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The Adaptive Multi-Factor Model and the Financial Market

arXiv.org Machine Learning

Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading, results in a boom of the data which provides more opportunities to reveal deeper insights. However, traditional statistical methods always suffer from the high-dimensional, high-correlation, and time-varying instinct of the financial data. In this dissertation, we focus on developing techniques to stress these difficulties. With the proposed methodologies, we can have more interpretable models, clearer explanations, and better predictions.


DeepExpress: Heterogeneous and Coupled Sequence Modeling for Express Delivery Prediction

arXiv.org Artificial Intelligence

The prediction of express delivery sequence, i.e., modeling and estimating the volumes of daily incoming and outgoing parcels for delivery, is critical for online business, logistics, and positive customer experience, and specifically for resource allocation optimization and promotional activity arrangement. A precise estimate of consumer delivery requests has to involve sequential factors such as shopping behaviors, weather conditions, events, business campaigns, and their couplings. Besides, conventional sequence prediction assumes a stable sequence evolution, failing to address complex nonlinear sequences and various feature effects in the above multi-source data. Although deep networks and attention mechanisms demonstrate the potential of complex sequence modeling, extant networks ignore the heterogeneous and coupling situation between features and sequences, resulting in weak prediction accuracy. To address these issues, we propose DeepExpress - a deep-learning based express delivery sequence prediction model, which extends the classic seq2seq framework to learning complex coupling between sequence and features. DeepExpress leverages an express delivery seq2seq learning, a carefully-designed heterogeneous feature representation, and a novel joint training attention mechanism to adaptively map heterogeneous data, and capture sequence-feature coupling for precise estimation. Experimental results on real-world data demonstrate that the proposed method outperforms both shallow and deep baseline models.


Linear Regression

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Regression is a method to predict the target variable y which possesses the best linear relationship between the given independent and dependent values. The major goal of regression is to inspect the relationship between the input feature x with that of the target value y and then outputs a continuous-valued output for the unknown value given as the input. Simple Linear regression uses a single independent variable to predict a dependent variable by fitting the best linear relationship. Here'y' is the dependent variable. The term'bo' is the constant.


Semi-parametric Bayesian Additive Regression Trees

arXiv.org Machine Learning

Generalised Linear Models (GLMs McCullagh & Nelder 1989; Nelder & Wedderburn 1972) are frequently used in different applications to predict a univariate response due to the ease of interpretation of the parameter estimates as well as the large availability of software that facilitates simple analyses. A common assumption in GLMs is that the covariates specified (including potential interaction terms) have a linear relationship with the mean of the response after transformation through the link function. Extensions such as Generalised Additive Models (GAMs T. J. Hastie & Tibshirani 1990; Wood 2017) require the specification of the main and interaction effects via a sum of (potentially non-linear) predictors. In GAMs, the non-linear relationship is usually captured via basis expansions of the covariates and constrained by a smoothing parameter. However, in problems where the numbers of covariates and/or observations are large, the linearity assumption may not be verified and, more importantly, it may not be simple to specify the covariates and their interactions that impact most on the response.


Coalesced Multi-Output Tsetlin Machines with Clause Sharing

arXiv.org Artificial Intelligence

Using finite-state machines to learn patterns, Tsetlin machines (TMs) have obtained competitive accuracy and learning speed across several benchmarks, with frugal memory- and energy footprint. A TM represents patterns as conjunctive clauses in propositional logic (AND-rules), each clause voting for or against a particular output. While efficient for single-output problems, one needs a separate TM per output for multi-output problems. Employing multiple TMs hinders pattern reuse because each TM then operates in a silo. In this paper, we introduce clause sharing, merging multiple TMs into a single one. Each clause is related to each output by using a weight. A positive weight makes the clause vote for output $1$, while a negative weight makes the clause vote for output $0$. The clauses thus coalesce to produce multiple outputs. The resulting coalesced Tsetlin Machine (CoTM) simultaneously learns both the weights and the composition of each clause by employing interacting Stochastic Searching on the Line (SSL) and Tsetlin Automata (TA) teams. Our empirical results on MNIST, Fashion-MNIST, and Kuzushiji-MNIST show that CoTM obtains significantly higher accuracy than TM on $50$- to $1$K-clause configurations, indicating an ability to repurpose clauses. E.g., accuracy goes from $71.99$% to $89.66$% on Fashion-MNIST when employing $50$ clauses per class (22 Kb memory). While TM and CoTM accuracy is similar when using more than $1$K clauses per class, CoTM reaches peak accuracy $3\times$ faster on MNIST with $8$K clauses. We further investigate robustness towards imbalanced training data. Our evaluations on imbalanced versions of IMDb- and CIFAR10 data show that CoTM is robust towards high degrees of class imbalance. Being able to share clauses, we believe CoTM will enable new TM application domains that involve multiple outputs, such as learning language models and auto-encoding.


Social influence leads to the formation of diverse local trends

arXiv.org Artificial Intelligence

How does the visual design of digital platforms impact user behavior and the resulting environment? A body of work suggests that introducing social signals to content can increase both the inequality and unpredictability of its success, but has only been shown in the context of music listening. To further examine the effect of social influence on media popularity, we extend this research to the context of algorithmically-generated images by re-adapting Salganik et al's Music Lab experiment. On a digital platform where participants discover and curate AI-generated hybrid animals, we randomly assign both the knowledge of other participants' behavior and the visual presentation of the information. We successfully replicate the Music Lab's findings in the context of images, whereby social influence leads to an unpredictable winner-take-all market. However, we also find that social influence can lead to the emergence of local cultural trends that diverge from the status quo and are ultimately more diverse. We discuss the implications of these results for platform designers and animal conservation efforts.


Fine-tuning is Fine in Federated Learning

arXiv.org Machine Learning

We study the performance of federated learning algorithms and their variants in an asymptotic framework. Our starting point is the formulation of federated learning as a multi-criterion objective, where the goal is to minimize each client's loss using information from all of the clients. We propose a linear regression model, where, for a given client, we theoretically compare the performance of various algorithms in the high-dimensional asymptotic limit. This asymptotic multi-criterion approach naturally models the high-dimensional, many-device nature of federated learning and suggests that personalization is central to federated learning. Our theory suggests that Fine-tuned Federated Averaging (FTFA), i.e., Federated Averaging followed by local training, and the ridge regularized variant Ridge-tuned Federated Averaging (RTFA) are competitive with more sophisticated meta-learning and proximal-regularized approaches. In addition to being conceptually simpler, FTFA and RTFA are computationally more efficient than its competitors. We corroborate our theoretical claims with extensive experiments on federated versions of the EMNIST, CIFAR-100, Shakespeare, and Stack Overflow datasets.


100% Off Coupon - Machine Learning & Deep Learning in Python & R

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Learn how to solve real life problem using the Machine learning techniques Machine Learning models such as Linear Regression, Logistic Regression, KNN etc. Advanced Machine Learning models such as Decision trees, XGBoost, Random Forest, SVM etc. Understanding of basics of statistics and concepts of Machine Learning How to do basic statistical operations and run ML models in Python Indepth knowledge of data collection and data preprocessing for Machine Learning problem How to convert business problem into a Machine learning problem


Training for the Future: A Simple Gradient Interpolation Loss to Generalize Along Time

arXiv.org Machine Learning

In several real world applications, machine learning models are deployed to make predictions on data whose distribution changes gradually along time, leading to a drift between the train and test distributions. Such models are often re-trained on new data periodically, and they hence need to generalize to data not too far into the future. In this context, there is much prior work on enhancing temporal generalization, e.g. continuous transportation of past data, kernel smoothed time-sensitive parameters and more recently, adversarial learning of time-invariant features. However, these methods share several limitations, e.g, poor scalability, training instability, and dependence on unlabeled data from the future. Responding to the above limitations, we propose a simple method that starts with a model with time-sensitive parameters but regularizes its temporal complexity using a Gradient Interpolation (GI) loss. GI allows the decision boundary to change along time and can still prevent overfitting to the limited training time snapshots by allowing task-specific control over changes along time. We compare our method to existing baselines on multiple real-world datasets, which show that GI outperforms more complicated generative and adversarial approaches on the one hand, and simpler gradient regularization methods on the other.


Multiple Linear Regression Using Python and Scikit-learn

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This article was published as a part of the Data Science Blogathon. If you are on the path of learning data science, then you definitely have an understanding of what machine learning is. In today's digital world everyone knows what Machine Learning is because it was a trending digital technology across the world. Every step towards adaptation of the future world leads by this current technology, and this current technology is led by data scientists like you and me . Here we only discuss machine learning, If you don't know what it is, then we take a brief introduction to it: Machine learning is the study of the algorithms of computers, that improve automatically through experience and by the use of data. This is the simple definition of machine learning, and when we go into deep then we find that there are huge numbers of algorithms that are used in model building.