Downside Risk and the Momentum Effect

Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of the profitability of investing in momentum strategies can be explained as compensation for bearing high exposure to downside risk.

Downside Risk

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk premium is approximately 6% per annum. The reward for bearing downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or size, book-to-market, and momentum characteristics.

Predictive modeling of webpage aesthetics

Aesthetics plays a key role in web design. However, most websites have been developed based on designers\u27 inspirations or preferences. While perceptions of aesthetics are intuitive abilities of humankind, the underlying principles for assessing aesthetics are not well understood. In recent years, machine learning methods have shown promising results in image aesthetic assessment. In this research, we used machine learning methods to study and explore the underlying principles of webpage aesthetics --Abstract, page iii

Secure Diagnostics And Forensics With Network Provenance

In large-scale networks, many things can go wrong: routers can be misconfigured, programs can be buggy, and computers can be compromised by an attacker. As a result, there is a constant need to perform network diagnostics and forensics. In this dissertation, we leverage the concept of provenance to build better support for diagnostic and forensic tasks. At a high level, provenance tracks causality between network states and events, and produces a detailed explanation of any event of interest, which makes it a good starting point for investigating network problems. However, in order to use provenance for network diagnostics and forensics, several challenges need to be addressed. First, existing provenance systems cannot provide security properties on high-speed network traffic, because the cryptographic operations would cause enormous overhead when the data rates are high. To address this challenge, we design secure packet provenance, a system that comes with a novel lightweight security protocol, to maintain secure provenance with low overhead. Second, in large-scale distributed systems, the provenance of a network event can be quite complex, so it is still challenging to identify the problem root cause from the complex provenance. To address this challenge, we design differential provenance, which can identify a symptom event’s root cause by reasoning about the differences between its provenance and the provenance of a similar “reference” event. Third, provenance can only explain why a current network state came into existence, but by itself, it does not reason about changes to the network state to fix a problem. To provide operators with more diagnostic support, we design causal networks – a generalization of network provenance – to reason about network repairs that can avoid undesirable side effects in the network. Causal networks can encode multiple diagnostic goals in the same data structure, and, therefore, generate repairs that satisfy multiple constraints simultaneously. We have applied these techniques to Software-Defined Networks, Hadoop MapReduce, as well as the Internet’s data plane. Our evaluation with real-world traffic traces and network topologies shows that our systems can run with reasonable overhead, and that they can accurately identify root causes of practical problems and generate repairs without causing collateral damage

Robust federated learning with noisy communication

Federated learning is a communication-efficient training process that alternate between local training at the edge devices and averaging of the updated local model at the center server. Nevertheless, it is impractical to achieve perfect acquisition of the local models in wireless communication due to the noise, which also brings serious effect on federated learning. To tackle this challenge in this paper, we propose a robust design for federated learning to decline the effect of noise. Considering the noise in two aforementioned steps, we first formulate the training problem as a parallel optimization for each node under the expectation-based model and worst-case model. Due to the non-convexity of the problem, regularizer approximation method is proposed to make it tractable. Regarding the worst-case model, we utilize the sampling-based successive convex approximation algorithm to develop a feasible training scheme to tackle the unavailable maxima or minima noise condition and the non-convex issue of the objective function. Furthermore, the convergence rates of both new designs are analyzed from a theoretical point of view. Finally, the improvement of prediction accuracy and the reduction of loss function value are demonstrated via simulation for the proposed designs

Geometry-based customization of bending modalities for 3D-printed soft pneumatic actuators

In this work, we propose a novel type of 3D-printed soft pneumatic actuator that allows geometry-based customization of bending modalities. While motion in the 3D-space has been achieved for several types of soft actuators, only 2D-bending has been previously modelled and characterized within the scope of 3D-printed soft pneumatic actuators. We developed the first type of 3D-printed soft pneumatic actuator which, by means of the unique feature of customizable cubes at an angle with the longitudinal axis of the structure, is capable of helical motion. Thus, we characterize its mechanical behavior and formulate mathematical and FEA models to validate the experimental results. Variation to the pattern of the inclination angle along the actuator is then demonstrated to allow for complex 3D-bending modalities and the main applications in the fields of object manipulation and wearable robotics are finally discussed

Detecting and Explaining Causes From Text For a Time Series Event

Explaining underlying causes or effects about events is a challenging but valuable task. We define a novel problem of generating explanations of a time series event by (1) searching cause and effect relationships of the time series with textual data and (2) constructing a connecting chain between them to generate an explanation. To detect causal features from text, we propose a novel method based on the Granger causality of time series between features extracted from text such as N-grams, topics, sentiments, and their composition. The generation of the sequence of causal entities requires a commonsense causative knowledge base with efficient reasoning. To ensure good interpretability and appropriate lexical usage we combine symbolic and neural representations, using a neural reasoning algorithm trained on commonsense causal tuples to predict the next cause step. Our quantitative and human analysis show empirical evidence that our method successfully extracts meaningful causality relationships between time series with textual features and generates appropriate explanation between them.Comment: Accepted at EMNLP 201