Simplifying Sparse Expert Recommendation by Revisiting Graph Diffusion

Community Question Answering (CQA) websites have become valuable knowledge repositories where individuals exchange information by asking and answering questions. With an ever-increasing number of questions and high migration of users in and out of communities, a key challenge is to design effective strategies for recommending experts for new questions. In this paper, we propose a simple graph-diffusion expert recommendation model for CQA, that can outperform state-of-the art deep learning representatives and collaborative models. Our proposed method learns users' expertise in the context of both semantic and temporal information to capture their changing interest and activity levels with time. Experiments on five real-world datasets from the Stack Exchange network demonstrate that our approach outperforms competitive baseline methods. Further, experiments on cold-start users (users with a limited historical record) show our model achieves an average of ~ 30% performance gain compared to the best baseline method

Time-varying volatility in Bitcoin market and information flow at minute-level frequency

In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been proposed in finance, to model the dynamics of price returns, each of them introducing a different perspective on the problem, but none without shortcomings. We combine an approach that uses historical values of returns and their volatilities - GARCH family of models, with a so-called "Mixture of Distribution Hypothesis", which states that the dynamics of price returns are governed by the information flow about the market. Using time-series of Bitcoin-related tweets and volume of transactions as external information, we test for improvement in volatility prediction of several GARCH model variants on a minute level Bitcoin price time series. Statistical tests show that the simplest GARCH(1,1) reacts the best to the addition of external signal to model volatility process on out-of-sample data.Comment: 17 pages,11 figure

Is Simple Better? Revisiting Non-linear Matrix Factorization for Learning Incomplete Ratings

Matrix factorization techniques have been widely used as a method for collaborative filtering for recommender systems. In recent times, different variants of deep learning algorithms have been explored in this setting to improve the task of making a personalized recommendation with user-item interaction data. The idea that the mapping between the latent user or item factors and the original features is highly nonlinear suggest that classical matrix factorization techniques are no longer sufficient. In this paper, we propose a multilayer nonlinear semi-nonnegative matrix factorization method, with the motivation that user-item interactions can be modeled more accurately using a linear combination of non-linear item features. Firstly, we learn latent factors for representations of users and items from the designed multilayer nonlinear Semi-NMF approach using explicit ratings. Secondly, the architecture built is compared with deep-learning algorithms like Restricted Boltzmann Machine and state-of-the-art Deep Matrix factorization techniques. By using both supervised rate prediction task and unsupervised clustering in latent item space, we demonstrate that our proposed approach achieves better generalization ability in prediction as well as comparable representation ability as deep matrix factorization in the clustering task.Comment: version

Exploring Interpretable LSTM Neural Networks over Multi-Variable Data

For recurrent neural networks trained on time series with target and exogenous variables, in addition to accurate prediction, it is also desired to provide interpretable insights into the data. In this paper, we explore the structure of LSTM recurrent neural networks to learn variable-wise hidden states, with the aim to capture different dynamics in multi-variable time series and distinguish the contribution of variables to the prediction. With these variable-wise hidden states, a mixture attention mechanism is proposed to model the generative process of the target. Then we develop associated training methods to jointly learn network parameters, variable and temporal importance w.r.t the prediction of the target variable. Extensive experiments on real datasets demonstrate enhanced prediction performance by capturing the dynamics of different variables. Meanwhile, we evaluate the interpretation results both qualitatively and quantitatively. It exhibits the prospect as an end-to-end framework for both forecasting and knowledge extraction over multi-variable data.Comment: Accepted to International Conference on Machine Learning (ICML), 201

Introducing the σ\sigma-Cell: Unifying GARCH, Stochastic Fluctuations and Evolving Mechanisms in RNN-based Volatility Forecasting

This paper introduces the $\sigma$-Cell, a novel Recurrent Neural Network (RNN) architecture for financial volatility modeling. Bridging traditional econometric approaches like GARCH with deep learning, the $\sigma$-Cell incorporates stochastic layers and time-varying parameters to capture dynamic volatility patterns. Our model serves as a generative network, approximating the conditional distribution of latent variables. We employ a log-likelihood-based loss function and a specialized activation function to enhance performance. Experimental results demonstrate superior forecasting accuracy compared to traditional GARCH and Stochastic Volatility models, making the next step in integrating domain knowledge with neural networks

A Recipe for Well-behaved Graph Neural Approximations of Complex Dynamics

Data-driven approximations of ordinary differential equations offer a promising alternative to classical methods in discovering a dynamical system model, particularly in complex systems lacking explicit first principles. This paper focuses on a complex system whose dynamics is described with a system of ordinary differential equations, coupled via a network adjacency matrix. Numerous real-world systems, including financial, social, and neural systems, belong to this class of dynamical models. We propose essential elements for approximating such dynamical systems using neural networks, including necessary biases and an appropriate neural architecture. Emphasizing the differences from static supervised learning, we advocate for evaluating generalization beyond classical assumptions of statistical learning theory. To estimate confidence in prediction during inference time, we introduce a dedicated null model. By studying various complex network dynamics, we demonstrate the neural network's ability to approximate various dynamics, generalize across complex network structures, sizes, and statistical properties of inputs. Our comprehensive framework enables deep learning approximations of high-dimensional, non-linearly coupled complex dynamical systems

Unifying continuous, discrete, and hybrid susceptible-infected-recovered processes on networks

Waiting times between two consecutive infection and recovery events in spreading processes are often assumed to be exponentially distributed, which results in Markovian (i.e., memoryless) continuous spreading dynamics. However, this is not taking into account memory (correlation) effects and discrete interactions that have been identified as relevant in social, transportation, and disease dynamics. We introduce a framework to model continuous, discrete, and hybrid forms of (non-)Markovian susceptible-infected-recovered (SIR) stochastic processes on networks. The hybrid SIR processes that we study in this paper describe infections as discrete-time Markovian and recovery events as continuous-time non-Markovian processes, which mimic the distribution of cell cycles. Our results suggest that the effective-infection-rate description of epidemic processes fails to uniquely capture the behavior of such hybrid and also general non-Markovian disease dynamics. Providing a unifying description of general Markovian and non-Markovian disease outbreaks, we instead show that the mean transmissibility produces the same phase diagrams independent of the underlying inter-event-time distributions.Comment: 14 pages, 10 figure