrix production with reduced variance, which only requires storing the sub-sampled activations for calculating the gradient. Our work provides both theoretical and experimental evidence that, in the context of tuning transformers, our proposed estimators exhibit lower variance compared to existing ones. By replacing the linear operation with our approximated one in transformers, we can achieve up to 2.7$\times$ peak memory reduction with almost no accuracy drop and enables up to $6.4\times$ larger batch size. Under the same hardware, WTA-CRS enables better down-streaming task performance by applying larger models and/or faster training speed with larger batch sizes.

Improving CNN-base Stock Trading By Considering Data Heterogeneity and Burst

In recent years, there have been quite a few attempts to apply intelligent techniques to financial trading, i.e., constructing automatic and intelligent trading framework based on historical stock price. Due to the unpredictable, uncertainty and volatile nature of financial market, researchers have also resorted to deep learning to construct the intelligent trading framework. In this paper, we propose to use CNN as the core functionality of such framework, because it is able to learn the spatial dependency (i.e., between rows and columns) of the input data. However, different with existing deep learning-based trading frameworks, we develop novel normalization process to prepare the stock data. In particular, we first empirically observe that the stock data is intrinsically heterogeneous and bursty, and then validate the heterogeneity and burst nature of stock data from a statistical perspective. Next, we design the data normalization method in a way such that the data heterogeneity is preserved and bursty events are suppressed. We verify out developed CNN-based trading framework plus our new normalization method on 29 stocks. Experiment results show that our approach can outperform other comparing approaches.

Grad-CAM guided channel-spatial attention module for fine-grained visual classification

Fine-grained visual classification (FGVC) is becoming an important research field, due to its wide applications and the rapid development of computer vision technologies. The current state-of-the-art (SOTA) methods in the FGVC usually employ attention mechanisms to first capture the semantic parts and then discover their subtle differences between distinct classes. The channel-spatial attention mechanisms, which focus on the discriminative channels and regions simultaneously, have significantly improved the classification performance. However, the existing attention modules are poorly guided since part-based detectors in the FGVC depend on the network learning ability without the supervision of part annotations. As obtaining such part annotations is labor-intensive, some visual localization and explanation methods, such as gradient-weighted class activation mapping (Grad-CAM), can be utilized for supervising the attention mechanism. We propose a Grad-CAM guided channel-spatial attention module for the FGVC, which employs the Grad-CAM to supervise and constrain the attention weights by generating the coarse localization maps. To demonstrate the effectiveness of the proposed method, we conduct comprehensive experiments on three popular FGVC datasets, including CUB-$200$-$2011$, Stanford Cars, and FGVC-Aircraft datasets. The proposed method outperforms the SOTA attention modules in the FGVC task. In addition, visualizations of feature maps also demonstrate the superiority of the proposed method against the SOTA approaches.

Quantum-Inspired Classical Algorithm for Principal Component Regression

This paper presents a sublinear classical algorithm for principal component regression. The algorithm uses quantum-inspired linear algebra, an idea developed by Tang. Using this technique, her algorithm for recommendation systems achieved runtime only polynomially slower than its quantum counterpart. Her work was quickly adapted to solve many other problems in sublinear time complexity. In this work, we developed an algorithm for principal component regression that runs in time polylogarithmic to the number of data points, an exponential speed up over the state-of-the-art algorithm, under the mild assumption that the input is given in some data structure that supports a norm-based sampling procedure. This exponential speed up allows for potential applications in much larger data sets.

A modified Physarum-inspired model for the user equilibrium traffic assignment problem

The user equilibrium traffic assignment principle is very important in the traffic assignment problem. Mathematical programming models are designed to solve the user equilibrium problem in traditional algorithms. Recently, the Physarum shows the ability to address the user equilibrium and system optimization traffic assignment problems. However, the Physarum model are not efficient in real traffic networks with two-way traffic characteristics and multiple origin-destination pairs. In this article, a modified Physarum-inspired model for the user equilibrium problem is proposed. By decomposing traffic flux based on origin nodes, the traffic flux from different origin-destination pairs can be distinguished in the proposed model. The Physarum can obtain the equilibrium traffic flux when no shorter path can be discovered between each origin-destination pair. Finally, numerical examples use the Sioux Falls network to demonstrate the rationality and convergence properties of the proposed model.