Learning and Forecasting Opinion Dynamics in Social Networks

Social media and social networking sites have become a global pinboard for exposition and discussion of news, topics, and ideas, where social media users often update their opinions about a particular topic by learning from the opinions shared by their friends. In this context, can we learn a data-driven model of opinion dynamics that is able to accurately forecast opinions from users? In this paper, we introduce SLANT, a probabilistic modeling framework of opinion dynamics, which represents users opinions over time by means of marked jump diffusion stochastic differential equations, and allows for efficient model simulation and parameter estimation from historical fine grained event data. We then leverage our framework to derive a set of efficient predictive formulas for opinion forecasting and identify conditions under which opinions converge to a steady state. Experiments on data gathered from Twitter show that our model provides a good fit to the data and our formulas achieve more accurate forecasting than alternatives

Human-Machine Collaborative Optimization via Apprenticeship Scheduling

Coordinating agents to complete a set of tasks with intercoupled temporal and resource constraints is computationally challenging, yet human domain experts can solve these difficult scheduling problems using paradigms learned through years of apprenticeship. A process for manually codifying this domain knowledge within a computational framework is necessary to scale beyond the ``single-expert, single-trainee" apprenticeship model. However, human domain experts often have difficulty describing their decision-making processes, causing the codification of this knowledge to become laborious. We propose a new approach for capturing domain-expert heuristics through a pairwise ranking formulation. Our approach is model-free and does not require enumerating or iterating through a large state space. We empirically demonstrate that this approach accurately learns multifaceted heuristics on a synthetic data set incorporating job-shop scheduling and vehicle routing problems, as well as on two real-world data sets consisting of demonstrations of experts solving a weapon-to-target assignment problem and a hospital resource allocation problem. We also demonstrate that policies learned from human scheduling demonstration via apprenticeship learning can substantially improve the efficiency of a branch-and-bound search for an optimal schedule. We employ this human-machine collaborative optimization technique on a variant of the weapon-to-target assignment problem. We demonstrate that this technique generates solutions substantially superior to those produced by human domain experts at a rate up to 9.5 times faster than an optimization approach and can be applied to optimally solve problems twice as complex as those solved by a human demonstrator.Comment: Portions of this paper were published in the Proceedings of the International Joint Conference on Artificial Intelligence (IJCAI) in 2016 and in the Proceedings of Robotics: Science and Systems (RSS) in 2016. The paper consists of 50 pages with 11 figures and 4 table

Modeling Adoption and Usage of Competing Products

The emergence and wide-spread use of online social networks has led to a dramatic increase on the availability of social activity data. Importantly, this data can be exploited to investigate, at a microscopic level, some of the problems that have captured the attention of economists, marketers and sociologists for decades, such as, e.g., product adoption, usage and competition. In this paper, we propose a continuous-time probabilistic model, based on temporal point processes, for the adoption and frequency of use of competing products, where the frequency of use of one product can be modulated by those of others. This model allows us to efficiently simulate the adoption and recurrent usages of competing products, and generate traces in which we can easily recognize the effect of social influence, recency and competition. We then develop an inference method to efficiently fit the model parameters by solving a convex program. The problem decouples into a collection of smaller subproblems, thus scaling easily to networks with hundred of thousands of nodes. We validate our model over synthetic and real diffusion data gathered from Twitter, and show that the proposed model does not only provides a good fit to the data and more accurate predictions than alternatives but also provides interpretable model parameters, which allow us to gain insights into some of the factors driving product adoption and frequency of use

Modelling Financial High Frequency Data Using Point Processes

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications.Financial point processes, dynamic duration models, dynamic intensity models.

Defy the Game: Automated Market Making using Deep Reinforcement Learning

Automated market makers have gained popularity in the financial market for their ability to provide liquidity without needing a centralized intermediary (market maker). However, they suffer from the problems of slippage and impermanent loss, which can lead to losses for both liquidity providers and takers. This work implements a pseudo-arbitrage rule to solve the impermanent loss issues related to arbitrage opportunities. The mechanism implements a trusted external oracle to get the market conditions, put them on the automated market maker, and match the bonding curve to them. Next, the application of a Double Deep Q-Learning reinforcement learning algorithm is proposed to reduce these issues in automated market makers. The algorithm adjusts the curvature of the bonding curve function to adapt to market conditions quickly. This work describes the model, the simulation environment used to learn and test the proposed approach, and the metrics used to evaluate its performance. Finally, it explains the results of the experiments and analysis of their implications. The approach shows promise in reducing slippage and impermanent loss and recommending improvements and future works

Semantic data integration for supply chain management: with a specific focus on applications in the semiconductor industry

Supply Chain Management (SCM) is essential to monitor, control, and enhance the performance of SCs. Increasing globalization and diversity of Supply Chains (SC)s lead to complex SC structures, limited visibility among SC partners, and challenging collaboration caused by dispersed data silos. Digitalization is responsible for driving and transforming SCs of fundamental sectors such as the semiconductor industry. This is further accelerated due to the inevitable role that semiconductor products play in electronics, IoT, and security systems. Semiconductor SCM is unique as the SC operations exhibit special features, e.g., long production lead times and short product life. Hence, systematic SCM is required to establish information exchange, overcome inefficiency resulting from incompatibility, and adapt to industry-specific challenges. The Semantic Web is designed for linking data and establishing information exchange. Semantic models provide high-level descriptions of the domain that enable interoperability. Semantic data integration consolidates the heterogeneous data into meaningful and valuable information. The main goal of this thesis is to investigate Semantic Web Technologies (SWT) for SCM with a specific focus on applications in the semiconductor industry. As part of SCM, End-to-End SC modeling ensures visibility of SC partners and flows. Existing models are limited in the way they represent operational SC relationships beyond one-to-one structures. The scarcity of empirical data from multiple SC partners hinders the analysis of the impact of supply network partners on each other and the benchmarking of the overall SC performance. In our work, we investigate (i) how semantic models can be used to standardize and benchmark SCs. Moreover, in a volatile and unpredictable environment, SC experts require methodical and efficient approaches to integrate various data sources for informed decision-making regarding SC behavior. Thus, this work addresses (ii) how semantic data integration can help make SCs more efficient and resilient. Moreover, to secure a good position in a competitive market, semiconductor SCs strive to implement operational strategies to control demand variation, i.e., bullwhip, while maintaining sustainable relationships with customers. We examine (iii) how we can apply semantic technologies to specifically support semiconductor SCs. In this thesis, we provide semantic models that integrate, in a standardized way, SC processes, structure, and flows, ensuring both an elaborate understanding of the holistic SCs and including granular operational details. We demonstrate that these models enable the instantiation of a synthetic SC for benchmarking. We contribute with semantic data integration applications to enable interoperability and make SCs more efficient and resilient. Moreover, we leverage ontologies and KGs to implement customer-oriented bullwhip-taming strategies. We create semantic-based approaches intertwined with Artificial Intelligence (AI) algorithms to address semiconductor industry specifics and ensure operational excellence. The results prove that relying on semantic technologies contributes to achieving rigorous and systematic SCM. We deem that better standardization, simulation, benchmarking, and analysis, as elaborated in the contributions, will help master more complex SC scenarios. SCs stakeholders can increasingly understand the domain and thus are better equipped with effective control strategies to restrain disruption accelerators, such as the bullwhip effect. In essence, the proposed Sematic Web Technology-based strategies unlock the potential to increase the efficiency, resilience, and operational excellence of supply networks and the semiconductor SC in particular

Multi-Period Trading via Convex Optimization

We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex optimization problem that trades off expected return, risk, transaction cost and holding cost such as the borrowing cost for shorting assets. We then describe a multi-period version of the trading method, where optimization is used to plan a sequence of trades, with only the first one executed, using estimates of future quantities that are unknown when the trades are chosen. The single-period method traces back to Markowitz; the multi-period methods trace back to model predictive control. Our contribution is to describe the single-period and multi-period methods in one simple framework, giving a clear description of the development and the approximations made. In this paper we do not address a critical component in a trading algorithm, the predictions or forecasts of future quantities. The methods we describe in this paper can be thought of as good ways to exploit predictions, no matter how they are made. We have also developed a companion open-source software library that implements many of the ideas and methods described in the paper

ATMS: Algorithmic Trading-Guided Market Simulation

The effective construction of an Algorithmic Trading (AT) strategy often relies on market simulators, which remains challenging due to existing methods' inability to adapt to the sequential and dynamic nature of trading activities. This work fills this gap by proposing a metric to quantify market discrepancy. This metric measures the difference between a causal effect from underlying market unique characteristics and it is evaluated through the interaction between the AT agent and the market. Most importantly, we introduce Algorithmic Trading-guided Market Simulation (ATMS) by optimizing our proposed metric. Inspired by SeqGAN, ATMS formulates the simulator as a stochastic policy in reinforcement learning (RL) to account for the sequential nature of trading. Moreover, ATMS utilizes the policy gradient update to bypass differentiating the proposed metric, which involves non-differentiable operations such as order deletion from the market. Through extensive experiments on semi-real market data, we demonstrate the effectiveness of our metric and show that ATMS generates market data with improved similarity to reality compared to the state-of-the-art conditional Wasserstein Generative Adversarial Network (cWGAN) approach. Furthermore, ATMS produces market data with more balanced BUY and SELL volumes, mitigating the bias of the cWGAN baseline approach, where a simple strategy can exploit the BUY/SELL imbalance for profit