This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results. It presented the findings of the follow-up project of the research "Application of Convolutional Neural Networks with Quasi-Reversibility Method Results for Option Forecasting". First, the project included an application of Recurrent Neural Networks (RNN) and Long Short-Term Memory (LSTM) networks to provide a novel way of predicting stock option trends. Additionally, it examined the dependence of the ML models by evaluating the experimental method of combining multiple ML models to improve prediction results and decision-making. Lastly, two improved trading strategies and simulated investing results were presented. The Binomial Asset Pricing Model with discrete time stochastic process analysis and portfolio hedging was applied and suggested an optimized investment expectation. These results can be utilized in real-life trading strategies to optimize stock option investment results based on historical data.
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This paper presents a novel way to apply mathematical finance and machine learning (ML) to forecast stock options prices. Following results from the paper Quasi-Reversibility Method and Neural Network Machine Learning to Solution of Black-Scholes Equations (appeared on the AMS Contemporary Mathematics journal), we create and evaluate new empirical mathematical models for the Black-Scholes equation to analyze data for 92,846 companies. We solve the Black-Scholes (BS) equation forwards in time as an ill-posed inverse problem, using the Quasi-Reversibility Method (QRM), to predict option price for the future one day. For each company, we have 13 elements including stock and option daily prices, volatility, minimizer, etc. Because the market is so complicated that there exists no perfect model, we apply ML to train algorithms to make the best prediction. The current stage of research combines QRM with Convolutional Neural Networks (CNN), which learn information across a large number of data points simultaneously. We implement CNN to generate new results by validating and testing on sample market data. We test different ways of applying CNN and compare our CNN models with previous models to see if achieving a higher profit rate is possible.
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许多真实网络展出的拓扑模式激励了基于拓扑的方法的发展,以评估网络的相似性。然而,提取拓扑结构是困难的,特别是对于节点度范围超过多个数量级的大型和密集网络。在本文中,我们提出了一种新颖的和计算实用的拓扑集群聚类方法,将复杂网络与复杂的拓扑结构从持续的同源性和最优运输中使用主治理论。这种网络通过基于其拓扑和几何结构的基于质心的聚类策略聚合到集群中,在不同网络中保留了节点之间的对应关系。拓扑接近和质心的概念使用新颖的和有效的方法来计算Wassersein距离和持久性条形码的持久条形码计算,以及与连接的分量和循环相关联的持久性条形码。所提出的方法被证明使用模拟网络和测量的功能性脑网络有效。
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In this paper we explore the task of modeling (semi) structured object sequences; in particular we focus our attention on the problem of developing a structure-aware input representation for such sequences. In such sequences, we assume that each structured object is represented by a set of key-value pairs which encode the attributes of the structured object. Given a universe of keys, a sequence of structured objects can then be viewed as an evolution of the values for each key, over time. We encode and construct a sequential representation using the values for a particular key (Temporal Value Modeling - TVM) and then self-attend over the set of key-conditioned value sequences to a create a representation of the structured object sequence (Key Aggregation - KA). We pre-train and fine-tune the two components independently and present an innovative training schedule that interleaves the training of both modules with shared attention heads. We find that this iterative two part-training results in better performance than a unified network with hierarchical encoding as well as over, other methods that use a {\em record-view} representation of the sequence \cite{de2021transformers4rec} or a simple {\em flattened} representation of the sequence. We conduct experiments using real-world data to demonstrate the advantage of interleaving TVM-KA on multiple tasks and detailed ablation studies motivating our modeling choices. We find that our approach performs better than flattening sequence objects and also allows us to operate on significantly larger sequences than existing methods.
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Optical coherence tomography (OCT) captures cross-sectional data and is used for the screening, monitoring, and treatment planning of retinal diseases. Technological developments to increase the speed of acquisition often results in systems with a narrower spectral bandwidth, and hence a lower axial resolution. Traditionally, image-processing-based techniques have been utilized to reconstruct subsampled OCT data and more recently, deep-learning-based methods have been explored. In this study, we simulate reduced axial scan (A-scan) resolution by Gaussian windowing in the spectral domain and investigate the use of a learning-based approach for image feature reconstruction. In anticipation of the reduced resolution that accompanies wide-field OCT systems, we build upon super-resolution techniques to explore methods to better aid clinicians in their decision-making to improve patient outcomes, by reconstructing lost features using a pixel-to-pixel approach with an altered super-resolution generative adversarial network (SRGAN) architecture.
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Real-life tools for decision-making in many critical domains are based on ranking results. With the increasing awareness of algorithmic fairness, recent works have presented measures for fairness in ranking. Many of those definitions consider the representation of different ``protected groups'', in the top-$k$ ranked items, for any reasonable $k$. Given the protected groups, confirming algorithmic fairness is a simple task. However, the groups' definitions may be unknown in advance. In this paper, we study the problem of detecting groups with biased representation in the top-$k$ ranked items, eliminating the need to pre-define protected groups. The number of such groups possible can be exponential, making the problem hard. We propose efficient search algorithms for two different fairness measures: global representation bounds, and proportional representation. Then we propose a method to explain the bias in the representations of groups utilizing the notion of Shapley values. We conclude with an experimental study, showing the scalability of our approach and demonstrating the usefulness of the proposed algorithms.
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The previous fine-grained datasets mainly focus on classification and are often captured in a controlled setup, with the camera focusing on the objects. We introduce the first Fine-Grained Vehicle Detection (FGVD) dataset in the wild, captured from a moving camera mounted on a car. It contains 5502 scene images with 210 unique fine-grained labels of multiple vehicle types organized in a three-level hierarchy. While previous classification datasets also include makes for different kinds of cars, the FGVD dataset introduces new class labels for categorizing two-wheelers, autorickshaws, and trucks. The FGVD dataset is challenging as it has vehicles in complex traffic scenarios with intra-class and inter-class variations in types, scale, pose, occlusion, and lighting conditions. The current object detectors like yolov5 and faster RCNN perform poorly on our dataset due to a lack of hierarchical modeling. Along with providing baseline results for existing object detectors on FGVD Dataset, we also present the results of a combination of an existing detector and the recent Hierarchical Residual Network (HRN) classifier for the FGVD task. Finally, we show that FGVD vehicle images are the most challenging to classify among the fine-grained datasets.
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Three main points: 1. Data Science (DS) will be increasingly important to heliophysics; 2. Methods of heliophysics science discovery will continually evolve, requiring the use of learning technologies [e.g., machine learning (ML)] that are applied rigorously and that are capable of supporting discovery; and 3. To grow with the pace of data, technology, and workforce changes, heliophysics requires a new approach to the representation of knowledge.
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In the Earth's magnetosphere, there are fewer than a dozen dedicated probes beyond low-Earth orbit making in-situ observations at any given time. As a result, we poorly understand its global structure and evolution, the mechanisms of its main activity processes, magnetic storms, and substorms. New Artificial Intelligence (AI) methods, including machine learning, data mining, and data assimilation, as well as new AI-enabled missions will need to be developed to meet this Sparse Data challenge.
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Dataset scaling, also known as normalization, is an essential preprocessing step in a machine learning pipeline. It is aimed at adjusting attributes scales in a way that they all vary within the same range. This transformation is known to improve the performance of classification models, but there are several scaling techniques to choose from, and this choice is not generally done carefully. In this paper, we execute a broad experiment comparing the impact of 5 scaling techniques on the performances of 20 classification algorithms among monolithic and ensemble models, applying them to 82 publicly available datasets with varying imbalance ratios. Results show that the choice of scaling technique matters for classification performance, and the performance difference between the best and the worst scaling technique is relevant and statistically significant in most cases. They also indicate that choosing an inadequate technique can be more detrimental to classification performance than not scaling the data at all. We also show how the performance variation of an ensemble model, considering different scaling techniques, tends to be dictated by that of its base model. Finally, we discuss the relationship between a model's sensitivity to the choice of scaling technique and its performance and provide insights into its applicability on different model deployment scenarios. Full results and source code for the experiments in this paper are available in a GitHub repository.\footnote{https://github.com/amorimlb/scaling\_matters}
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