Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach

Quantitative investment is a fundamental financial task that highly relies on accurate stock prediction and profitable investment decision making. Despite recent advances in deep learning (DL) have shown stellar performance on capturing trading opportunities in the stochastic stock market, we observe that the performance of existing DL methods is sensitive to random seeds and network initialization. To design more profitable DL methods, we analyze this phenomenon and find two major limitations of existing works. First, there is a noticeable gap between accurate financial predictions and profitable investment strategies. Second, investment decisions are made based on only one individual predictor without consideration of model uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle these two limitations, we first reformulate quantitative investment as a multi-task learning problem. Later on, we propose AlphaMix, a novel two-stage mixture-of-experts (MoE) framework for quantitative investment to mimic the efficient bottom-up trading strategy design workflow of successful trading firms. In Stage one, multiple independent trading experts are jointly optimized with an individual uncertainty-aware loss function. In Stage two, we train neural routers (corresponding to the role of a portfolio manager) to dynamically deploy these experts on an as-needed basis. AlphaMix is also a universal framework that is applicable to various backbone network architectures with consistent performance gains. Through extensive experiments on long-term real-world data spanning over five years on two of the most influential financial markets (US and China), we demonstrate that AlphaMix significantly outperforms many state-of-the-art baselines in terms of four financial criteria

Deforming black holes with even multipolar differential rotation boundary

Motivated by the novel asymptotically global AdS$_4$ solutions with deforming horizon in [JHEP {\bf 1802}, 060 (2018)], we analyze the boundary metric with even multipolar differential rotation and numerically construct a family of deforming solutions with quadrupolar differential rotation boundary, including two classes of solutions: solitons and black holes. In contrast to solutions with dipolar differential rotation boundary, we find that even though the norm of Killing vector $\partial_t$ becomes spacelike for certain regions of polar angle $\theta$ when $\varepsilon>2$, solitons and black holes with quadrupolar differential rotation still exist and do not develop hair due to superradiance. Moreover, at the same temperature, the horizonal deformation of quadrupolar rotation is smaller than that of dipolar rotation. Furthermore, we also study the entropy and quasinormal modes of the solutions, which have the analogous properties to that of dipolar rotation.Comment: 18 pages, 21 figure

Market-GAN: Adding Control to Financial Market Data Generation with Semantic Context

Financial simulators play an important role in enhancing forecasting accuracy, managing risks, and fostering strategic financial decision-making. Despite the development of financial market simulation methodologies, existing frameworks often struggle with adapting to specialized simulation context. We pinpoint the challenges as i) current financial datasets do not contain context labels; ii) current techniques are not designed to generate financial data with context as control, which demands greater precision compared to other modalities; iii) the inherent difficulties in generating context-aligned, high-fidelity data given the non-stationary, noisy nature of financial data. To address these challenges, our contributions are: i) we proposed the Contextual Market Dataset with market dynamics, stock ticker, and history state as context, leveraging a market dynamics modeling method that combines linear regression and Dynamic Time Warping clustering to extract market dynamics; ii) we present Market-GAN, a novel architecture incorporating a Generative Adversarial Networks (GAN) for the controllable generation with context, an autoencoder for learning low-dimension features, and supervisors for knowledge transfer; iii) we introduce a two-stage training scheme to ensure that Market-GAN captures the intrinsic market distribution with multiple objectives. In the pertaining stage, with the use of the autoencoder and supervisors, we prepare the generator with a better initialization for the adversarial training stage. We propose a set of holistic evaluation metrics that consider alignment, fidelity, data usability on downstream tasks, and market facts. We evaluate Market-GAN with the Dow Jones Industrial Average data from 2000 to 2023 and showcase superior performance in comparison to 4 state-of-the-art time-series generative models

CAFE Learning to Condense Dataset by Aligning Features

Dataset condensation aims at reducing the network training effort through condensing a cumbersome training set into a compact synthetic one. State-of-the-art approaches largely rely on learning the synthetic data by matching the gradients between the real and synthetic data batches. Despite the intuitive motivation and promising results, such gradient-based methods, by nature, easily overfit to a biased set of samples that produce dominant gradients, and thus lack global supervision of data distribution. In this paper, we propose a novel scheme to Condense dataset by Aligning FEatures (CAFE), which explicitly attempts to preserve the real-feature distribution as well as the discriminant power of the resulting synthetic set, lending itself to strong generalization capability to various architectures. At the heart of our approach is an effective strategy to align features from the real and synthetic data across various scales, while accounting for the classification of real samples. Our scheme is further backed up by a novel dynamic bi-level optimization, which adaptively adjusts parameter updates to prevent over-/under-fitting. We validate the proposed CAFE across various datasets, and demonstrate that it generally outperforms the state of the art: on the SVHN dataset, for example, the performance gain is up to 11%. Extensive experiments and analyses verify the effectiveness and necessity of proposed designs.Comment: The manuscript has been accepted by CVPR-2022

Deforming charged black holes with dipolar differential rotation boundary

Motivated by the recent studies of the novel asymptotically global AdS$_4$ black hole with deforming horizon, we consider the action of Einstein-Maxwell gravity in AdS spacetime and construct the charged deforming AdS black holes with differential boundary. In contrast to deforming black hole without charge, there exists at least one value of horizon for an arbitrary temperature. The extremum of temperature is determined by charge $q$ and divides the range of temperature into several parts. Moreover, we use an isometric embedding in the three-dimensional space to investigate the horizon geometry. We also study the entropy and quasinormal modes of deforming charged AdS black hole. It is interesting to find there exist two families of black hole solutions with different horizon radius for a fixed temperature, but these two black holes have same horizon geometry and entropy. Due to the existence of charge $q$, the phase diagram of entropy is more complicated.Comment: 19 pages, 9 figure

ROI-Constrained Bidding via Curriculum-Guided Bayesian Reinforcement Learning

Real-Time Bidding (RTB) is an important mechanism in modern online advertising systems. Advertisers employ bidding strategies in RTB to optimize their advertising effects subject to various financial requirements, especially the return-on-investment (ROI) constraint. ROIs change non-monotonically during the sequential bidding process, and often induce a see-saw effect between constraint satisfaction and objective optimization. While some existing approaches show promising results in static or mildly changing ad markets, they fail to generalize to highly dynamic ad markets with ROI constraints, due to their inability to adaptively balance constraints and objectives amidst non-stationarity and partial observability. In this work, we specialize in ROI-Constrained Bidding in non-stationary markets. Based on a Partially Observable Constrained Markov Decision Process, our method exploits an indicator-augmented reward function free of extra trade-off parameters and develops a Curriculum-Guided Bayesian Reinforcement Learning (CBRL) framework to adaptively control the constraint-objective trade-off in non-stationary ad markets. Extensive experiments on a large-scale industrial dataset with two problem settings reveal that CBRL generalizes well in both in-distribution and out-of-distribution data regimes, and enjoys superior learning efficiency and stability.Comment: Accepted by SIGKDD 202

EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading

High-frequency trading (HFT) uses computer algorithms to make trading decisions in short time scales (e.g., second-level), which is widely used in the Cryptocurrency (Crypto) market (e.g., Bitcoin). Reinforcement learning (RL) in financial research has shown stellar performance on many quantitative trading tasks. However, most methods focus on low-frequency trading, e.g., day-level, which cannot be directly applied to HFT because of two challenges. First, RL for HFT involves dealing with extremely long trajectories (e.g., 2.4 million steps per month), which is hard to optimize and evaluate. Second, the dramatic price fluctuations and market trend changes of Crypto make existing algorithms fail to maintain satisfactory performance. To tackle these challenges, we propose an Efficient hieArchical Reinforcement learNing method for High Frequency Trading (EarnHFT), a novel three-stage hierarchical RL framework for HFT. In stage I, we compute a Q-teacher, i.e., the optimal action value based on dynamic programming, for enhancing the performance and training efficiency of second-level RL agents. In stage II, we construct a pool of diverse RL agents for different market trends, distinguished by return rates, where hundreds of RL agents are trained with different preferences of return rates and only a tiny fraction of them will be selected into the pool based on their profitability. In stage III, we train a minute-level router which dynamically picks a second-level agent from the pool to achieve stable performance across different markets. Through extensive experiments in various market trends on Crypto markets in a high-fidelity simulation trading environment, we demonstrate that EarnHFT significantly outperforms 6 state-of-art baselines in 6 popular financial criteria, exceeding the runner-up by 30% in profitability

Metachronous pulmonary and adrenal metastases after liver transplantation for hepatocarcinoma

<p>Abstract</p> <p>Background</p> <p>The worldwide experience of surgical resection for isolated metastasis following liver transplantation (LT) for hepatocellular carcinoma (HCC) is limited.</p> <p>Methods</p> <p>The case of a 60-year-old patient performed successful surgical management for metachronous pulmonary and adrenal metastases from HCC after LT.</p> <p>Results</p> <p>Eighty months after LT, he was presently alive and disease-free with a normal AFP value.</p> <p>Conclusion</p> <p>The case is an interesting report on a somehow indolent metastatic spread of HCC after LT. It should be considered that metachronous metastatic resectable disease, with no data of recurrence at the primary site in an operable patient, is an indication to perform a surgical resection.</p