Price movement forecasting aims at predicting the future trends of financial assets based on the current market conditions and other relevant information. Recently, machine learning(ML) methods have become increasingly popular and achieved promising
results for price movement forecasting in both academia and industry. Most existing ML solutions formulate the forecasting problem as a classification(to predict the direction) or a regression(to predict the return) problem in the entire set of training data. However, due to the extremely low signal-to-noise ratio and stochastic nature of financial data, good trading opportunities are extremely scarce. As a result, without careful selection of potentially profitable samples, such ML methods are prone to capture the patterns of noises instead of real signals. To address the above issues, we propose a novel framework-LARA(Locality-Aware Attention and Adaptive Refined Labeling), which contains the following three components: 1)Locality-aware attention automatically extracts the potentially profitable samples by attending to their label information in order to construct a more accurate classifier on these selected samples. 2)Adaptive refined labeling further iteratively refines the labels, alleviating the noise of samples. 3)Equipped with metric learning techniques, Locality-aware attention enjoys task-specific distance metrics and distributes attention on potentially profitable samples in a more effective way. To validate our method, we conduct comprehensive experiments on three real-world financial markets: ETFs, the Chinas A-share stock market, and the cryptocurrency market. LARA achieves superior performance compared with the time-series analysis methods and a set of machine learning based competitors on the Qlib platform. Extensive ablation studies and experiments demonstrate that LARA indeed captures more reliable trading opportunities.
Symbolic music understanding, which refers to the understanding of music from the symbolic data (e.g., MIDI format, but not audio), covers many music applications such as genre classification, emotion classification, and music pieces matching. While
good music representations are beneficial for these applications, the lack of training data hinders representation learning. Inspired by the success of pre-training models in natural language processing, in this paper, we develop MusicBERT, a large-scale pre-trained model for music understanding. To this end, we construct a large-scale symbolic music corpus that contains more than 1 million music songs. Since symbolic music contains more structural (e.g., bar, position) and diverse information (e.g., tempo, instrument, and pitch), simply adopting the pre-training techniques from NLP to symbolic music only brings marginal gains. Therefore, we design several mechanisms, including OctupleMIDI encoding and bar-level masking strategy, to enhance pre-training with symbolic music data. Experiments demonstrate the advantages of MusicBERT on four music understanding tasks, including melody completion, accompaniment suggestion, genre classification, and style classification. Ablation studies also verify the effectiveness of our designs of OctupleMIDI encoding and bar-level masking strategy in MusicBERT.
We introduce a framework for learning from multiple generated graph views, named graph symbiosis learning (GraphSym). In GraphSym, graph neural networks (GNN) developed in multiple generated graph views can adaptively exchange parameters with each ot
her and fuse information stored in linkage structures and node features. Specifically, we propose a novel adaptive exchange method to iteratively substitute redundant channels in the weight matrix of one GNN with informative channels of another GNN in a layer-by-layer manner. GraphSym does not rely on specific methods to generate multiple graph views and GNN architectures. Thus, existing GNNs can be seamlessly integrated into our framework. On 3 semi-supervised node classification datasets, GraphSym outperforms previous single-graph and multiple-graph GNNs without knowledge distillation, and achieves new state-of-the-art results. We also conduct a series of experiments on 15 public benchmarks, 8 popular GNN models, and 3 graph tasks -- node classification, graph classification, and edge prediction -- and show that GraphSym consistently achieves better performance than existing popular GNNs by 1.9%$sim$3.9% on average and their ensembles. Extensive ablation studies and experiments on the few-shot setting also demonstrate the effectiveness of GraphSym.
This paper proposes a new algorithm -- the underline{S}ingle-timescale Dounderline{u}ble-momentum underline{St}ochastic underline{A}pproxunderline{i}matiounderline{n} (SUSTAIN) -- for tackling stochastic unconstrained bilevel optimization problems. W
e focus on bilevel problems where the lower level subproblem is strongly-convex and the upper level objective function is smooth. Unlike prior works which rely on emph{two-timescale} or emph{double loop} techniques, we design a stochastic momentum-assisted gradient estimator for both the upper and lower level updates. The latter allows us to control the error in the stochastic gradient updates due to inaccurate solution to both subproblems. If the upper objective function is smooth but possibly non-convex, we show that {aname}~requires $mathcal{O}(epsilon^{-3/2})$ iterations (each using ${cal O}(1)$ samples) to find an $epsilon$-stationary solution. The $epsilon$-stationary solution is defined as the point whose squared norm of the gradient of the outer function is less than or equal to $epsilon$. The total number of stochastic gradient samples required for the upper and lower level objective functions matches the best-known complexity for single-level stochastic gradient algorithms. We also analyze the case when the upper level objective function is strongly-convex.
