QuantNet: transferring learning across trading strategies

Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data from multiple markets, current approaches in trading rely mainly on learning trading strategies per individual market. In this paper, we take a step towards developing fully end-to-end global trading strategies that leverage systematic trends to produce superior market-specific trading strategies. We introduce QuantNet: an architecture that learns market-agnostic trends and use these to learn superior market-specific trading strategies. Each market-specific model is composed of an encoder-decoder pair. The encoder transforms market-specific data into an abstract latent representation that is processed by a global model shared by all markets, while the decoder learns a market-specific trading strategy based on both local and global information from the market-specific encoder and the global model. QuantNet uses recent advances in transfer and meta-learning, where market-specific parameters are free to specialize on the problem at hand, whilst market-agnostic parameters are driven to capture signals from all markets. By integrating over idiosyncratic market data we can learn general transferable dynamics, avoiding the problem of overfitting to produce strategies with superior returns. We evaluate QuantNet on historical data across 3103 assets in 58 global equity markets. Against the top performing baseline, QuantNet yielded 51% higher Sharpe and 69% Calmar ratios. In addition, we show the benefits of our approach over the non-transfer learning variant, with improvements of 15% and 41% in Sharpe and Calmar ratios. A link to QuantNet code is made available in the appendix

A Game-Theoretic Framework for Managing Risk in Multi-Agent Systems

In order for agents in multi-agent systems (MAS) to be safe, they need to take into account the risks posed by the actions of other agents. However, the dominant paradigm in game theory (GT) assumes that agents are not affected by risk from other agents and only strive to maximise their expected utility. For example, in hybrid human-AI driving systems, it is necessary to limit large deviations in reward resulting from car crashes. Although there are equilibrium concepts in game theory that take into account risk aversion, they either assume that agents are risk-neutral with respect to the uncertainty caused by the actions of other agents, or they are not guaranteed to exist. We introduce a new GT-based Risk-Averse Equilibrium (RAE) that always produces a solution that minimises the potential variance in reward accounting for the strategy of other agents. Theoretically and empirically, we show RAE shares many properties with a Nash Equilibrium (NE), establishing convergence properties and generalising to risk-dominant NE in certain cases. To tackle large-scale problems, we extend RAE to the PSRO multi-agent reinforcement learning (MARL) framework. We empirically demonstrate the minimum reward variance benefits of RAE in matrix games with high-risk outcomes. Results on MARL experiments show RAE generalises to risk-dominant NE in a trust dilemma game and that it reduces instances of crashing by 7x in an autonomous driving setting versus the best performing baseline

Multi-stage prediction networks for data harmonization

In this paper, we introduce multi-task learning (MTL) to data harmonization (DH); where we aim to harmonize images across different acquisition platforms and sites. This allows us to integrate information from multiple acquisitions and improve the predictive performance and learning efficiency of the harmonization model. Specifically, we introduce the Multi Stage Prediction (MSP) Network, a MTL framework that incorporates neural networks of potentially disparate architectures, trained for different individual acquisition platforms, into a larger architecture that is refined in unison. The MSP utilizes high-level features of single networks for individual tasks, as inputs of additional neural networks to inform the final prediction, therefore exploiting redundancy across tasks to make the most of limited training data. We validate our methods on a dMRI harmonization challenge dataset, where we predict three modern platform types, from one obtained from an old scanner. We show how MTL architectures, such as the MSP, produce around 20% improvement of patch-based mean-squared error over current state-of-the-art methods and that our MSP outperforms off-the-shelf MTL networks. Our code is availabl

Degenerative adversarial neuroimage nets for brain scan simulations: Application in ageing and dementia

Accurate and realistic simulation of high-dimensional medical images has become an important research area relevant to many AI-enabled healthcare applications. However, current state-of-the-art approaches lack the ability to produce satisfactory high-resolution and accurate subject-specific images. In this work, we present a deep learning framework, namely 4D-Degenerative Adversarial NeuroImage Net (4D-DANI-Net), to generate high-resolution, longitudinal MRI scans that mimic subject-specific neurodegeneration in ageing and dementia. 4D-DANI-Net is a modular framework based on adversarial training and a set of novel spatiotemporal, biologically-informed constraints. To ensure efficient training and overcome memory limitations affecting such high-dimensional problems, we rely on three key technological advances: i) a new 3D training consistency mechanism called Profile Weight Functions (PWFs), ii) a 3D super-resolution module and iii) a transfer learning strategy to fine-tune the system for a given individual. To evaluate our approach, we trained the framework on 9852 T1-weighted MRI scans from 876 participants in the Alzheimer's Disease Neuroimaging Initiative dataset and held out a separate test set of 1283 MRI scans from 170 participants for quantitative and qualitative assessment of the personalised time series of synthetic images. We performed three evaluations: i) image quality assessment; ii) quantifying the accuracy of regional brain volumes over and above benchmark models; and iii) quantifying visual perception of the synthetic images by medical experts. Overall, both quantitative and qualitative results show that 4D-DANI-Net produces realistic, low-artefact, personalised time series of synthetic T1 MRI that outperforms benchmark models

ABCD Neurocognitive Prediction Challenge 2019: Predicting individual residual fluid intelligence scores from cortical grey matter morphology

We predicted residual fluid intelligence scores from T1-weighted MRI data available as part of the ABCD NP Challenge 2019, using morphological similarity of grey-matter regions across the cortex. Individual structural covariance networks (SCN) were abstracted into graph-theory metrics averaged over nodes across the brain and in data-driven communities/modules. Metrics included degree, path length, clustering coefficient, centrality, rich club coefficient, and small-worldness. These features derived from the training set were used to build various regression models for predicting residual fluid intelligence scores, with performance evaluated both using cross-validation within the training set and using the held-out validation set. Our predictions on the test set were generated with a support vector regression model trained on the training set. We found minimal improvement over predicting a zero residual fluid intelligence score across the sample population, implying that structural covariance networks calculated from T1-weighted MR imaging data provide little information about residual fluid intelligence.Comment: 8 pages plus references, 3 figures, 2 tables. Submission to the ABCD Neurocognitive Prediction Challenge at MICCAI 201

ABCD Neurocognitive Prediction Challenge 2019: Predicting Individual Residual Fluid Intelligence Scores from Cortical Grey Matter Morphology

We predicted fluid intelligence from T1-weighted MRI data available as part of the ABCD NP Challenge 2019, using morphological similarity of grey-matter regions across the cortex. Individual structural covariance networks (SCN) were abstracted into graph-theory metrics averaged over nodes across the brain and in data-driven communities/modules. Metrics included degree, path length, clustering coefficient, centrality, rich club coefficient, and small-worldness. These features derived from the training set were used to build various regression models for predicting residual fluid intelligence scores, with performance evaluated both using cross-validation within the training set and using the held-out validation set. Our predictions on the test set were generated with a support vector regression model trained on the training set. We found minimal improvement over predicting a zero residual fluid intelligence score across the sample population, implying that structural covariance networks calculated from T1-weighted MR imaging data provide little information about residual fluid intelligence

LAMP: Large Deep Nets with Automated Model Parallelism for Image Segmentation

Deep Learning (DL) models are becoming larger, because the increase in model size might offer significant accuracy gain. To enable the training of large deep networks, data parallelism and model parallelism are two well-known approaches for parallel training. However, data parallelism does not help reduce memory footprint per device. In this work, we introduce Large deep 3D ConvNets with Automated Model Parallelism (LAMP) and investigate the impact of both input's and deep 3D ConvNets' size on segmentation accuracy. Through automated model parallelism, it is feasible to train large deep 3D ConvNets with a large input patch, even the whole image. Extensive experiments demonstrate that, facilitated by the automated model parallelism, the segmentation accuracy can be improved through increasing model size and input context size, and large input yields significant inference speedup compared with sliding window of small patches in the inference. Code is available\footnote{https://monai.io/research/lamp-automated-model-parallelism}.Comment: MICCAI 2020 Early Accepted paper. Code is available\footnote{https://monai.io/research/lamp-automated-model-parallelism

ABCD Neurocognitive Prediction Challenge 2019: Predicting individual fluid intelligence scores from structural MRI using probabilistic segmentation and kernel ridge regression

We applied several regression and deep learning methods to predict fluid intelligence scores from T1-weighted MRI scans as part of the ABCD Neurocognitive Prediction Challenge (ABCD-NP-Challenge) 2019. We used voxel intensities and probabilistic tissue-type labels derived from these as features to train the models. The best predictive performance (lowest mean-squared error) came from Kernel Ridge Regression (KRR; $\lambda=10$), which produced a mean-squared error of 69.7204 on the validation set and 92.1298 on the test set. This placed our group in the fifth position on the validation leader board and first place on the final (test) leader board.Comment: Winning entry in the ABCD Neurocognitive Prediction Challenge at MICCAI 2019. 7 pages plus references, 3 figures, 1 tabl

DeepReg: a deep learning toolkit for medical image registration

Image fusion is a fundamental task in medical image analysis and computer-assisted intervention. Medical image registration, computational algorithms that align different images together (Hill et al., 2001), has in recent years turned the research attention towards deep learning. Indeed, the representation ability to learn from population data with deep neural networks has opened new possibilities for improving registration generalisability by mitigating difficulties in designing hand-engineered image features and similarity measures for many realworld clinical applications (Fu et al., 2020; Haskins et al., 2020). In addition, its fast inference can substantially accelerate registration execution for time-critical tasks. DeepReg is a Python package using TensorFlow (Abadi et al., 2015) that implements multiple registration algorithms and a set of predefined dataset loaders, supporting both labelledand unlabelled data. DeepReg also provides command-line tool options that enable basic and advanced functionalities for model training, prediction and image warping. These implementations, together with their documentation, tutorials and demos, aim to simplify workflows for prototyping and developing novel methodology, utilising latest development and accessing quality research advances. DeepReg is unit tested and a set of customised contributor guidelines are provided to facilitate community contributions. A submission to the MICCAI Educational Challenge has utilised the DeepReg code and demos to explore the link between classical algorithms and deep-learning-based methods (Montana Brown et al., 2020), while a recently published research work investigated temporal changes in prostate cancer imaging, by using a longitudinal registration adapted from the DeepReg code (Yang et al., 2020)

Clinical and immunohistochemical study of eight cases with thymic carcinoma

BACKGROUND: Thymic carcinoma is a rare neoplasm with extremely poor prognosis. To evaluate the biological characteristics of thymic carcinoma, we reviewed 8 patients. METHODS: There were 2 men and 6 women: ages ranged from 19 to 67 years old (mean 54.8 years). None of these patients had concomitant myasthenia gravis and pure red cell aplasia. No patient had stage I disease, 1 stage II, 5 stage III, and 2 stage IV. The pathologic subtypes of thymic carcinoma included 5 squamous cell carcinomas, 1 adenosquamous cell carcinomas, 1 clear cell carcinoma, and 1 small cell carcinoma. Immunohistochemical study was performed using antibodies against p53, bcl-2, Ki-67, carcinoembryonic antigen (CEA), epithelial membrane antigen (EMA), nm23-H1, vascular endothelial growth factor (VEGF), basic fibroblast growth factor (FGF-2) and factor VIII. RESULTS: Curative resection could be done in 4 patients (50%). Our data indicates a trend toward an association between complete resection and patient survival. Expression of p53, bcl-2, CEA, EMA, nm23-H1, VEGF and FGF-2 was detected in 5/8, 3/8, 4/8, 5/8, 6/8, 5/8 and 3/8, respectively. Mean Ki-67 labeling index and microvessel density was 7.01 and 34.36 (per 200× field), respectively. When compared with our previous studies, immunohistochemical staining of these proteins in thymomas, the expression rates of these proteins in thymic carcinomas were higher than those in thymomas. CONCLUSIONS: In this small series, it is suggested that a complete resection suggests a favorable result. Immunohistochemical results reveal that the expression of these proteins might indicate the aggressiveness of thymic carcinoma