This paper plays a part in two branches of the asset pricing literature, the multi-factor literature built on the Arbitrage Pricing Theory (APT) from Ross (1976) [1] and the Inter-temporal Capital Asset Pricing Model (ICAPM) from Merton (1973) [2] and to the growing literature related to the low-risk anomaly. First, we use the Adaptive Multi-Factor (AMF) model framework developed in Zhu et al. (2018) [3] in which both the APT and ICAPM are special cases under weaker conditions with three main added benefits: 1) It allows for a large number of risk factors to explain returns even though empirically a smaller subset of them is needed to explain returns, 2) The set of risk factors is different for different securities, and 3) The risk factors are Exchange Traded Funds (ETF) which are tradeable instruments. Second, the low-risk anomaly is an empirical asset pricing observation in which stocks with lower risk yield higher returns than stocks with higher risk. The two main measures for characterising risk in this context are volatility of returns and β derived from the Capital Asset Pricing Model (CAPM). Therefore, when mentioning the low-risk anomaly, we are referring to the low-volatility and the low-beta anomaly interchangeably.

The wide spread use of positioning and photographing devices gives rise to a deluge of traffic trajectory data (e.g., vehicle passage records and taxi trajectory data), with each record having at least three attributes: object ID, location ID, and time-stamp. In this paper, we propose a novel mobility pattern embedding model called MPE to shed the light on people's mobility patterns in traffic trajectory data from multiple aspects, including sequential, personal, and temporal factors. MPE has two salient features: (1) it is capable of casting various types of information (object, location and time) to an integrated low-dimensional latent space; (2) it considers the effect of ``phantom transitions'' arising from road networks in traffic trajectory data. This embedding model opens the door to a wide range of applications such as next location prediction and visualization. Experimental results on two real-world datasets show that MPE is effective and outperforms the state-of-the-art methods significantly in a variety of tasks.

The widespread use of positioning devices (e.g., GPS) has given rise to a vast body of human movement data, often in the form of trajectories. Understanding human mobility patterns could benefit many location-based applications. In this paper, we propose a novel generative model called TraLFM via latent factor modeling to mine human mobility patterns underlying traffic trajectories. TraLFM is based on three key observations: (1) human mobility patterns are reflected by the sequences of locations in the trajectories; (2) human mobility patterns vary with people; and (3) human mobility patterns tend to be cyclical and change over time. Thus, TraLFM models the joint action of sequential, personal and temporal factors in a unified way, and brings a new perspective to many applications such as latent factor analysis and next location prediction. We perform thorough empirical studies on two real datasets, and the experimental results confirm that TraLFM outperforms the state-of-the-art methods significantly in these applications.

In recent biomedical scientific problems, it is a fundamental issue to integratively cluster a set of objects from multiple sources of datasets. Such problems are mostly encountered in genomics, where data is collected from various sources, and typically represent distinct yet complementary information. Integrating these data sources for multi-source clustering is challenging due to their complex dependence structure including directional dependency. Particularly in genomics studies, it is known that there is certain directional dependence between DNA expression, DNA methylation, and RNA expression, widely called The Central Dogma. Most of the existing multi-view clustering methods either assume an independent structure or pair-wise (non-directional) dependency, thereby ignoring the directional relationship. Motivated by this, we propose a copula-based multi-view clustering model where a copula enables the model to accommodate the directional dependence existing in the datasets. We conduct a simulation experiment where the simulated datasets exhibiting inherent directional dependence: it turns out that ignoring the directional dependence negatively affects the clustering performance. As a real application, we applied our model to the breast cancer tumor samples collected from The Cancer Genome Altas (TCGA).

Legged locomotion is a challenging task in the field of robotics but a rather simple one in nature. This motivates the use of biological methodologies as solutions to this problem. Central pattern generators are neural networks that are thought to be responsible for locomotion in humans and some animal species. As for robotics, many attempts were made to reproduce such systems and use them for a similar goal. One interesting design model is based on spiking neural networks. This model is the main focus of this work, as its contribution is not limited to engineering but also applicable to neuroscience. This paper introduces a new general framework for building central pattern generators that are task-independent, biologically plausible, and rely on learning methods. The abilities and properties of the presented approach are not only evaluated in simulation but also in a robotic experiment. The results are very promising as the used robot was able to perform stable walking at different speeds and to change speed within the same gait cycle.

Fourier ptychography is a recently explored imaging method for overcoming the diffraction limit of conventional cameras with applications in microscopy and yielding high-resolution images. In order to splice together low-resolution images taken under different illumination angles of coherent light source, an iterative phase retrieval algorithm is adopted. However, the reconstruction procedure is slow and needs a good many of overlap in the Fourier domain for the continuous recorded low-resolution images and is also worse under system aberrations such as noise or random update sequence. In this paper, we propose a new retrieval algorithm that is based on convolutional neural networks. Once well trained, our model can perform high-quality reconstruction rapidly by using the graphics processing unit. The experiments demonstrate that our model achieves better reconstruction results and is more robust under system aberrations.

Variants of Graph Neural Networks (GNNs) for representation learning have been proposed recently and achieved fruitful results in various fields. Among them, graph attention networks (GATs) first employ a self-attention strategy to learn attention weights for each edge in the spatial domain. However, learning the attentions over edges only pays attention to the local information of graphs and greatly increases the number of parameters. In this paper, we first introduce attentions in the spectral domain of graphs. Accordingly, we present Spectral Graph Attention Network (SpGAT) that learn representations for different frequency components regarding weighted filters and graph wavelets bases. In this way, SpGAT can better capture global patterns of graphs in an efficient manner with much fewer learned parameters than that of GAT. We thoroughly evaluate the performance of SpGAT in the semi-supervised node classification task and verified the effectiveness of the learned attentions in the spectral domain.

Over the past decade, random forest models have become widely used as a robust method for high-dimensional data regression tasks. In part, the popularity of these models arises from the fact that they require little hyperparameter tuning and are not very susceptible to overfitting. Random forest regression models are comprised of an ensemble of decision trees that independently predict the value of a (continuous) dependent variable; predictions from each of the trees are ultimately averaged to yield an overall predicted value from the forest. Using a suite of representative real-world datasets, we find a systematic bias in predictions from random forest models. We find that this bias is recapitulated in simple synthetic datasets, regardless of whether or not they include irreducible error (noise) in the data, but that models employing boosting do not exhibit this bias. Here we demonstrate the basis for this problem, and we use the training data to define a numerical transformation that fully corrects it. Application of this transformation yields improved predictions in every one of the real-world and synthetic datasets evaluated in our study.

Throughout the last years, machine learning techniques have been broadly encouraged in the context of deep learning architectures. An interesting algorithm denoted as Restricted Boltzmann Machine relies on energy- and probabilistic-based nature to tackle with the most diverse applications, such as classification, reconstruction, and generation of images and signals. Nevertheless, one can see they are not adequately renowned when compared to other well-known deep learning techniques, e.g., Convolutional Neural Networks. Such behavior promotes the lack of researches and implementations around the literature, coping with the challenge of sufficiently comprehending these energy-based systems. Therefore, in this paper, we propose a Python-inspired framework in the context of energy-based architectures, denoted as Learnergy. Essentially, Learnergy is built upon PyTorch for providing a more friendly environment and a faster prototyping workspace, as well as, possibility the usage of CUDA computations, speeding up their computational time.

High-dimensional autoregressive point processes model how current events trigger or inhibit future events, such as activity by one member of a social network can affect the future activity of his or her neighbors. While past work has focused on estimating the underlying network structure based solely on the times at which events occur on each node of the network, this paper examines the more nuanced problem of estimating context-dependent networks that reflect how features associated with an event (such as the content of a social media post) modulate the strength of influences among nodes. Specifically, we leverage ideas from compositional time series and regularization methods in machine learning to conduct network estimation for high-dimensional marked point processes. Two models and corresponding estimators are considered in detail: an autoregressive multinomial model suited to categorical marks and a logistic-normal model suited to marks with mixed membership in different categories. Importantly, the logistic-normal model leads to a convex negative log-likelihood objective and captures dependence across categories. We provide theoretical guarantees for both estimators, which we validate by simulations and a synthetic data-generating model. We further validate our methods through two real data examples and demonstrate the advantages and disadvantages of both approaches.