We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be used to implement a stochastic implied volatility model in the following two steps: 1. Train a market simulator for option prices, as discussed for example in our recent work Bai et al. (2019); 2. Find a risk-neutral density, specifically the minimal entropy martingale measure. The resulting model can be used for risk-neutral pricing, or for Deep Hedging (Buehler et al., 2019) in the case of transaction costs or trading constraints. To motivate the proposed approach, we also show that market dynamics are free from "statistical arbitrage" in the absence of transaction costs if and only if they follow a risk-neutral measure. We additionally provide a more general characterization in the presence of convex transaction costs and trading constraints. These results can be seen as an analogue of the fundamental theorem of asset pricing for statistical arbitrage under trading frictions and are of independent interest.

When linear models are fit to ill-conditioned or confounded narrow-data, TRACE plots are useful in demonstrating and justifying deliberately biased estimation. This makes TRACE diagnostics powerful "visual" displays. If advanced students of regression are trained in interpretation of Trace plots, they could help admininstrators capable of basic statistical thinking avoid misinterpretations of questionable regression coefficient estimates. All five types of ridge TRACE plots for a wide variety of ridge paths can be explored using R-functions. For example, the RXshrink aug.lars() function generates TRACE s for Least-Angle, Lasso and Forward Stagewise methods (Efron, Hastie, Johnstone and Tibshirani 2004; Hastie and

Empirical Risk Minimization (ERM) based machine learning algorithms have suffered from weak generalization performance on data obtained from out-of-distribution (OOD). To address this problem, Invariant Risk Minimization (IRM) objective was suggested to find invariant optimal predictor which is less affected by the changes in data distribution. However, even with such progress, IRMv1, the practical formulation of IRM, still shows performance degradation when there are not enough training data, and even fails to generalize to OOD, if the number of spurious correlations is larger than the number of environments. In this paper, to address such problems, we propose a novel meta-learning based approach for IRM. In this method, we do not assume the linearity of classifier for the ease of optimization, and solve ideal bi-level IRM objective with Model-Agnostic Meta-Learning (MAML) framework. Our method is more robust to the data with spurious correlations and can provide an invariant optimal classifier even when data from each distribution are scarce. In experiments, we demonstrate that our algorithm not only has better OOD generalization performance than IRMv1 and all IRM variants, but also addresses the weakness of IRMv1 with improved stability.

If an unknown example that is not seen during training appears, most recognition systems usually produce overgeneralized results and determine that the example belongs to one of the known classes. To address this problem, teacher-explorer-student (T/E/S) learning, which adopts the concept of open set recognition (OSR) that aims to reject unknown samples while minimizing the loss of classification performance on known samples, is proposed in this study. In this novel learning method, overgeneralization of deep learning classifiers is significantly reduced by exploring various possibilities of unknowns. Here, the teacher network extracts some hints about unknowns by distilling the pretrained knowledge about knowns and delivers this distilled knowledge to the student. After learning the distilled knowledge, the student network shares the learned information with the explorer network. Then, the explorer network shares its exploration results by generating unknown-like samples and feeding the samples to the student network. By repeating this alternating learning process, the student network experiences a variety of synthetic unknowns, reducing overgeneralization. Extensive experiments were conducted, and the experimental results showed that each component proposed in this paper significantly contributes to the improvement in OSR performance. As a result, the proposed T/E/S learning method outperformed current state-of-the-art methods.

Software systems have been continuously evolved and delivered with high quality due to the widespread adoption of automated tests. A recurring issue hurting this scenario is the presence of flaky tests, a test case that may pass or fail non-deterministically. A promising, but yet lacking more empirical evidence, approach is to collect static data of automated tests and use them to predict their flakiness. In this paper, we conducted an empirical study to assess the use of code identifiers to predict test flakiness. To do so, we first replicate most parts of the previous study of Pinto~et~al.~(MSR~2020). This replication was extended by using a different ML Python platform (Scikit-learn) and adding different learning algorithms in the analyses. Then, we validated the performance of trained models using datasets with other flaky tests and from different projects. We successfully replicated the results of Pinto~et~al.~(2020), with minor differences using Scikit-learn; different algorithms had performance similar to the ones used previously. Concerning the validation, we noticed that the recall of the trained models was smaller, and classifiers presented a varying range of decreases. This was observed in both intra-project and inter-projects test flakiness prediction.

Financial markets are a source of non-stationary multidimensional time series which has been drawing attention for decades. Each financial instrument has its specific changing over time properties, making their analysis a complex task. Improvement of understanding and development of methods for financial time series analysis is essential for successful operation on financial markets. In this study we propose a volume-based data pre-processing method for making financial time series more suitable for machine learning pipelines. We use a statistical approach for assessing the performance of the method. Namely, we formally state the hypotheses, set up associated classification tasks, compute effect sizes with confidence intervals, and run statistical tests to validate the hypotheses. We additionally assess the trading performance of the proposed method on historical data and compare it to a previously published approach. Our analysis shows that the proposed volume-based method allows successful classification of the financial time series patterns, and also leads to better classification performance than a price action-based method, excelling specifically on more liquid financial instruments. Finally, we propose an approach for obtaining feature interactions directly from tree-based models on example of CatBoost estimator, as well as formally assess the relatedness of the proposed approach and SHAP feature interactions with a positive outcome.

One of the most concerning threats for modern AI systems is data poisoning, where the attacker injects maliciously crafted training data to corrupt the system's behavior at test time. Availability poisoning is a particularly worrisome subset of poisoning attacks where the attacker aims to cause a Denial-of-Service (DoS) attack. However, the state-of-the-art algorithms are computationally expensive because they try to solve a complex bi-level optimization problem (the "hammer"). We observed that in particular conditions, namely, where the target model is linear (the "nut"), the usage of computationally costly procedures can be avoided. We propose a counter-intuitive but efficient heuristic that allows contaminating the training set such that the target system's performance is highly compromised. We further suggest a re-parameterization trick to decrease the number of variables to be optimized. Finally, we demonstrate that, under the considered settings, our framework achieves comparable, or even better, performances in terms of the attacker's objective while being significantly more computationally efficient.

The success of state-of-the-art machine learning is essentially all based on different variations of gradient descent algorithms that minimize some version of a cost or loss function. A fundamental limitation, however, is the need to train these systems in either supervised or unsupervised ways by exposing them to typically large numbers of training examples. Here, we introduce a fundamentally novel conceptual approach to machine learning that takes advantage of a neurobiologically derived model of dynamic signaling, constrained by the geometric structure of a network. We show that MNIST images can be uniquely encoded and classified by the dynamics of geometric networks with nearly state-of-the-art accuracy in an unsupervised way, and without the need for any training.

In recent years, the importance of studying traffic flows and making predictions on alternative mobility (sharing services) has become increasingly important, as accurate and timely information on the travel flow is important for the successful implementation of systems that increase the quality of sharing services. This need has been accentuated by the current health crisis that requires alternative transport mobility such as electric bike and electric scooter sharing. Considering the new approaches in the world of deep learning and the difficulty due to the strong spatial and temporal dependence of this problem, we propose a framework, called STREED-Net, with multi-attention (Spatial and Temporal) able to better mining the high-level spatial and temporal features. We conduct experiments on three real datasets to predict the Inflow and Outflow of the different regions into which the city has been divided. The results indicate that the proposed STREED-Net model improves the state-of-the-art for this problem.

Recent findings, however, suggest that CNN may not be the best option for 1D pattern recognition, especially for datasets with over 1 M training samples, e.g., existing CNN-based methods for 1D signals are highly reliant on human pre-processing. Common practices include utilizing discrete Fourier transform (DFT) to reconstruct 1D signal into 2D array. To add to extant knowledge, in this paper, a novel 1D data processing algorithm is proposed for 1D big data analysis through learning a deep deconvolutional-convolutional network. Rather than resorting to human-based techniques, we employed deconvolution layers to convert 1 D signals into 2D data. On top of the deconvolution model, the data was identified by a 2D CNN. Compared with the existing 1D signal processing algorithms, DCNet boasts the advantages of less human-made inference and higher generalization performance. Our experimental results from a varying number of training patterns (50 K to 11 M) from classification and regression demonstrate the desirability of our new approach.