WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management

The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with the consideration of many factors such as investors preferences, trading environments, and market conditions. In this paper, we present a new portfolio policy network architecture for deep reinforcement learning (DRL)that can exploit more effectively cross-asset dependency information and achieve better performance than state-of-the-art architectures. In particular, we introduce a new property, referred to as textit{asset permutation invariance}, for portfolio policy networks that exploit multi-asset time series data, and design the first portfolio policy network, named WaveCorr, that preserves this invariance property when treating asset correlation information. At the core of our design is an innovative permutation invariant correlation processing layer. An extensive set of experiments are conducted using data from both Canadian (TSX) and American stock markets (S&P 500), and WaveCorr consistently outperforms other architectures with an impressive 3%-25% absolute improvement in terms of average annual return, and up to more than 200% relative improvement in average Sharpe ratio. We also measured an improvement of a factor of up to 5 in the stability of performance under random choices of initial asset ordering and weights. The stability of the network has been found as particularly valuable by our industrial partner.

Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures

Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static risk measure that violates time consistency, or are based on traditional dynamic programming solution schemes that are impracticable in problems with a large number of underlying assets (due to the curse of dimensionality) or with incomplete asset dynamics information. In this paper, we extend for the first time a famous off-policy deterministic actor-critic deep reinforcement learning (ACRL) algorithm to the problem of solving a risk averse Markov decision process that models risk using a time consistent recursive expectile risk measure. This new ACRL algorithm allows us to identify high quality time consistent hedging policies (and equal risk prices) for options, such as basket options, that cannot be handled using traditional methods, or in context where only historical trajectories of the underlying assets are available. Our numerical experiments, which involve both a simple vanilla option and a more exotic basket option, confirm that the new ACRL algorithm can produce 1) in simple environments, nearly optimal hedging policies, and highly accurate prices, simultaneously for a range of maturities 2) in complex environments, good quality policies and prices using reasonable amount of computing resources; and 3) overall, hedging strategies that actually outperform the strategies produced using static risk measures when the risk is evaluated at later points of time.

Information Theory-Guided Heuristic Progressive Multi-View Coding

Multi-view representation learning captures comprehensive information from multiple views of a shared context. Recent works intuitively apply contrastive learning (CL) to learn representations, regarded as a pairwise manner, which is still scalable: view-specific noise is not filtered in learning view-shared representations; the fake negative pairs, where the negative terms are actually within the same class as the positive, and the real negative pairs are coequally treated; and evenly measuring the similarities between terms might interfere with optimization. Importantly, few works research the theoretical framework of generalized self-supervised multi-view learning, especially for more than two views. To this end, we rethink the existing multi-view learning paradigm from the information theoretical perspective and then propose a novel information theoretical framework for generalized multi-view learning. Guided by it, we build a multi-view coding method with a three-tier progressive architecture, namely Information theory-guided heuristic Progressive Multi-view Coding (IPMC). In the distribution-tier, IPMC aligns the distribution between views to reduce view-specific noise. In the set-tier, IPMC builds self-adjusted pools for contrasting, which utilizes a view filter to adaptively modify the pools. Lastly, in the instance-tier, we adopt a designed unified loss to learn discriminative representations and reduce the gradient interference. Theoretically and empirically, we demonstrate the superiority of IPMC over state-of-the-art methods.

Visual-and-Language Navigation: A Survey and Taxonomy

An agent that can understand natural-language instruction and carry out corresponding actions in the visual world is one of the long-term challenges of Artificial Intelligent (AI). Due to multifarious instructions from humans, it requires the agent can link natural language to vision and action in unstructured, previously unseen environments. If the instruction given by human is a navigation task, this challenge is called Visual-and-Language Navigation (VLN). It is a booming multi-disciplinary field of increasing importance and with extraordinary practicality. Instead of focusing on the details of specific methods, this paper provides a comprehensive survey on VLN tasks and makes a classification carefully according the different characteristics of language instructions in these tasks. According to when the instructions are given, the tasks can be divided into single-turn and multi-turn. For single-turn tasks, we further divided them into goal-orientation and route-orientation based on whether the instructions contain a route. For multi-turn tasks, we divided them into imperative task and interactive task based on whether the agent responses to the instructions. This taxonomy enable researchers to better grasp the key point of a specific task and identify directions for future research.

3-dimensional QCD phase diagram with pion condensate in the NJL model

With the isovector coupling constants adjusted to reproduce the physical pion mass and lattice QCD results in baryon-free quark matter, we have carried out rigourous calculations for the pion condensate in the 3-flavor Nambu-Jona-Lasinio model, and studied the 3-dimensional QCD phase diagram. With the increasing isospin chemical potential $mu_I$, we have observed two nonzero solutions of the pion condensate at finite baryon chemical potentials $mu_B$, representing respectively the pion superfluid phase and the Sarma phase, and their appearance and disappearance correspond to a second-order (first-order) phase transition at higher (lower) temperatures $T$ and lower (higher) $mu_B$. Calculations by assuming equal constituent mass of $u$ and $d$ quarks would lead to large errors of the QCD phase diagram within $mu_B in (500, 900)$ MeV, and affect the position of the critical end point.

Preparing for Performance Analysis at Exascale

Performance tools for forthcoming heterogeneous exascale platforms must address two principal challenges when analyzing execution measurements. First, measurement of extreme-scale executions generates large volumes of performance data. Second, performance metrics for heterogeneous applications are significantly sparse across code regions. To address these challenges, we developed a novel streaming aggregation approach to post-mortem analysis that employs both shared and distributed memory parallelism to aggregate sparse performance measurements from every rank, thread and GPU stream of a large-scale application execution. Analysis results are stored in a pair of sparse formats designed for efficient access to related data elements, supporting responsive interactive presentation and scalable data analytics. Empirical analysis shows that our implementation of this approach in HPCToolkit effectively processes measurement data from thousands of threads using a fraction of the compute resources employed by the application itself. Our approach is able to perform analysis up to 9.4 times faster and store analysis results 23 times smaller than HPCToolkit, providing a key building block for scalable exascale performance tools.

Reasoning about Iteration and Recursion Uniformly based on Big-step Semantics

A reliable technique for deductive program verification should be proven sound with respect to the semantics of the programming language. For each different language, the construction of a separate soundness proof is often a laborious undertaking. In language-independent program verification, common aspects of computer programs are addressed to enable sound reasoning for all languages. In this work, we propose a solution for the sound reasoning about iteration and recursion based on the big-step operational semantics of any programming language. We give inductive proofs on the soundness and relative completeness of our reasoning technique. We illustrate the technique at simplified programming languages of the imperative and functional paradigms, with diverse features. We also mechanism all formal results in the Coq proof assistant.

How to Evaluate Your Dialogue Models: A Review of Approaches

Evaluating the quality of a dialogue system is an understudied problem. The recent evolution of evaluation method motivated this survey, in which an explicit and comprehensive analysis of the existing methods is sought. We are first to divide the evaluation methods into three classes, i.e., automatic evaluation, human-involved evaluation and user simulator based evaluation. Then, each class is covered with main features and the related evaluation metrics. The existence of benchmarks, suitable for the evaluation of dialogue techniques are also discussed in detail. Finally, some open issues are pointed out to bring the evaluation method into a new frontier.

Too Expensive to Attack: Enlarge the Attack Expense through Joint Defense at the Edge

The distributed denial of service (DDoS) attack is detrimental to businesses and individuals as people are heavily relying on the Internet. Due to remarkable profits, crackers favor DDoS as cybersecurity weapons to attack a victim. Even worse, edge servers are more vulnerable. Current solutions lack adequate consideration to the expense of attackers and inter-defender collaborations. Hence, we revisit the DDoS attack and defense, clarifying the advantages and disadvantages of both parties. We further propose a joint defense framework to defeat attackers by incurring a significant increment of required bots and enlarging attack expenses. The quantitative evaluation and experimental assessment showcase that such expense can surge up to thousands of times. The skyrocket of expenses leads to heavy loss to the cracker, which prevents further attacks.

Lift force acting on an intruder in dense, granular shear flows

We report a new lift force model for intruders in dense, granular shear flows. Our derivation is based on the thermal buoyancy model of Trujillo & Hermann[L. Trujillo and H. J. Herrmann, Physica A 330, 519 (2003).], but takes into account both granular temperature and pressure differences in the derivation of the net buoyancy force acting on the intruder. In a second step the model is extended to take into account also density differences between the intruder and the bed particles. The model predicts very well the rising and sinking of intruders, the lift force acting on intruders as determined by discrete element model (DEM) simulations and the neutral-buoyancy limit of intruders in shear flows. Phenomenologically, we observe a cooling upon the introduction of an intruder into the system. This cooling effect increases with intruder size and explains the sinking of large intruders. On the other hand, the introduction of small to mid-sized intruders, i.e. up to 4 times the bed particle size, leads to a reduction in the granular pressure compared to the hydrostatic pressure, which in turn causes the rising of small to mid-sized intruders.