161,692 research outputs found

    Expectations, Liquidity, and Short-term Trading

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    We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning to reassess the inference about fundamentals made at the early stage of the trading game. This introduces strategic complementarities in the use of information and can yield two stable equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the beauty contest analogy for financial markets and derive a rich set of implications to explain market anomalies, and empirical regularities.price speculation, multiple equilibria, average expectations, public information, momentum and reversal, Beauty Contest

    Free-energy and the brain

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    If one formulates Helmholtz's ideas about perception in terms of modern-day theories one arrives at a model of perceptual inference and learning that can explain a remarkable range of neurobiological facts. Using constructs from statistical physics it can be shown that the problems of inferring what cause our sensory input and learning causal regularities in the sensorium can be resolved using exactly the same principles. Furthermore, inference and learning can proceed in a biologically plausible fashion. The ensuing scheme rests on Empirical Bayes and hierarchical models of how sensory information is generated. The use of hierarchical models enables the brain to construct prior expectations in a dynamic and context-sensitive fashion. This scheme provides a principled way to understand many aspects of the brain's organisation and responses.In this paper, we suggest that these perceptual processes are just one emergent property of systems that conform to a free-energy principle. The free-energy considered here represents a bound on the surprise inherent in any exchange with the environment, under expectations encoded by its state or configuration. A system can minimise free-energy by changing its configuration to change the way it samples the environment, or to change its expectations. These changes correspond to action and perception respectively and lead to an adaptive exchange with the environment that is characteristic of biological systems. This treatment implies that the system's state and structure encode an implicit and probabilistic model of the environment. We will look at models entailed by the brain and how minimisation of free-energy can explain its dynamics and structure

    Action and behavior: a free-energy formulation

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    We have previously tried to explain perceptual inference and learning under a free-energy principle that pursues Helmholtz’s agenda to understand the brain in terms of energy minimization. It is fairly easy to show that making inferences about the causes of sensory data can be cast as the minimization of a free-energy bound on the likelihood of sensory inputs, given an internal model of how they were caused. In this article, we consider what would happen if the data themselves were sampled to minimize this bound. It transpires that the ensuing active sampling or inference is mandated by ergodic arguments based on the very existence of adaptive agents. Furthermore, it accounts for many aspects of motor behavior; from retinal stabilization to goal-seeking. In particular, it suggests that motor control can be understood as fulfilling prior expectations about proprioceptive sensations. This formulation can explain why adaptive behavior emerges in biological agents and suggests a simple alternative to optimal control theory. We illustrate these points using simulations of oculomotor control and then apply to same principles to cued and goal-directed movements. In short, the free-energy formulation may provide an alternative perspective on the motor control that places it in an intimate relationship with perception

    Analyzing Quantization in TVM

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    There has been many papers in academic literature on quantizing weight tensors in deep learning models to reduce inference latency and memory footprint. TVM also has the ability to quantize weights and support low-bit computations. Although quantization is typically expected to improve inference time, in TVM, the performance of 8-bit quantization does not meet the expectations. Typically, when applying 8-bit quantization to a deep learning model, it is usually expected to achieve around 50% of the full-precision inference time. However, in this particular case, not only does the quantized version fail to achieve the desired performance boost, but it actually performs worse, resulting in an inference time that is about 2 times as slow as the non-quantized version. In this project, we thoroughly investigate the reasons behind the underperformance and assess the compatibility and optimization opportunities of 8-bit quantization in TVM. We discuss the optimization of two different types of tasks: computation-bound and memory-bound, and provide a detailed comparison of various optimization techniques in TVM. Through the identification of performance issues, we have successfully improved quantization by addressing a bug in graph building. Furthermore, we analyze multiple optimization strategies to achieve the optimal quantization result. The best experiment achieves 163.88% improvement compared with the TVM compiled baseline in inference time for the compute-bound task and 194.98% for the memory-bound task

    Least squares estimation in nonlinear cohort panels with learning from experience

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    We discuss techniques of estimation and inference for nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator employed in the seminal paper by Malmendier and Nagel (2016). Potential pitfalls for hypothesis testing are identified and solutions proposed. Monte Carlo simulations verify the properties of the estimator and corresponding test statistics in finite samples, while an application to a panel of survey expectations demonstrates the usefulness of the theory developed

    Reinforcement learning or active inference?

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    This paper questions the need for reinforcement learning or control theory when optimising behaviour. We show that it is fairly simple to teach an agent complicated and adaptive behaviours using a free-energy formulation of perception. In this formulation, agents adjust their internal states and sampling of the environment to minimize their free-energy. Such agents learn causal structure in the environment and sample it in an adaptive and self-supervised fashion. This results in behavioural policies that reproduce those optimised by reinforcement learning and dynamic programming. Critically, we do not need to invoke the notion of reward, value or utility. We illustrate these points by solving a benchmark problem in dynamic programming; namely the mountain-car problem, using active perception or inference under the free-energy principle. The ensuing proof-of-concept may be important because the free-energy formulation furnishes a unified account of both action and perception and may speak to a reappraisal of the role of dopamine in the brain

    Computational inference and control of quality in multimedia services

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    Quality is the degree of excellence we expect of a service or a product. It is also one of the key factors that determine its value. For multimedia services, understanding the experienced quality means understanding how the delivered delity, precision and reliability correspond to the users' expectations. Yet the quality of multimedia services is inextricably linked to the underlying technology. It is developments in video recording, compression and transport as well as display technologies that enables high quality multimedia services to become ubiquitous. The constant evolution of these technologies delivers a steady increase in performance, but also a growing level of complexity. As new technologies stack on top of each other the interactions between them and their components become more intricate and obscure. In this environment optimizing the delivered quality of multimedia services becomes increasingly challenging. The factors that aect the experienced quality, or Quality of Experience (QoE), tend to have complex non-linear relationships. The subjectively perceived QoE is hard to measure directly and continuously evolves with the user's expectations. Faced with the diculty of designing an expert system for QoE management that relies on painstaking measurements and intricate heuristics, we turn to an approach based on learning or inference. The set of solutions presented in this work rely on computational intelligence techniques that do inference over the large set of signals coming from the system to deliver QoE models based on user feedback. We furthermore present solutions for inference of optimized control in systems with no guarantees for resource availability. This approach oers the opportunity to be more accurate in assessing the perceived quality, to incorporate more factors and to adapt as technology and user expectations evolve. In a similar fashion, the inferred control strategies can uncover more intricate patterns coming from the sensors and therefore implement farther-reaching decisions. Similarly to natural systems, this continuous adaptation and learning makes these systems more robust to perturbations in the environment, longer lasting accuracy and higher eciency in dealing with increased complexity. Overcoming this increasing complexity and diversity is crucial for addressing the challenges of future multimedia system. Through experiments and simulations this work demonstrates that adopting an approach of learning can improve the sub jective and objective QoE estimation, enable the implementation of ecient and scalable QoE management as well as ecient control mechanisms
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