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Register a new userAlphaEvolve: A Learning Framework to Discover Novel Alphas in Quantitative Investment
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Can Cui Mr
Publication date
2021
fields
Informatics Engineering
and research's language is
English
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Alphas are stock prediction models capturing trading signals in a stock market. A set of effective alphas can generate weakly correlated high returns to diversify the risk. Existing alphas can be categorized into two classes: Formulaic alphas are simple algebraic expressions of scalar features, and thus can generalize well and be mined into a weakly correlated set. Machine learning alphas are data-driven models over vector and matrix features. They are more predictive than formulaic alphas, but are too complex to mine into a weakly correlated set. In this paper, we introduce a new class of alphas to model scalar, vector, and matrix features which possess the strengths of these two existing classes. The new alphas predict returns with high accuracy and can be mined into a weakly correlated set. In addition, we propose a novel alpha mining framework based on AutoML, called AlphaEvolve, to generate the new alphas. To this end, we first propose operators for generating the new alphas and selectively injecting relational domain knowledge to model the relations between stocks. We then accelerate the alpha mining by proposing a pruning technique for redundant alphas. Experiments show that AlphaEvolve can evolve initial alphas into the new alphas with high returns and weak correlations.
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In learning to discover novel classes (L2DNC), we are given labeled data from seen classes and unlabeled data from unseen classes, and we train clustering models for the unseen classes. However, the rigorous definition of L2DNC is unexplored, which results in that its implicit assumptions are still unclear. In this paper, we demystify assumptions behind L2DNC and find that high-level semantic features should be shared among the seen and unseen classes. This naturally motivates us to link L2DNC to meta-learning that has exactly the same assumption as L2DNC. Based on this finding, L2DNC is not only theoretically solvable, but can also be empirically solved by meta-learning algorithms after slight modifications. This L2DNC methodology significantly reduces the amount of unlabeled data needed for training and makes it more practical, as demonstrated in experiments. The use of very limited data is also justified by the application scenario of L2DNC: since it is unnatural to label only seen-class data, L2DNC is sampling instead of labeling in causality. Therefore, unseen-class data should be collected on the way of collecting seen-class data, which is why they are novel and first need to be clustered.
Knowledge bases (KB) constructed through information extraction from text play an important role in query answering and reasoning. In this work, we study a particular reasoning task, the problem of discovering causal relationships between entities, known as causal discovery. There are two contrasting types of approaches to discovering causal knowledge. One approach attempts to identify causal relationships from text using automatic extraction techniques, while the other approach infers causation from observational data. However, extractions alone are often insufficient to capture complex patterns and full observational data is expensive to obtain. We introduce a probabilistic method for fusing noisy extractions with observational data to discover causal knowledge. We propose a principled approach that uses the probabilistic soft logic (PSL) framework to encode well-studied constraints to recover long-range patterns and consistent predictions, while cheaply acquired extractions provide a proxy for unseen observations. We apply our method gene regulatory networks and show the promise of exploiting KB signals in causal discovery, suggesting a critical, new area of research.
Documents in scientific newspapers are often marked by attitudes and opinions of the author and/or other persons, who contribute with objective and subjective statements and arguments as well. In this respect, the attitude is often accomplished by a linguistic modality. As in languages like english, french and german, the modality is expressed by special verbs like can, must, may, etc. and the subjunctive mood, an occurrence of modalities often induces that these verbs take over the role of modality. This is not correct as it is proven that modality is the instrument of the whole sentence where both the adverbs, modal particles, punctuation marks, and the intonation of a sentence contribute. Often, a combination of all these instruments are necessary to express a modality. In this work, we concern with the finding of modal verbs in scientific texts as a pre-step towards the discovery of the attitude of an author. Whereas the input will be an arbitrary text, the output consists of zones representing modalities.
Humans can learn a variety of concepts and skills incrementally over the course of their lives while exhibiting many desirable properties, such as continual learning without forgetting, forward transfer and backward transfer of knowledge, and learning a new concept or task with only a few examples. Several lines of machine learning research, such as lifelong machine learning, few-shot learning, and transfer learning attempt to capture these properties. However, most previous approaches can only demonstrate subsets of these properties, often by different complex mechanisms. In this work, we propose a simple yet powerful unified deep learning framework that supports almost all of these properties and approaches through one central mechanism. Experiments on toy examples support our claims. We also draw connections between many peculiarities of human learning (such as memory loss and rain man) and our framework. As academics, we often lack resources required to build and train, deep neural networks with billions of parameters on hundreds of TPUs. Thus, while our framework is still conceptual, and our experiment results are surely not SOTA, we hope that this unified lifelong learning framework inspires new work towards large-scale experiments and understanding human learning in general. This paper is summarized in two short YouTube videos: https://youtu.be/gCuUyGETbTU (part 1) and https://youtu.be/XsaGI01b-1o (part 2).
Many machine learning frameworks have been proposed and used in wireless communications for realizing diverse goals. However, their incapability of adapting to the dynamic wireless environment and tasks and of self-learning limit their extensive applications and achievable performance. Inspired by the great flexibility and adaptation of primate behaviors due to the brain cognitive mechanism, a unified cognitive learning (CL) framework is proposed for the dynamic wireless environment and tasks. The mathematical framework for our proposed CL is established. Using the public and authoritative dataset, we demonstrate that our proposed CL framework has three advantages, namely, the capability of adapting to the dynamic environment and tasks, the self-learning capability and the capability of good money driving out bad money by taking modulation recognition as an example. The proposed CL framework can enrich the current learning frameworks and widen the applications.
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