Knowledge-driven stock trend prediction and explanation via temporal convolutional network

The authors would like to acknowledge that this work is funded by NSFC 61473260/91846204, national key research program YS2018YFB140004 as well as Natural Science Foundation of Zhejiang Province of China (LQ19F030001), and supported by Alibaba-Zhejiang University Joint Institute of Frontier Technologies.Publisher PD

ALGA: Automatic Logic Gate Annotator for Building Financial News Events Detectors

We present a new automatic data labelling framework called ALGA - Automatic Logic Gate Annotator. The framework helps to create large amounts of annotated data for training domain-specific financial news events detection classifiers quicker. ALGA framework implements a rules-based approach to annotate a training dataset. This method has following advantages: 1) unlike traditional data labelling methods, it helps to filter relevant news articles from noise; 2) allows easier transferability to other domains and better interpretability of models trained on automatically labelled data. To create this framework, we focus on the U.S.-based companies that operate in the Apparel and Footwear industry. We show that event detection classifiers trained on the data generated by our framework can achieve state-of-the-art performance in the domain-specific financial events detection task. Besides, we create a domain-specific events synonyms dictionary

A Knowledge Graph Based Approach to Social Science Surveys

Peer reviewedPublisher PD

A Knowledge Graph Based Approach to Social Science Surveys

Recent success of knowledge graphs has spurred interest in applying them in open science, such as on intelligent survey systems for scientists. However, efforts to understand the quality of candidate survey questions provided by these methods have been limited. Indeed, existing methods do not consider the type of on-the-fly content planning that is possible for face-to-face surveys and hence do not guarantee that selection of subsequent questions is based on response to previous questions in a survey. To address this limitation, we propose a dynamic and informative solution for an intelligent survey system that is based on knowledge graphs. To illustrate our proposal, we look into social science surveys, focusing on ordering the questions of a questionnaire component by their level of acceptance, along with conditional triggers that further customise participants' experience. Our main findings are: (i) evaluation of the proposed approach shows that the dynamic component can be beneficial in terms of lowering the number of questions asked per variable, thus allowing more informative data to be collected in a survey of equivalent length; and (ii) a primary advantage of the proposed approach is that it enables grouping of participants according to their responses, so that participants are not only served appropriate follow-up questions, but their responses to these questions may be analysed in the context of some initial categorisation. We believe that the proposed approach can easily be applied to other social science surveys based on grouping definitions in their contexts. The knowledge-graph-based intelligent survey approach proposed in our work allows online questionnaires to approach face-to-face interaction in their level of informativity and responsiveness, as well as duplicating certain advantages of interview-based data collection

Remote Human Vital Sign Monitoring Using Multiple-Input Multiple-Output Radar at Millimeter-Wave Frequencies

Non-contact respiration rate (RR) and heart rate (HR) monitoring using millimeter-wave (mmWave) radars has gained lots of attention for medical, civilian, and military applications. These mmWave radars are small, light, and portable which can be deployed to various places. To increase the accuracy of RR and HR detection, distributed multi-input multi-output (MIMO) radar can be used to acquire non-redundant information of vital sign signals from different perspectives because each MIMO channel has different fields of view with respect to the subject under test (SUT). This dissertation investigates the use of a Frequency Modulated Continuous Wave (FMCW) radar operating at 77-81 GHz for this application. Vital sign signal is first reconstructed with Arctangent Demodulation (AD) method using phase change’s information collected by the radar due to chest wall displacement from respiration and heartbeat activities. Since the heartbeat signals can be corrupted and concealed by the third/fourth harmonics of the respiratory signals as well as random body motion (RBM) from the SUT, we have developed an automatic Heartbeat Template (HBT) extraction method based on Constellation Diagrams of the received signals. The extraction method will automatically spot and extract signals’ portions that carry good amount of heartbeat signals which are not corrupted by the RBM. The extracted HBT is then used as an adapted wavelet for Continuous Wavelet Transform (CWT) to reduce interferences from respiratory harmonics and RBM, as well as magnify the heartbeat signals. As the nature of RBM is unpredictable, the extracted HBT may not completely cancel the interferences from RBM. Therefore, to provide better HR detection’s accuracy, we have also developed a spectral-based HR selection method to gather frequency spectra of heartbeat signals from different MIMO channels. Based on this gathered spectral information, we can determine an accurate HR even if the heartbeat signals are significantly concealed by the RBM. To further improve the detection’s accuracy of RR and HR, two deep learning (DL) frameworks are also investigated. First, a Convolutional Neural Network (CNN) has been proposed to optimally select clean MIMO channels and eliminate MIMO channels with low SNR of heartbeat signals. After that, a Multi-layer Perceptron (MLP) neural network (NN) is utilized to reconstruct the heartbeat signals that will be used to assess and select the final HR with high confidence

Machine Learning and Natural Language Processing in Stock Prediction

In this thesis, we first study the two ill-posed natural language processing tasks related to stock prediction, i.e. stock movement prediction and financial document-level event extraction. While implementing stock prediction and event extraction, we encountered difficulties that could be resolved by utilizing out-of-distribution detection. Consequently, we presented a new approach for out-of-distribution detection, which is the third focus of this thesis. First, we systematically build a platform to study the NLP-aided stock auto-trading algorithms. Our platform is characterized by three features: (1) We provide financial news for each specific stock. (2) We provide various stock factors for each stock. (3) We evaluate performance from more financial-relevant metrics. Such a design allows us to develop and evaluate NLP-aided stock auto-trading algorithms in a more realistic setting. We also propose a system to automatically learn a good feature representation from various input information. The key to our algorithm is a method called semantic role labelling Pooling (SRLP), which leverages Semantic Role Labeling (SRL) to create a compact representation of each news paragraph. Based on SRLP, we further incorporate other stock factors to make the stock movement prediction. In addition, we propose a self-supervised learning strategy based on SRLP to enhance the out-of-distribution generalization performance of our system. Through our experimental study, we show that the proposed method achieves better performance and outperforms all strong baselines’ annualized rate of return as well as the maximum drawdown in back-testing. Second, we propose a generative solution for document-level event extraction that takes into account recent developments in generative event extraction, which have been successful at the sentence level but have not yet been explored for document-level extraction. Our proposed solution includes an encoding scheme to capture entity-to-document level information and a decoding scheme that takes into account all relevant contexts. Extensive experimental results demonstrate that our generative-based solution can perform as well as state-of-theart methods that use specialized structures for document event extraction. This allows our method to serve as an easy-to-use and strong baseline for future research in this area. Finally, we propose a new unsupervised OOD detection model that separates, extracts, and learns the semantic role labelling guided fine-grained local feature representation from different sentence arguments and the full sentence using a margin-based contrastive loss. Then we demonstrate the benefit of applying a self-supervised approach to enhance such global-local feature learning by predicting the SRL extracted role. We conduct our experiments and achieve state-of-the-art performance on out-of-distribution benchmarks.Thesis (Ph.D.) -- University of Adelaide, School of Computer and Mathematical Sciences, 202