Goto

Collaborating Authors

 Africa


Neural networks for option pricing and hedging: a literature review

arXiv.org Machine Learning

This work provides a review of this literature. The motivation for this summary arose from our companion paper Ruf and W ang [2019]. There we continue th e discussions of this note; in particular, of potentially problematic data leakage when training ANNs to historic financial data. This paper is organised in the following way. Section 2 featu res Table 1, a summary of the literature that concerns the use of ANNs for nonparametric pricing (and hedging) of options. Section 3 provides a list of recommended papers from Table 1. Section 4 provides a n overview of related work where ANNs are applied in the context of option pricing and hedging, but not necessarily as nonparametric estimation tools. Section 5 briefly discusses various regularisation techniq ues used in the reviewed literature.


TASTE: Temporal and Static Tensor Factorization for Phenotyping Electronic Health Records

arXiv.org Machine Learning

Phenotyping electronic health records (EHR) focuses on defining meaningful patient groups (e.g., heart failure group and diabetes group) and identifying the temporal evolution of patients in those groups. Tensor factorization has been an effective tool for phenotyping. Most of the existing works assume either a static patient representation with aggregate data or only model temporal data. However, real EHR data contain both temporal (e.g., longitudinal clinical visits) and static information (e.g., patient demographics), which are difficult to model simultaneously. In this paper, we propose Temporal And Static TEnsor factorization (TASTE) that jointly models both static and temporal information to extract phenotypes. TASTE combines the PARAFAC2 model with non-negative matrix factorization to model a temporal and a static tensor. To fit the proposed model, we transform the original problem into simpler ones which are optimally solved in an alternating fashion. For each of the sub-problems, our proposed mathematical reformulations lead to efficient sub-problem solvers. Comprehensive experiments on large EHR data from a heart failure (HF) study confirmed that TASTE is up to 14x faster than several baselines and the resulting phenotypes were confirmed to be clinically meaningful by a cardiologist. Using 80 phenotypes extracted by TASTE, a simple logistic regression can achieve the same level of area under the curve (AUC) for HF prediction compared to a deep learning model using recurrent neural networks (RNN) with 345 features.


Predicting microRNA-disease associations from knowledge graph using tensor decomposition with relational constraints

arXiv.org Machine Learning

Motivation: MiRNAs are a kind of small non - coding RNAs that are not translated into proteins, and aberrant expression of miRNAs is associated with human diseases. Since miRNAs have different roles in diseases, the miRNA - disease associations are categorized into multiple types according to their roles. Predicting miRNA - disease associations and types is critical to understand the underlying patho genesis of human diseases from the molecular level . Results: In this paper, we formulate the problem as a link prediction in knowledge graphs. We use biomedical knowledge bases to build a knowledge graph of entities representing miRNAs and disease and mult i - relations, and we propose a tensor decomposition - based model named TDRC to predict miRNA - disease associations and their types from the knowledge graph. We have experimentally evaluated our method and compared it to several baseline methods. The results d emonstrate that the proposed method h as high - accuracy and high - efficiency performances.


Compressive Transformers for Long-Range Sequence Modelling

arXiv.org Machine Learning

We present the Compressive Transformer, an attentive sequence model which compresses past memories for long-range sequence learning. We find the Com-pressive Transformer obtains state-of-the-art language modelling results in the WikiText-103 and Enwik8 benchmarks, achieving 17. 1 ppl and 0. 97 bpc respectively. We also find it can model high-frequency speech effectively and can be used as a memory mechanism for RL, demonstrated on an object matching task. To promote the domain of long-range sequence learning, we propose a new open-vocabulary language modelling benchmark derived from books, PG-19. Humans have a remarkable ability to remember information over long time horizons. When reading a book, we build up a compressed representation of the past narrative, such as the characters and events that have built up the story so far. We can do this even if they are separated by thousands of words from the current text, or long stretches of time between readings. During daily life, we make use of memories at varying timescales: from locating the car keys, placed in the morning, to recalling the name of an old friend from decades ago. These feats of memorisation are not achieved by storing every sensory glimpse throughout one's lifetime, but via lossy compression. We aggressively select, filter, or integrate input stimuli based on factors of surprise, perceived danger, or repetition -- amongst other signals (Richards and Frankland, 2017). Memory systems in artificial neural networks began with very compact representations of the past. Recurrent neural networks (RNNs, Rumelhart et al. (1986)) learn to represent the history of observations in a compressed state vector. The state is compressed because it uses far less space than the history of observations -- the model only preserving information that is pertinent to the optimization of the loss.


#4IR_2019-07-27_14-14-38.xlsx

#artificialintelligence

The graph represents a network of 4,182 Twitter users whose recent tweets contained "#4IR", or who were replied to or mentioned in those tweets, taken from a data set limited to a maximum of 18,000 tweets. The network was obtained from Twitter on Saturday, 27 July 2019 at 21:52 UTC. The tweets in the network were tweeted over the 9-day, 8-hour, 38-minute period from Thursday, 18 July 2019 at 12:24 UTC to Saturday, 27 July 2019 at 21:03 UTC. Additional tweets that were mentioned in this data set were also collected from prior time periods. These tweets may expand the complete time period of the data.


Cisco Webex Contact Center Adds AI and Voice Capabilities

#artificialintelligence

Cisco recently announced how its three most recent acquisitions will add value to its Cisco Contact Center help desk solution that's currently used by more than three million agents in over 30,000 enterprises. The announcement was made at the 10th annual Cisco Contact Center Summit on September 19, 2019, in Hollywood, Florida, which was attended by 1,100 Cisco salespersons, partners, and customers. Cisco's Contact Center is an integrated communications application suite that delivers intelligent call routing, network-to-desktop computer telephony integration (CTI), and multi-channel contact management to contact center agents over an Internet Protocol (IP) network. Cisco has been enhancing the capabilities of its contact center offerings by acquiring various products over the past year or so, and integrating those offerings' features and functionalities to its feature stack. Beginning in May 2018, Cisco finished its acquisition of business intelligence (BI) specialist Accompany.


Embracing the power of technology

#artificialintelligence

Just how worried should we be about killer robots? Amidst all the talk about how artificial intelligence (AI) is threatening society, some experts believe AI shouldn't be feared. Here's why we can embrace the power of technology. Artificial intelligence (AI) is everywhere. AI recommends movies and restaurant choices, prevents cars from crashing, books flights, tracks taxis, identifies financial fraud and creates playlists to work out to.


Thousands apply to Abu Dhabi AI University in first week

#artificialintelligence

More than 3,000 potential students applied to join Abu Dhabi's artificial intelligence (AI) focused university in the first week that applications were open. Most of the applications to Mohamed bin Zayed University of Artificial Intelligence (MBZUAI) came from the United Arab Emirates (UAE), Saudi Arabia, Algeria, Egypt, India, and China. MBZUAI, based in Masdar City, Abu Dhabi, aims to enable students, businesses and governments to increase the use of AI technology. It is the first university focused only on AI. The current applications are for the academic year 2021-2022, with the first students expected to start in September 2020.


History as a giant data set: how analysing the past could help save the future

The Guardian

In its first issue of 2010, the scientific journal Nature looked forward to a dazzling decade of progress. By 2020, experimental devices connected to the internet would deduce our search queries by directly monitoring our brain signals. Crops would exist that doubled their biomass in three hours. Humanity would be well on the way to ending its dependency on fossil fuels. It warned that all these advances could be derailed by mounting political instability, which was due to peak in the US and western Europe around 2020. Human societies go through predictable periods of growth, the letter explained, during which the population increases and prosperity rises. Then come equally predictable periods of decline. In recent decades, the letter went on, a number of worrying social indicators – such as wealth inequality and public debt – had started to climb in western nations, indicating that these societies were approaching a period of upheaval. The letter-writer would go on to predict that the turmoil in the US in 2020 would be less severe than the American civil war, but worse than the violence of the late 1960s and early 70s, when the murder rate spiked, civil rights and anti-Vietnam war protests intensified and domestic terrorists carried out thousands of bombings across the country. The author of this stark warning was not a historian, but a biologist.


AI ethics is all about power

#artificialintelligence

At the Common Good in the Digital Age tech conference recently held in Vatican City, Pope Francis urged Facebook executives, venture capitalists, and government regulators to be wary of the impact of AI and other technologies. "If mankind's so-called technological progress were to become an enemy of the common good, this would lead to an unfortunate regression to a form of barbarism dictated by the law of the strongest," he said. In a related but contextually different conversation, this summer Joy Buolamwini testified before Congress with Rep. Alexandria Ocasio-Cortez (D-NY) that multiple audits found facial recognition technology generally works best on white men and worst on women of color. What these two events have in common is their relationship to power dynamics in the AI ethics debate. Arguments about AI ethics can wage without mention of the word "power," but it's often there just under the surface. In fact, it's rarely the direct focus, but it needs to be. Power in AI is like gravity, an invisible force that influences every consideration of ethics in artificial intelligence. Power provides the means to influence which use cases are relevant; which problems are priorities; and who the tools, products, and services are made to serve. It underlies debates about how corporations and countries create policy governing use of the technology.