Competing with stationary prediction strategies

In this paper we introduce the class of stationary prediction strategies and construct a prediction algorithm that asymptotically performs as well as the best continuous stationary strategy. We make mild compactness assumptions but no stochastic assumptions about the environment. In particular, no assumption of stationarity is made about the environment, and the stationarity of the considered strategies only means that they do not depend explicitly on time; we argue that it is natural to consider only stationary strategies even for highly non-stationary environments.Comment: 20 page

Modeling Binary Time Series Using Gaussian Processes with Application to Predicting Sleep States

Motivated by the problem of predicting sleep states, we develop a mixed effects model for binary time series with a stochastic component represented by a Gaussian process. The fixed component captures the effects of covariates on the binary-valued response. The Gaussian process captures the residual variations in the binary response that are not explained by covariates and past realizations. We develop a frequentist modeling framework that provides efficient inference and more accurate predictions. Results demonstrate the advantages of improved prediction rates over existing approaches such as logistic regression, generalized additive mixed model, models for ordinal data, gradient boosting, decision tree and random forest. Using our proposed model, we show that previous sleep state and heart rates are significant predictors for future sleep states. Simulation studies also show that our proposed method is promising and robust. To handle computational complexity, we utilize Laplace approximation, golden section search and successive parabolic interpolation. With this paper, we also submit an R-package (HIBITS) that implements the proposed procedure.Comment: Journal of Classification (2018

Competing with Markov prediction strategies

Assuming that the loss function is convex in the prediction, we construct a prediction strategy universal for the class of Markov prediction strategies, not necessarily continuous. Allowing randomization, we remove the requirement of convexity.Comment: 11 page

Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination

Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. To this purpose, we provide a full methodology on: (i) the training and selection of a cGAN for time series data; (ii) how each sample is used for strategies calibration; and (iii) how all generated samples can be used for ensemble modelling. To provide evidence that our approach is well grounded, we have designed an experiment with multiple trading strategies, encompassing 579 assets. We compared cGAN with an ensemble scheme and model validation methods, both suited for time series. Our results suggest that cGANs are a suitable alternative for strategies calibration and combination, providing outperformance when the traditional techniques fail to generate any alpha

An evaluation of intrusive instrumental intelligibility metrics

Instrumental intelligibility metrics are commonly used as an alternative to listening tests. This paper evaluates 12 monaural intrusive intelligibility metrics: SII, HEGP, CSII, HASPI, NCM, QSTI, STOI, ESTOI, MIKNN, SIMI, SIIB, and $\text{sEPSM}^\text{corr}$. In addition, this paper investigates the ability of intelligibility metrics to generalize to new types of distortions and analyzes why the top performing metrics have high performance. The intelligibility data were obtained from 11 listening tests described in the literature. The stimuli included Dutch, Danish, and English speech that was distorted by additive noise, reverberation, competing talkers, pre-processing enhancement, and post-processing enhancement. SIIB and HASPI had the highest performance achieving a correlation with listening test scores on average of $\rho=0.92$ and $\rho=0.89$, respectively. The high performance of SIIB may, in part, be the result of SIIBs developers having access to all the intelligibility data considered in the evaluation. The results show that intelligibility metrics tend to perform poorly on data sets that were not used during their development. By modifying the original implementations of SIIB and STOI, the advantage of reducing statistical dependencies between input features is demonstrated. Additionally, the paper presents a new version of SIIB called $\text{SIIB}^\text{Gauss}$, which has similar performance to SIIB and HASPI, but takes less time to compute by two orders of magnitude.Comment: Published in IEEE/ACM Transactions on Audio, Speech, and Language Processing, 201

Well-temperate phage: optimal bet-hedging against local environmental collapses

Upon infection of their bacterial hosts temperate phages must chose between lysogenic and lytic developmental strategies. Here we apply the game-theoretic bet-hedging strategy introduced by Kelly to derive the optimal lysogenic fraction of the total population of phages as a function of frequency and intensity of environmental downturns affecting the lytic subpopulation. "Well-temperate" phage from our title is characterized by the best long-term population growth rate. We show that it is realized when the lysogenization frequency is approximately equal to the probability of lytic population collapse. We further predict the existence of sharp boundaries in system's environmental, ecological, and biophysical parameters separating the regions where this temperate strategy is optimal from those dominated by purely virulent or} dormant (purely lysogenic) strategies. We show that the virulent strategy works best for phages with large diversity of hosts, and access to multiple independent environments reachable by diffusion. Conversely, progressively more temperate or even dormant strategies are favored in the environments, that are subject to frequent and severe temporal downturns.Comment: 26 pages, 3 figure