Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction

In this paper we develop a novel neural network model for predicting implied volatility surface. Prior financial domain knowledge is taken into account. A new activation function that incorporates volatility smile is proposed, which is used for the hidden nodes that process the underlying asset price. In addition, financial conditions, such as the absence of arbitrage, the boundaries and the asymptotic slope, are embedded into the loss function. This is one of the very first studies which discuss a methodological framework that incorporates prior financial domain knowledge into neural network architecture design and model training. The proposed model outperforms the benchmarked models with the option data on the S&P 500 index over 20 years. More importantly, the domain knowledge is satisfied empirically, showing the model is consistent with the existing financial theories and conditions related to implied volatility surface.Comment: 8 pages, SIGKDD 202

Zero-Shot Domain Adaptation via Kernel Regression on the Grassmannian

Most visual recognition methods implicitly assume the data distribution remains unchanged from training to testing. However, in practice domain shift often exists, where real-world factors such as lighting and sensor type change between train and test, and classifiers do not generalise from source to target domains. It is impractical to train separate models for all possible situations because collecting and labelling the data is expensive. Domain adaptation algorithms aim to ameliorate domain shift, allowing a model trained on a source to perform well on a different target domain. However, even for the setting of unsupervised domain adaptation, where the target domain is unlabelled, collecting data for every possible target domain is still costly. In this paper, we propose a new domain adaptation method that has no need to access either data or labels of the target domain when it can be described by a parametrised vector and there exits several related source domains within the same parametric space. It greatly reduces the burden of data collection and annotation, and our experiments show some promising results.Comment: Accepted to BMVC 2015 Workshop on Differential Geometry in Computer Vision (DIFF-CV

Transductive Multi-label Zero-shot Learning

Zero-shot learning has received increasing interest as a means to alleviate the often prohibitive expense of annotating training data for large scale recognition problems. These methods have achieved great success via learning intermediate semantic representations in the form of attributes and more recently, semantic word vectors. However, they have thus far been constrained to the single-label case, in contrast to the growing popularity and importance of more realistic multi-label data. In this paper, for the first time, we investigate and formalise a general framework for multi-label zero-shot learning, addressing the unique challenge therein: how to exploit multi-label correlation at test time with no training data for those classes? In particular, we propose (1) a multi-output deep regression model to project an image into a semantic word space, which explicitly exploits the correlations in the intermediate semantic layer of word vectors; (2) a novel zero-shot learning algorithm for multi-label data that exploits the unique compositionality property of semantic word vector representations; and (3) a transductive learning strategy to enable the regression model learned from seen classes to generalise well to unseen classes. Our zero-shot learning experiments on a number of standard multi-label datasets demonstrate that our method outperforms a variety of baselines.Comment: 12 pages, 6 figures, Accepted to BMVC 2014 (oral

A Unified Perspective on Multi-Domain and Multi-Task Learning

In this paper, we provide a new neural-network based perspective on multi-task learning (MTL) and multi-domain learning (MDL). By introducing the concept of a semantic descriptor, this framework unifies MDL and MTL as well as encompassing various classic and recent MTL/MDL algorithms by interpreting them as different ways of constructing semantic descriptors. Our interpretation provides an alternative pipeline for zero-shot learning (ZSL), where a model for a novel class can be constructed without training data. Moreover, it leads to a new and practically relevant problem setting of zero-shot domain adaptation (ZSDA), which is the analogous to ZSL but for novel domains: A model for an unseen domain can be generated by its semantic descriptor. Experiments across this range of problems demonstrate that our framework outperforms a variety of alternatives.Comment: 9 pages, Accepted to ICLR 2015 Conference Trac

Trace Norm Regularised Deep Multi-Task Learning

We propose a framework for training multiple neural networks simultaneously. The parameters from all models are regularised by the tensor trace norm, so that each neural network is encouraged to reuse others' parameters if possible -- this is the main motivation behind multi-task learning. In contrast to many deep multi-task learning models, we do not predefine a parameter sharing strategy by specifying which layers have tied parameters. Instead, our framework considers sharing for all shareable layers, and the sharing strategy is learned in a data-driven way.Comment: Submission to Workshop track - ICLR 201

Deep Multi-task Representation Learning: A Tensor Factorisation Approach

Most contemporary multi-task learning methods assume linear models. This setting is considered shallow in the era of deep learning. In this paper, we present a new deep multi-task representation learning framework that learns cross-task sharing structure at every layer in a deep network. Our approach is based on generalising the matrix factorisation techniques explicitly or implicitly used by many conventional MTL algorithms to tensor factorisation, to realise automatic learning of end-to-end knowledge sharing in deep networks. This is in contrast to existing deep learning approaches that need a user-defined multi-task sharing strategy. Our approach applies to both homogeneous and heterogeneous MTL. Experiments demonstrate the efficacy of our deep multi-task representation learning in terms of both higher accuracy and fewer design choices.Comment: 9 pages, Accepted to ICLR 2017 Conference Track. This is a conference version of the paper. For the multi-domain learning part (not in this version), please refer to https://arxiv.org/pdf/1605.06391v1.pd