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Online Learning Algorithms for Statistical Arbitrage

arXiv.org Machine Learning

Arbitrage is the risk-free method of making profit from exploiting price differences in different markets. For example, if one stock is trading at a higher price in one market than another, one could buy the stock for the lower price on one market and sell it for the higher price on the other, thereby making profit without taking risks. These pricing disparities have become increasingly hard to capitalize on as they only appear for very short periods of time with the advancements in technology and highfrequency trading. Only those who can recognize and take advantage of arbitrage opportunities first can benefit, turning it into a winner-takes-all situation. This has made it difficult to make consistent profit from price discrepancies, as one needs to recognize them quickly and be the first to leverage them. Yet, arbitrage is a necessary tool in the marketplace as it quickly eliminates market inefficiencies and keeps prices uniform across markets [2, 5, 11, 6, 3, 17].


Preparing for AI jobs: Why Nanodegrees are the future of education - Watson

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Large enterprises, startups and high-performance businesses across industries are increasingly turning to Artificial Intelligence and advanced analytics to make faster, more effective, data-driven decisions. The volume of unstructured and structured data stored by enterprises is growing at an accelerating rate. The demand for skilled data scientists and candidates with AI skills is at an all-time high. Yet developing those skills typically requires significant investments of time, energy and money. Businesses are struggling to successfully deploy and manage AI projects due to lack of resources.


18 Best Artificial Intelligence Courses To Standout in The Future JA Directives

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Looking for Artificial Intelligence Tutorial to learn introduction to artificial intelligence? Grab the list of Best Artificial Intelligence Courses Online, Tutorials, and Training are offered by a number of massive open online course (MOOC) providers like Udemy, Coursera, and edX. Artificial Intelligence (AI) and machine intelligence are the most booming topics in every industry now. Some of this popular MOOC providers offer some in-depth artificial intelligence programs. The list of the Best Artificial Intelligence Certification is often taught by industry top AI researchers or experts and you will learn the best applications of artificial intelligence.


How leaders can prepare for AI in the workplace

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Artificial intelligence is transforming the way we work together and the workplace environment as a whole. The adoption rate of AI technology by businesses is skyrocketing as its use cases to improve processes and get ahead of competitors continue to unfold. But as we move into the age of AI and machine learning, there are significant concerns that AI technology could replace โ€“ or even eliminate โ€“ many of the jobs that exist today. Fortunately, there isn't much to worry about right now. The technology still has a long way to go, and as a McKinsey study revealed, 45 per cent of individual work activities could be automated using existing technology, but that doesn't mean that 45 per cent of jobs are going away.


Online learning using multiple times weight updating

arXiv.org Machine Learning

Online learning makes sequence of decisions with partial data arrival where next movement of data is unknown. In this paper, we have presented a new idea as multiple times weight updating that update the weight iteratively for same instance. The proposed technique analyzed with popular algorithms from literature and experimented using established tool. The results indicates that mistake rate reduces to zero or close to zero for various datasets and algorithms. The overhead running cost is not too expensive and achieving mistake rate close to zero further strengthen the proposed technique. The proposed technique could be helpful to meet real life challenges.


Accumulating Knowledge for Lifelong Online Learning

arXiv.org Machine Learning

Lifelong learning can be viewed as a continuous transfer learning procedure over consecutive tasks, where learning a given task depends on accumulated knowledge -- the so-called knowledge base. Most published work on lifelong learning makes a batch processing of each task, implying that a data collection step is required beforehand. We are proposing a new framework, lifelong online learning, in which the learning procedure for each task is interactive. This is done through a computationally efficient algorithm where the predicted result for a given task is made by combining two intermediate predictions: by using only the information from the current task and by relying on the accumulated knowledge. In this work, two challenges are tackled: making no assumption on the task generation distribution, and processing with a possibly unknown number of instances for each task. We are providing a theoretical analysis of this algorithm, with a cumulative error upper bound for each task. We find that under some mild conditions, the algorithm can still benefit from a small cumulative error even when facing few interactions. Moreover, we provide experimental results on both synthetic and real datasets that validate the correct behaviour and practical usefulness of the proposed algorithm.


Adaptive Online Learning in Dynamic Environments

arXiv.org Machine Learning

In this paper, we study online convex optimization in dynamic environments, and aim to bound the dynamic regret with respect to any sequence of comparators. Existing work have shown that online gradient descent enjoys an $O(\sqrt{T}(1+P_T))$ dynamic regret, where $T$ is the number of iterations and $P_T$ is the path-length of the comparator sequence. However, this result is unsatisfactory, as there exists a large gap from the $\Omega(\sqrt{T(1+P_T)})$ lower bound established in our paper. To address this limitation, we develop a novel online method, namely adaptive learning for dynamic environment (Ader), which achieves an optimal $O(\sqrt{T(1+P_T)})$ dynamic regret. The basic idea is to maintain a set of experts, each attaining an optimal dynamic regret for a specific path-length, and combines them with an expert-tracking algorithm. Furthermore, we propose an improved Ader based on the surrogate loss, and in this way the number of gradient evaluations per round is reduced from $O(\log T)$ to $1$. Finally, we extend Ader to the setting that a sequence of dynamical models is available to characterize the comparators.


Online learning with feedback graphs and switching costs

arXiv.org Machine Learning

We study online learning when partial feedback information is provided following every action of the learning process, and the learner incurs switching costs for changing his actions. In this setting, the feedback information system can be represented by a graph, and previous work provided the expected regret of the learner in the case of a clique (Expert setup), or disconnected single loops (Multi-Armed Bandits). We provide a lower bound on the expected regret in the partial information (PI) setting, namely for general feedback graphs ---excluding the clique. We show that all algorithms that are optimal without switching costs are necessarily sub-optimal in the presence of switching costs, which motivates the need to design new algorithms in this setup. We propose two novel algorithms: Threshold Based EXP3 and EXP3.SC. For the two special cases of symmetric PI setting and Multi-Armed-Bandits, we show that the expected regret of both algorithms is order optimal in the duration of the learning process with a pre-constant dependent on the feedback system. Additionally, we show that Threshold Based EXP3 is order optimal in the switching cost, whereas EXP3.SC is not. Finally, empirical evaluations show that Threshold Based EXP3 outperforms previous algorithm EXP3 SET in the presence of switching costs, and Batch EXP3 in the special setting of Multi-Armed Bandits with switching costs, where both algorithms are order optimal.


Free Online Course: Neural Networks for Machine Learning from Coursera Class Central

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I honestly can't understand the multiple 5 star reviews presented on this site about the course. I'm giving it a 1 star which is a bit harsh I know but I'm doing it to offset the number of 5 star reviews here. Honestly I think the course deserves something between 2 and 3 stars depending on your approach to it. Yes Prof. Hinton is a leading expert in the field but the course materials and the way they are presented are pretty bad! I honestly can't understand the multiple 5 star reviews presented on this site about the course.


Why Do Developers Find It Hard To Learn Machine Learning?

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Machine learning (ML) is touted as the most critical skill of current times. Artificial intelligence (AI), an application of ML, is becoming pervasive. From autonomous vehicles to self-tuned databases, AI and ML are found everywhere. Industry analysts often refer to AI-driven automation as the job killer. Almost every domain and industry vertical are getting impacted by AI and ML.