Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review

In the financial services industry, forecasting the risk factor distribution conditional on the history and the current market environment is the key to market risk modeling in general and value at risk (VaR) model in particular. As one of the most widely adopted VaR models in commercial banks, Historical simulation (HS) uses the empirical distribution of daily returns in a historical window as the forecast distribution of risk factor returns in the next day. The objectives for financial time series generation are to generate synthetic data paths with good variety, and similar distribution and dynamics to the original historical data. In this paper, we apply multiple existing deep generative methods (e.g., CGAN, CWGAN, Diffusion, and Signature WGAN) for conditional time series generation, and propose and test two new methods for conditional multi-step time series generation, namely Encoder-Decoder CGAN and Conditional TimeVAE. Furthermore, we introduce a comprehensive framework with a set of KPIs to measure the quality of the generated time series for financial modeling. The KPIs cover distribution distance, autocorrelation and backtesting. All models (HS, parametric and neural networks) are tested on both historical USD yield curve data and additional data simulated from GARCH and CIR processes. The study shows that top performing models are HS, GARCH and CWGAN models. Future research directions in this area are also discussed.

Evolutionary Alternating Direction Method of Multipliers for Constrained Multi-Objective Optimization with Unknown Constraints

Constrained multi-objective optimization problems (CMOPs) pervade real-world applications in science, engineering, and design. Constraint violation has been a building block in designing evolutionary multi-objective optimization algorithms for solving constrained multi-objective optimization problems. However, in certain scenarios, constraint functions might be unknown or inadequately defined, making constraint violation unattainable and potentially misleading for conventional constrained evolutionary multi-objective optimization algorithms. To address this issue, we present the first of its kind evolutionary optimization framework, inspired by the principles of the alternating direction method of multipliers that decouples objective and constraint functions. This framework tackles CMOPs with unknown constraints by reformulating the original problem into an additive form of two subproblems, each of which is allotted a dedicated evolutionary population. Notably, these two populations operate towards complementary evolutionary directions during their optimization processes. In order to minimize discrepancy, their evolutionary directions alternate, aiding the discovery of feasible solutions. Comparative experiments conducted against five state-of-the-art constrained evolutionary multi-objective optimization algorithms, on 120 benchmark test problem instances with varying properties, as well as two real-world engineering optimization problems, demonstrate the effectiveness and superiority of our proposed framework. Its salient features include faster convergence and enhanced resilience to various Pareto front shapes.

Inferring Heterogeneous Treatment Effects of Crashes on Highway Traffic: A Doubly Robust Causal Machine Learning Approach

Highway traffic crashes exert a considerable impact on both transportation systems and the economy. In this context, accurate and dependable emergency responses are crucial for effective traffic management. However, the influence of crashes on traffic status varies across diverse factors and may be biased due to selection bias. Therefore, there arises a necessity to accurately estimate the heterogeneous causal effects of crashes, thereby providing essential insights to facilitate individual-level emergency decision-making. This paper proposes a novel causal machine learning framework to estimate the causal effect of different types of crashes on highway speed. The Neyman-Rubin Causal Model (RCM) is employed to formulate this problem from a causal perspective. The Conditional Shapley Value Index (CSVI) is proposed based on causal graph theory to filter adverse variables, and the Structural Causal Model (SCM) is then adopted to define the statistical estimand for causal effects. The treatment effects are estimated by Doubly Robust Learning (DRL) methods, which combine doubly robust causal inference with classification and regression machine learning models. Experimental results from 4815 crashes on Highway Interstate 5 in Washington State reveal the heterogeneous treatment effects of crashes at varying distances and durations. The rear-end crashes cause more severe congestion and longer durations than other types of crashes, and the sideswipe crashes have the longest delayed impact. Additionally, the findings show that rear-end crashes affect traffic greater at night, while crash to objects has the most significant influence during peak hours. Statistical hypothesis tests, error metrics based on matched "counterfactual outcomes", and sensitive analyses are employed for assessment, and the results validate the accuracy and effectiveness of our method.

Few Clicks Suffice: Active Test-Time Adaptation for Semantic Segmentation

Test-time adaptation (TTA) adapts the pre-trained models during inference using unlabeled test data and has received a lot of research attention due to its potential practical value. Unfortunately, without any label supervision, existing TTA methods rely heavily on heuristic or empirical studies. Where to update the model always falls into suboptimal or brings more computational resource consumption. Meanwhile, there is still a significant performance gap between the TTA approaches and their supervised counterparts. Motivated by active learning, in this work, we propose the active test-time adaptation for semantic segmentation setup. Specifically, we introduce the human-in-the-loop pattern during the testing phase, which queries very few labels to facilitate predictions and model updates in an online manner. To do so, we propose a simple but effective ATASeg framework, which consists of two parts, i.e., model adapter and label annotator. Extensive experiments demonstrate that ATASeg bridges the performance gap between TTA methods and their supervised counterparts with only extremely few annotations, even one click for labeling surpasses known SOTA TTA methods by 2.6% average mIoU on ACDC benchmark. Empirical results imply that progress in either the model adapter or the label annotator will bring improvements to the ATASeg framework, giving it large research and reality potential.

Language Semantic Graph Guided Data-Efficient Learning

Developing generalizable models that can effectively learn from limited data and with minimal reliance on human supervision is a significant objective within the machine learning community, particularly in the era of deep neural networks. Therefore, to achieve data-efficient learning, researchers typically explore approaches that can leverage more related or unlabeled data without necessitating additional manual labeling efforts, such as Semi-Supervised Learning (SSL), Transfer Learning (TL), and Data Augmentation (DA). SSL leverages unlabeled data in the training process, while TL enables the transfer of expertise from related data distributions. DA broadens the dataset by synthesizing new data from existing examples. However, the significance of additional knowledge contained within labels has been largely overlooked in research. In this paper, we propose a novel perspective on data efficiency that involves exploiting the semantic information contained in the labels of the available data. Specifically, we introduce a Language Semantic Graph (LSG) which is constructed from labels manifest as natural language descriptions. Upon this graph, an auxiliary graph neural network is trained to extract high-level semantic relations and then used to guide the training of the primary model, enabling more adequate utilization of label knowledge. Across image, video, and audio modalities, we utilize the LSG method in both TL and SSL scenarios and illustrate its versatility in significantly enhancing performance compared to other data-efficient learning approaches. Additionally, our in-depth analysis shows that the LSG method also expedites the training process.

Annotator: A Generic Active Learning Baseline for LiDAR Semantic Segmentation

Active learning, a label-efficient paradigm, empowers models to interactively query an oracle for labeling new data. In the realm of LiDAR semantic segmentation, the challenges stem from the sheer volume of point clouds, rendering annotation labor-intensive and cost-prohibitive. This paper presents Annotator, a general and efficient active learning baseline, in which a voxel-centric online selection strategy is tailored to efficiently probe and annotate the salient and exemplar voxel girds within each LiDAR scan, even under distribution shift. Concretely, we first execute an in-depth analysis of several common selection strategies such as Random, Entropy, Margin, and then develop voxel confusion degree (VCD) to exploit the local topology relations and structures of point clouds. Annotator excels in diverse settings, with a particular focus on active learning (AL), active source-free domain adaptation (ASFDA), and active domain adaptation (ADA). It consistently delivers exceptional performance across LiDAR semantic segmentation benchmarks, spanning both simulation-to-real and real-to-real scenarios. Surprisingly, Annotator exhibits remarkable efficiency, requiring significantly fewer annotations, e.g., just labeling five voxels per scan in the SynLiDAR-to-SemanticKITTI task. This results in impressive performance, achieving 87.8% fully-supervised performance under AL, 88.5% under ASFDA, and 94.4% under ADA. We envision that Annotator will offer a simple, general, and efficient solution for label-efficient 3D applications. Project page: https://binhuixie.github.io/annotator-web

Shape-centered Representation Learning for Visible-Infrared Person Re-identification

Current Visible-Infrared Person Re-Identification (VI-ReID) methods prioritize extracting distinguishing appearance features, ignoring the natural resistance of body shape against modality changes. Initially, we gauged the discriminative potential of shapes by a straightforward concatenation of shape and appearance features. However, two unresolved issues persist in the utilization of shape features. One pertains to the dependence on auxiliary models for shape feature extraction in the inference phase, along with the errors in generated infrared shapes due to the intrinsic modality disparity. The other issue involves the inadequately explored correlation between shape and appearance features. To tackle the aforementioned challenges, we propose the Shape-centered Representation Learning framework (ScRL), which focuses on learning shape features and appearance features associated with shapes. Specifically, we devise the Shape Feature Propagation (SFP), facilitating direct extraction of shape features from original images with minimal complexity costs during inference. To restitute inaccuracies in infrared body shapes at the feature level, we present the Infrared Shape Restitution (ISR). Furthermore, to acquire appearance features related to shape, we design the Appearance Feature Enhancement (AFE), which accentuates identity-related features while suppressing identity-unrelated features guided by shape features. Extensive experiments are conducted to validate the effectiveness of the proposed ScRL. Achieving remarkable results, the Rank-1 (mAP) accuracy attains 76.1%, 71.2%, 92.4% (72.6%, 52.9%, 86.7%) on the SYSU-MM01, HITSZ-VCM, RegDB datasets respectively, outperforming existing state-of-the-art methods.

Generalized Robust Test-Time Adaptation in Continuous Dynamic Scenarios

Test-time adaptation (TTA) adapts the pre-trained models to test distributions during the inference phase exclusively employing unlabeled test data streams, which holds great value for the deployment of models in real-world applications. Numerous studies have achieved promising performance on simplistic test streams, characterized by independently and uniformly sampled test data originating from a fixed target data distribution. However, these methods frequently prove ineffective in practical scenarios, where both continual covariate shift and continual label shift occur simultaneously, i.e., data and label distributions change concurrently and continually over time. In this study, a more challenging Practical Test-Time Adaptation (PTTA) setup is introduced, which takes into account the concurrent presence of continual covariate shift and continual label shift, and we propose a Generalized Robust Test-Time Adaptation (GRoTTA) method to effectively address the difficult problem. We start by steadily adapting the model through Robust Parameter Adaptation to make balanced predictions for test samples. To be specific, firstly, the effects of continual label shift are eliminated by enforcing the model to learn from a uniform label distribution and introducing recalibration of batch normalization to ensure stability. Secondly, the continual covariate shift is alleviated by employing a source knowledge regularization with the teacher-student model to update parameters. Considering the potential information in the test stream, we further refine the balanced predictions by Bias-Guided Output Adaptation, which exploits latent structure in the feature space and is adaptive to the imbalanced label distribution. Extensive experiments demonstrate GRoTTA outperforms the existing competitors by a large margin under PTTA setting, rendering it highly conducive for adoption in real-world applications.

Amortized Network Intervention to Steer the Excitatory Point Processes

We tackle the challenge of large-scale network intervention for guiding excitatory point processes, such as infectious disease spread or traffic congestion control. Our model-based reinforcement learning utilizes neural ODEs to capture how the networked excitatory point processes will evolve subject to the time-varying changes in network topology. Our approach incorporates Gradient-Descent based Model Predictive Control (GD-MPC), offering policy flexibility to accommodate prior knowledge and constraints. To address the intricacies of planning and overcome the high dimensionality inherent to such decision-making problems, we design an Amortize Network Interventions (ANI) framework, allowing for the pooling of optimal policies from history and other contexts, while ensuring a permutation equivalent property. This property enables efficient knowledge transfer and sharing across diverse contexts. Our approach has broad applications, from curbing infectious disease spread to reducing carbon emissions through traffic light optimization, and thus has the potential to address critical societal and environmental challenges.

In-Hand Re-grasp Manipulation with Passive Dynamic Actions via Imitation Learning

Re-grasp manipulation leverages on ergonomic tools to assist humans in accomplishing diverse tasks. In certain scenarios, humans often employ external forces to effortlessly and precisely re-grasp tools like a hammer. Previous development on controllers for in-grasp sliding motion using passive dynamic actions (e.g.,gravity) relies on apprehension of finger-object contact information, and requires customized design for individual objects with varied geometry and weight distribution. It limits their adaptability to diverse objects. In this paper, we propose an end-to-end sliding motion controller based on imitation learning (IL) that necessitates minimal prior knowledge of object mechanics, relying solely on object position information. To expedite training convergence, we utilize a data glove to collect expert data trajectories and train the policy through Generative Adversarial Imitation Learning (GAIL). Simulation results demonstrate the controller's versatility in performing in-hand sliding tasks with objects of varying friction coefficients, geometric shapes, and masses. By migrating to a physical system using visual position estimation, the controller demonstrated an average success rate of 86%, surpassing the baseline algorithm's success rate of 35% of Behavior Cloning(BC) and 20% of Proximal Policy Optimization (PPO).