TFAW: wavelet-based signal reconstruction to reduce photometric noise in time-domain surveys

There have been many efforts to correct systematic effects in astronomical light curves to improve the detection and characterization of planetary transits and astrophysical variability. Algorithms like the Trend Filtering Algorithm (TFA) use simultaneously-observed stars to remove systematic effects, and binning is used to reduce high-frequency random noise. We present TFAW, a wavelet-based modified version of TFA. TFAW aims to increase the periodic signal detection and to return a detrended and denoised signal without modifying its intrinsic characteristics. We modify TFA's frequency analysis step adding a Stationary Wavelet Transform filter to perform an initial noise and outlier removal and increase the detection of variable signals. A wavelet filter is added to TFA's signal reconstruction to perform an adaptive characterization of the noise- and trend-free signal and the noise contribution at each iteration while preserving astrophysical signals. We carried out tests over simulated sinusoidal and transit-like signals to assess the effectiveness of the method and applied TFAW to real light curves from TFRM. We also studied TFAW's application to simulated multiperiodic signals, improving their characterization. TFAW improves the signal detection rate by increasing the signal detection efficiency (SDE) up to a factor ~2.5x for low SNR light curves. For simulated transits, the transit detection rate improves by a factor ~2-5x in the low-SNR regime compared to TFA. TFAW signal approximation performs up to a factor ~2x better than bin averaging for planetary transits. The standard deviations of simulated and real TFAW light curves are ~40x better than TFA. TFAW yields better MCMC posterior distributions and returns lower uncertainties, less biased transit parameters and narrower (~10x) credibility intervals for simulated transits. We present a newly-discovered variable star from TFRM.Comment: Accepted for publication by A&A. 13 pages, 16 figures and 5 table

High Frequency Trading and Mini Flash Crashes

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity

Regularizing deep networks using efficient layerwise adversarial training

Adversarial training has been shown to regularize deep neural networks in addition to increasing their robustness to adversarial examples. However, its impact on very deep state of the art networks has not been fully investigated. In this paper, we present an efficient approach to perform adversarial training by perturbing intermediate layer activations and study the use of such perturbations as a regularizer during training. We use these perturbations to train very deep models such as ResNets and show improvement in performance both on adversarial and original test data. Our experiments highlight the benefits of perturbing intermediate layer activations compared to perturbing only the inputs. The results on CIFAR-10 and CIFAR-100 datasets show the merits of the proposed adversarial training approach. Additional results on WideResNets show that our approach provides significant improvement in classification accuracy for a given base model, outperforming dropout and other base models of larger size.Comment: Published at the Thirty-Second AAAI Conference on Artificial Intelligence (AAAI-18). Official link: https://www.aaai.org/ocs/index.php/AAAI/AAAI18/paper/view/1663