Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction

Multi-step stock price prediction over a long-term horizon is crucial for forecasting its volatility, allowing financial institutions to price and hedge derivatives, and banks to quantify the risk in their trading books. Additionally, most financial regulators also require a liquidity horizon of several days for institutional investors to exit their risky assets, in order to not materially affect market prices. However, the task of multi-step stock price prediction is challenging, given the highly stochastic nature of stock data. Current solutions to tackle this problem are mostly designed for single-step, classification-based predictions, and are limited to low representation expressiveness. The problem also gets progressively harder with the introduction of the target price sequence, which also contains stochastic noise and reduces generalizability at test-time. To tackle these issues, we combine a deep hierarchical variational-autoencoder (VAE) and diffusion probabilistic techniques to do seq2seq stock prediction through a stochastic generative process. The hierarchical VAE allows us to learn the complex and low-level latent variables for stock prediction, while the diffusion probabilistic model trains the predictor to handle stock price stochasticity by progressively adding random noise to the stock data. Our Diffusion-VAE (D-Va) model is shown to outperform state-of-the-art solutions in terms of its prediction accuracy and variance. More importantly, the multi-step outputs can also allow us to form a stock portfolio over the prediction length. We demonstrate the effectiveness of our model outputs in the portfolio investment task through the Sharpe ratio metric and highlight the importance of dealing with different types of prediction uncertainties.Comment: CIKM 202

Ultralow thermal conductivity of single crystalline porous silicon nanowires

Porous materials provide a large surface to volume ratio, thereby providing a knob to alter fundamental properties in unprecedented ways. In thermal transport, porous nanomaterials can reduce thermal conductivity by not only enhancing phonon scattering from the boundaries of the pores and therefore decreasing the phonon mean free path, but also by reducing the phonon group velocity. Here we establish a structure-property relationship by measuring the porosity and thermal conductivity of individual electrolessly etched single crystalline silicon nanowires using a novel electron beam heating technique. Such porous silicon nanowires exhibit extremely low diffusive thermal conductivity (as low as 0.33 Wm-1K-1 at 300K for 43% porosity), even lower than that of amorphous silicon. The origin of such ultralow thermal conductivity is understood as a reduction in the phonon group velocity, experimentally verified by measuring the Young modulus, as well as the smallest structural size ever reported in crystalline Silicon (less than 5nm). Molecular dynamics simulations support the observation of a drastic reduction in thermal conductivity of silicon nanowires as a function of porosity. Such porous materials provide an intriguing platform to tune phonon transport, which can be useful in the design of functional materials towards electronics and nano-electromechanical systems

Observation of the Cabibbo-suppressed decay Xi_c+ -> p K- pi+

We report the first observation of the Cabibbo-suppressed charm baryon decay Xi_c+ -> p K- pi+. We observe 150 +- 22 events for the signal. The data were accumulated using the SELEX spectrometer during the 1996-1997 fixed target run at Fermilab, chiefly from a 600 GeV/c Sigma- beam. The branching fractions of the decay relative to the Cabibbo-favored Xi_c+ -> Sigma+ K- pi+ and Xi_c+ -> X- pi+ pi+ are measured to be B(Xi_c+ -> p K- pi+)/B(Xi_c+ -> Sigma+ K- pi+) = 0.22 +- 0.06 +- 0.03 and B(Xi_c+ -> p K- pi+)/B(Xi_c+ -> X- pi+ pi+) = 0.20 +- 0.04 +- 0.02, respectively.Comment: 5 pages, RevTeX, 3 figures (postscript), Submitted to Phys. Rev. Let

First observation of a narrow charm-strange meson DsJ(2632) -> Ds eta and D0 K+

We report the first observation of a charm-strange meson DsJ(2632) at a mass of 2632.6+/-1.6 MeV/c^2 in data from SELEX, the charm hadro-production experiment E781 at Fermilab. This state is seen in two decay modes, Ds eta and D0 K+. In the Ds eta decay mode we observe an excess of 49.3 events with a significance of 7.2sigma at a mass of 2635.9+/-2.9 MeV/c^2. There is a corresponding peak of 14 events with a significance of 5.3sigma at 2631.5+/-1.9 MeV/c^2 in the decay mode D0 K+. The decay width of this state is <17 MeV/c^2 at 90% confidence level. The relative branching ratio Gamma(D0K+)/Gamma(Dseta) is 0.16+/-0.06. The mechanism which keeps this state narrow is unclear. Its decay pattern is also unusual, being dominated by the Ds eta decay mode.Comment: 5 pages, 3 included eps figures. v2 as accepted for publication by PR

First Observation of the Doubly Charmed Baryon Xi_cc^+

We observe a signal for the doubly charmed baryon Xi_cc^+ in the charged decay mode Xi_cc^+ --> Lambda_c^+ K- pi+ in data from SELEX, the charm hadro-production experiment at Fermilab. We observe an excess of 15.9 events over an expected background of 6.1 +/- 0.5 events, a statistical significance of 6.3sigma. The observed mass of this state is (3519 +/- 1) MeV/c^2. The Gaussian mass width of this state is 3MeV/c^2, consistent with resolution; its lifetime is less than 33fsec at 90% confidence.Comment: 5 pages, 3 figures, accepted for publication in Physical Review Letter

First Measurement of pi e -> pi e gamma Pion Virtual Compton Scattering

Pion Virtual Compton Scattering (VCS) via the reaction pi e --> pi e gamma was observed in the Fermilab E781 SELEX experiment. SELEX used a 600 GeV/c pi- beam incident on target atomic electrons, detecting the incident pi- and the final state pi-, electron and gamma. Theoretical predictions based on chiral perturbation theory are incorporated into a Monte Carlo simulation of the experiment and are compared to the data. The number of reconstructed events (9) and their distribution with respect to the kinematic variables (for the kinematic region studied) are in reasonable accord with the predictions. The corresponding pi- VCS experimental cross section is sigma=38.8+-13 nb, in agreement with the theoretical expectation sigma=34.7 nb.Comment: 10 pages, 12 figures, 4 tables, 25 references, SELEX home page is http://fn781a.fnal.gov/, revised July 21, 2002 in response to journal referee Comment