Predicting trend reversals using market instantaneous state

Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find coordinated behaviour during trend reversals dominated by the pairwise component. In particular, these events are predicted with high significant accuracy by the ensemble's instantaneous state.Comment: 18 pages, 15 figure

Chaos in computer performance

Modern computer microprocessors are composed of hundreds of millions of transistors that interact through intricate protocols. Their performance during program execution may be highly variable and present aperiodic oscillations. In this paper, we apply current nonlinear time series analysis techniques to the performances of modern microprocessors during the execution of prototypical programs. Our results present pieces of evidence strongly supporting that the high variability of the performance dynamics during the execution of several programs display low-dimensional deterministic chaos, with sensitivity to initial conditions comparable to textbook models. Taken together, these results show that the instantaneous performances of modern microprocessors constitute a complex (or at least complicated) system and would benefit from analysis with modern tools of nonlinear and complexity science

Emergence of Invariance and Disentanglement in Deep Representations

Using established principles from Statistics and Information Theory, we show that invariance to nuisance factors in a deep neural network is equivalent to information minimality of the learned representation, and that stacking layers and injecting noise during training naturally bias the network towards learning invariant representations. We then decompose the cross-entropy loss used during training and highlight the presence of an inherent overfitting term. We propose regularizing the loss by bounding such a term in two equivalent ways: One with a Kullbach-Leibler term, which relates to a PAC-Bayes perspective; the other using the information in the weights as a measure of complexity of a learned model, yielding a novel Information Bottleneck for the weights. Finally, we show that invariance and independence of the components of the representation learned by the network are bounded above and below by the information in the weights, and therefore are implicitly optimized during training. The theory enables us to quantify and predict sharp phase transitions between underfitting and overfitting of random labels when using our regularized loss, which we verify in experiments, and sheds light on the relation between the geometry of the loss function, invariance properties of the learned representation, and generalization error.Comment: Deep learning, neural network, representation, flat minima, information bottleneck, overfitting, generalization, sufficiency, minimality, sensitivity, information complexity, stochastic gradient descent, regularization, total correlation, PAC-Baye

Compressive Imaging Using RIP-Compliant CMOS Imager Architecture and Landweber Reconstruction

In this paper, we present a new image sensor architecture for fast and accurate compressive sensing (CS) of natural images. Measurement matrices usually employed in CS CMOS image sensors are recursive pseudo-random binary matrices. We have proved that the restricted isometry property of these matrices is limited by a low sparsity constant. The quality of these matrices is also affected by the non-idealities of pseudo-random number generators (PRNG). To overcome these limitations, we propose a hardware-friendly pseudo-random ternary measurement matrix generated on-chip by means of class III elementary cellular automata (ECA). These ECA present a chaotic behavior that emulates random CS measurement matrices better than other PRNG. We have combined this new architecture with a block-based CS smoothed-projected Landweber reconstruction algorithm. By means of single value decomposition, we have adapted this algorithm to perform fast and precise reconstruction while operating with binary and ternary matrices. Simulations are provided to qualify the approach.Ministerio de Economía y Competitividad TEC2015-66878-C3-1-RJunta de Andalucía TIC 2338-2013Office of Naval Research (USA) N000141410355European Union H2020 76586