Deep Learning for Inflexible Multi-Asset Hedging of incomplete market

Models trained under assumptions in the complete market usually don't take effect in the incomplete market. This paper solves the hedging problem in incomplete market with three sources of incompleteness: risk factor, illiquidity, and discrete transaction dates. A new jump-diffusion model is proposed to describe stochastic asset prices. Three neutral networks, including RNN, LSTM, Mogrifier-LSTM are used to attain hedging strategies with MSE Loss and Huber Loss implemented and compared.As a result, Mogrifier-LSTM is the fastest model with the best results under MSE and Huber Loss

CCheXR-Attention: Clinical concept extraction and chest x-ray reports classification using modified Mogrifier and bidirectional LSTM with multihead attention

Radiology reports cover different aspects, from radiological observation to the diagnosis of an imaging examination, such as X-rays, MRI, and CT scans. Abundant patient information presented in radiology reports poses a few major challenges. First, radiology reports follow a free-text reporting format, which causes the loss of a large amount of information in unstructured text. Second, the extraction of important features from these reports is a huge bottleneck for machine learning models. These challenges are important, particularly the extraction of key features such as symptoms, comparison/priors, technique, finding, and impression because they facilitate the decision-making on patients’ health. To alleviate this issue, a novel architecture CCheXR-Attention is proposed to extract the clinical features from the radiological reports and classify each report into normal and abnormal categories based on the extracted information. We have proposed a modified mogrifier LSTM model and integrated a multihead attention method to extract the more relevant features. Experimental outcomes on two benchmark datasets demonstrated that the proposed model surpassed state-of-the-art models

Vision Transformer Based Model for Describing a Set of Images as a Story

Visual Story-Telling is the process of forming a multi-sentence story from a set of images. Appropriately including visual variation and contextual information captured inside the input images is one of the most challenging aspects of visual storytelling. Consequently, stories developed from a set of images often lack cohesiveness, relevance, and semantic relationship. In this paper, we propose a novel Vision Transformer Based Model for describing a set of images as a story. The proposed method extracts the distinct features of the input images using a Vision Transformer (ViT). Firstly, input images are divided into 16X16 patches and bundled into a linear projection of flattened patches. The transformation from a single image to multiple image patches captures the visual variety of the input visual patterns. These features are used as input to a Bidirectional-LSTM which is part of the sequence encoder. This captures the past and future image context of all image patches. Then, an attention mechanism is implemented and used to increase the discriminatory capacity of the data fed into the language model, i.e. a Mogrifier-LSTM. The performance of our proposed model is evaluated using the Visual Story-Telling dataset (VIST), and the results show that our model outperforms the current state of the art models.Comment: This paper has been accepted at the 35th Australasian Joint Conference on Artificial Intelligence 2022 (Camera-ready version is attached

Gates Are Not What You Need in RNNs

Recurrent neural networks have flourished in many areas. Consequently, we can see new RNN cells being developed continuously, usually by creating or using gates in a new, original way. But what if we told you that gates in RNNs are redundant? In this paper, we propose a new recurrent cell called Residual Recurrent Unit (RRU) which beats traditional cells and does not employ a single gate. It is based on the residual shortcut connection, linear transformations, ReLU, and normalization. To evaluate our cell's effectiveness, we compare its performance against the widely-used GRU and LSTM cells and the recently proposed Mogrifier LSTM on several tasks including, polyphonic music modeling, language modeling, and sentiment analysis. Our experiments show that RRU outperforms the traditional gated units on most of these tasks. Also, it has better robustness to parameter selection, allowing immediate application in new tasks without much tuning. We have implemented the RRU in TensorFlow, and the code is made available at https://github.com/LUMII-Syslab/RRU .Comment: Published in Artificial Intelligence and Soft Computing. ICAISC 2023. Lecture Notes in Computer Science(), vol 14125. Springer, Cham., and is available online at https://doi.org/10.1007/978-3-031-42505-9_2

Circling Back to Recurrent Models of Language

Just because some purely recurrent models suffer from being hard to optimize and inefficient on today's hardware, they are not necessarily bad models of language. We demonstrate this by the extent to which these models can still be improved by a combination of a slightly better recurrent cell, architecture, objective, as well as optimization. In the process, we establish a new state of the art for language modelling on small datasets and on Enwik8 with dynamic evaluation

Long Distance Relationships without Time Travel: Boosting the Performance of a Sparse Predictive Autoencoder in Sequence Modeling

In sequence learning tasks such as language modelling, Recurrent Neural Networks must learn relationships between input features separated by time. State of the art models such as LSTM and Transformer are trained by backpropagation of losses into prior hidden states and inputs held in memory. This allows gradients to flow from present to past and effectively learn with perfect hindsight, but at a significant memory cost. In this paper we show that it is possible to train high performance recurrent networks using information that is local in time, and thereby achieve a significantly reduced memory footprint. We describe a predictive autoencoder called bRSM featuring recurrent connections, sparse activations, and a boosting rule for improved cell utilization. The architecture demonstrates near optimal performance on a non-deterministic (stochastic) partially-observable sequence learning task consisting of high-Markov-order sequences of MNIST digits. We find that this model learns these sequences faster and more completely than an LSTM, and offer several possible explanations why the LSTM architecture might struggle with the partially observable sequence structure in this task. We also apply our model to a next word prediction task on the Penn Treebank (PTB) dataset. We show that a 'flattened' RSM network, when paired with a modern semantic word embedding and the addition of boosting, achieves 103.5 PPL (a 20-point improvement over the best N-gram models), beating ordinary RNNs trained with BPTT and approaching the scores of early LSTM implementations. This work provides encouraging evidence that strong results on challenging tasks such as language modelling may be possible using less memory intensive, biologically-plausible training regimes.Comment: 9 pages, 6 figures, 4 table