This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a range of categories based on their order types and the price changes a
fter their arrivals. To capture the stimulating effects between multiple types of order book events, we use the multivariate Hawkes process to model the self- and mutually-exciting event arrivals. We also integrate a Markovian baseline intensity into the event arrival dynamic, by including the impacts of order book liquidity state and time factor to the baseline intensity. A regression-based non-parametric estimation procedure is adopted to estimate the model parameters in our Hawkes+Markovian model. To eliminate redundant model parameters, LASSO regularization is incorporated in the estimation procedure. Besides, model selection method based on Akaike Information Criteria is applied to evaluate the effect of each part of the proposed model. An implementation example based on real LOB data is provided. Through the example, we study the empirical shapes of Hawkes excitement functions, the effects of liquidity state as well as time factors, the LASSO variable selection, and the explanatory power of Hawkes and Markovian elements to the dynamics of the order book.
Ordinary differential equations (ODEs), commonly used to characterize the dynamic systems, are difficult to propose in closed-form for many complicated scientific applications, even with the help of domain expert. We propose a fast and accurate data-
driven method, MAGI-X, to learn the unknown dynamic from the observation data in a non-parametric fashion, without the need of any domain knowledge. Unlike the existing methods that mainly rely on the costly numerical integration, MAGI-X utilizes the powerful functional approximator of neural network to learn the unknown nonlinear dynamic within the MAnifold-constrained Gaussian process Inference (MAGI) framework that completely circumvents the numerical integration. Comparing against the state-of-the-art methods on three realistic examples, MAGI-X achieves competitive accuracy in both fitting and forecasting while only taking a fraction of computational time. Moreover, MAGI-X provides practical solution for the inference of partial observed systems, which no previous method is able to handle.
The global spread of COVID-19, the disease caused by the novel coronavirus SARS-CoV-2, has cast a significant threat to mankind. As the COVID-19 situation continues to evolve, predicting localized disease severity is crucial for advanced resource all
ocation. This paper proposes a method named COURAGE (COUnty aggRegation mixup AuGmEntation) to generate a short-term prediction of 2-week-ahead COVID-19 related deaths for each county in the United States, leveraging modern deep learning techniques. Specifically, our method adopts a self-attention model from Natural Language Processing, known as the transformer model, to capture both short-term and long-term dependencies within the time series while enjoying computational efficiency. Our model fully utilizes publicly available information of COVID-19 related confirmed cases, deaths, community mobility trends and demographic information, and can produce state-level prediction as an aggregation of the corresponding county-level predictions. Our numerical experiments demonstrate that our model achieves the state-of-the-art performance among the publicly available benchmark models.
In this paper, we investigate the optimal design of a wireless-powered covert communication (WP-CC) system, in which a probabilistic accumulate-then-transmit (ATT) protocol is proposed to maximize the communication covertness subject to a quality-of-
service (QoS) requirement on communication. Specifically, in the considered WP-CC system, a full-duplex (FD) receiver transmits artificial noise (AN) to simultaneously charge an energy-constrained transmitter and to confuse a wardens detection on the transmitters communication activity. With the probabilistic ATT protocol, the transmitter sends its information with a prior probability, i.e., $p$, conditioned on the available energy being sufficient. Our analysis shows that the probabilistic ATT protocol can achieve higher covertness than the traditional ATT protocol with $p=1$. In order to facilitate the optimal design of the WP-CC system, we also derive the wardens minimum detection error probability and characterize the effective covert rate from the transmitter to the receiver to quantify the communication covertness and quality, respectively. The derived analytical results facilitate the joint optimization of the probability $p$ and the information transmit power. We further present the optimal design of a cable-powered covert communication (CP-CC) system as a benchmark for comparison. Our simulation shows that the proposed probabilistic ATT protocol (with a varying $p$) can achieve the covertness upper bound determined by the CP-CC system, while the traditional ATT protocol (with $p=1$) cannot, which again confirms the benefits brought by the proposed probabilistic ATT in covert communications.
Intelligent reflection surface (IRS) is emerging as a promising technique for future wireless communications. Considering its excellent capability in customizing the channel conditions via energy-focusing and energy-nulling, it is an ideal technique
for enhancing wireless communication security and privacy, through the theories of physical layer security and covert communications, respectively. In this article, we first present some results on applying IRS to improve the average secrecy rate in wiretap channels, to enable perfect communication covertness, and to deliberately create extra randomness in wireless propagations for hiding active wireless transmissions. Then, we identify multiple challenges for future research to fully unlock the benefits offered by IRS in the context of physical layer security and covert communications. With the aid of extensive numerical studies, we demonstrate the necessity of designing the amplitudes of the IRS elements in wireless communications with the consideration of security and privacy, where the optimal values are not always $1$ as commonly adopted in the literature. Furthermore, we reveal the tradeoff between the achievable secrecy performance and the estimation accuracy of the IRSs channel state information (CSI) at both the legitimate and malicious users, which presents the fundamental resource allocation challenge in the context of IRS-aided physical layer security. Finally, a passive channel estimation methodology exploiting deep neural networks and scene images is discussed as a potential solution to enabling CSI availability without utilizing resource-hungry pilots. This methodology serves as a visible pathway to significantly improving the covert communication rate in IRS-aided wireless networks.
This work examines the performance gain achieved by deploying an intelligent reflecting surface (IRS) in covert communications. To this end, we formulate the joint design of the transmit power and the IRS reflection coefficients by taking into accoun
t the communication covertness for the cases with global channel state information (CSI) and without a wardens instantaneous CSI. For the case of global CSI, we first prove that perfect covertness is achievable with the aid of the IRS even for a single-antenna transmitter, which is impossible without an IRS. Then, we develop a penalty successive convex approximation (PSCA) algorithm to tackle the design problem. Considering the high complexity of the PSCA algorithm, we further propose a low-complexity two-stage algorithm, where analytical expressions for the transmit power and the IRSs reflection coefficients are derived. For the case without the wardens instantaneous CSI, we first derive the covertness constraint analytically facilitating the optimal phase shift design. Then, we consider three hardware-related constraints on the IRSs reflection amplitudes and determine their optimal designs together with the optimal transmit power. Our examination shows that significant performance gain can be achieved by deploying an IRS into covert communications.
This paper jointly optimizes the flying location and wireless communication transmit power for an unmanned aerial vehicle (UAV) conducting covert operations. This is motivated by application scenarios such as military ground surveillance from airborn
e platforms, where it is vital for a UAVs signal transmission to be undetectable by those within the surveillance region. Specifically, we maximize the communication quality to a legitimate ground receiver outside the surveillance region, subject to: a covertness constraint, a maximum transmit power constraint, and a physical location constraint determined by the required surveillance quality. We provide an explicit solution to the optimization problem for one of the most practical constraint combinations. For other constraint combinations, we determine feasible regions for flight, that can then be searched to establish the UAVs optimal location. In many cases, the 2-dimensional optimal location is achieved by a 1-dimensional search. We discuss two heuristic approaches to UAV placement, and show that in some cases they are able to achieve close to optimal, but that in other cases significant gains can be achieved by employing our developed solutions.
Parameter estimation for nonlinear dynamic system models, represented by ordinary differential equations (ODEs), using noisy and sparse data is a vital task in many fields. We propose a fast and accurate method, MAGI (MAnifold-constrained Gaussian pr
ocess Inference), for this task. MAGI uses a Gaussian process model over time-series data, explicitly conditioned on the manifold constraint that derivatives of the Gaussian process must satisfy the ODE system. By doing so, we completely bypass the need for numerical integration and achieve substantial savings in computational time. MAGI is also suitable for inference with unobserved system components, which often occur in real experiments. MAGI is distinct from existing approaches as we provide a principled statistical construction under a Bayesian framework, which incorporates the ODE system through the manifold constraint. We demonstrate the accuracy and speed of MAGI using realistic examples based on physical experiments.
Covert communication prevents legitimate transmission from being detected by a warden while maintaining certain covert rate at the intended user. Prior works have considered the design of covert communication over conventional low-frequency bands, bu
t few works so far have explored the higher-frequency millimeter-wave (mmWave) spectrum. The directional nature of mmWave communication makes it attractive for covert transmission. However, how to establish such directional link in a covert manner in the first place remains as a significant challenge. In this paper, we consider a covert mmWave communication system, where legitimate parties Alice and Bob adopt beam training approach for directional link establishment. Accounting for the training overhead, we develop a new design framework that jointly optimizes beam training duration, training power and data transmission power to maximize the effective throughput of Alice-Bob link while ensuring the covertness constraint at warden Willie is met. We further propose a dual-decomposition successive convex approximation algorithm to solve the problem efficiently. Numerical studies demonstrate interesting tradeoff among the key design parameters considered and also the necessity of joint design of beam training and data transmission for covert mmWave communication.
We propose to use channel inversion power control (CIPC) to achieve one-way ultra-reliable and low-latency communications (URLLC), where only the transmission in one direction requires ultra reliability and low latency. Based on channel reciprocity,
our proposed CIPC schemes guarantee the power of received signals to be a constant value $Q$, by varying the transmit signals and power, which relaxes the assumption of knowing channel state information (CSI) at the receiver. Thus, the CIPC schemes eliminate the overhead of CSI feedback, reduce communication latency, and explore the benefits of multiple antennas to significantly improve transmission reliability. We derive analytical expressions for the packet loss probability of the proposed CIPC schemes, based on which we determine a closed interval and a convex set for optimizing $Q$ in CIPC with imperfect and perfect channel reciprocities. Our results show that CIPC is an effective means to achieve one-way URLLC. For example, increasing the number of transmit antennas continuously improves reliability and reduces latency, which is a different conclusion from the system using traditional channel estimation and feedback mechanisms. The tradeoff among reliability, latency, and required resources (e.g., transmit antennas) is further revealed, which provides novel principles for designing one-way URLLC systems.
