Auto-Encoding Scene Graphs for Image Captioning

We propose Scene Graph Auto-Encoder (SGAE) that incorporates the language inductive bias into the encoder-decoder image captioning framework for more human-like captions. Intuitively, we humans use the inductive bias to compose collocations and contextual inference in discourse. For example, when we see the relation `person on bike', it is natural to replace `on' with `ride' and infer `person riding bike on a road' even the `road' is not evident. Therefore, exploiting such bias as a language prior is expected to help the conventional encoder-decoder models less likely overfit to the dataset bias and focus on reasoning. Specifically, we use the scene graph --- a directed graph ($\mathcal{G}$) where an object node is connected by adjective nodes and relationship nodes --- to represent the complex structural layout of both image ($\mathcal{I}$) and sentence ($\mathcal{S}$). In the textual domain, we use SGAE to learn a dictionary ($\mathcal{D}$) that helps to reconstruct sentences in the $\mathcal{S}\rightarrow \mathcal{G} \rightarrow \mathcal{D} \rightarrow \mathcal{S}$ pipeline, where $\mathcal{D}$ encodes the desired language prior; in the vision-language domain, we use the shared $\mathcal{D}$ to guide the encoder-decoder in the $\mathcal{I}\rightarrow \mathcal{G}\rightarrow \mathcal{D} \rightarrow \mathcal{S}$ pipeline. Thanks to the scene graph representation and shared dictionary, the inductive bias is transferred across domains in principle. We validate the effectiveness of SGAE on the challenging MS-COCO image captioning benchmark, e.g., our SGAE-based single-model achieves a new state-of-the-art $127.8$ CIDEr-D on the Karpathy split, and a competitive $125.5$ CIDEr-D (c40) on the official server even compared to other ensemble models

CNN-based Real-time Dense Face Reconstruction with Inverse-rendered Photo-realistic Face Images

With the powerfulness of convolution neural networks (CNN), CNN based face reconstruction has recently shown promising performance in reconstructing detailed face shape from 2D face images. The success of CNN-based methods relies on a large number of labeled data. The state-of-the-art synthesizes such data using a coarse morphable face model, which however has difficulty to generate detailed photo-realistic images of faces (with wrinkles). This paper presents a novel face data generation method. Specifically, we render a large number of photo-realistic face images with different attributes based on inverse rendering. Furthermore, we construct a fine-detailed face image dataset by transferring different scales of details from one image to another. We also construct a large number of video-type adjacent frame pairs by simulating the distribution of real video data. With these nicely constructed datasets, we propose a coarse-to-fine learning framework consisting of three convolutional networks. The networks are trained for real-time detailed 3D face reconstruction from monocular video as well as from a single image. Extensive experimental results demonstrate that our framework can produce high-quality reconstruction but with much less computation time compared to the state-of-the-art. Moreover, our method is robust to pose, expression and lighting due to the diversity of data.Comment: Accepted by IEEE Transactions on Pattern Analysis and Machine Intelligence, 201

Deep calibration of the quadratic rough Heston model

The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model. We show that the model is able to reproduce very well both SPX and VIX implied volatilities. We typically obtain VIX option prices within the bid-ask spread and an excellent fit of the SPX at-the-money skew. Moreover, we also explain how to use the trained neural networks for hedging with instantaneous computation of hedging quantities

Towards systematic intraday news screening: a liquidity-focused approach

News can convey bearish or bullish views on financial assets. Institutional investors need to evaluate automatically the implied news sentiment based on textual data. Given the huge amount of news articles published each day, most of which are neutral, we present a systematic news screening method to identify the ``true'' impactful ones, aiming for more effective development of news sentiment learning methods. Based on several liquidity-driven variables, including volatility, turnover, bid-ask spread, and book size, we associate each 5-min time bin to one of two specific liquidity modes. One represents the ``calm'' state at which the market stays for most of the time and the other, featured with relatively higher levels of volatility and trading volume, describes the regime driven by some exogenous events. Then we focus on the moments where the liquidity mode switches from the former to the latter and consider the news articles published nearby impactful. We apply naive Bayes on these filtered samples for news sentiment classification as an illustrative example. We show that the screened dataset leads to more effective feature capturing and thus superior performance on short-term asset return prediction compared to the original dataset