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Brian Godwin Lim

Publications and source records attributed to Brian Godwin Lim.

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Enhancing Graph Representations with Neighborhood-Contextualized Message-Passing

Graph neural networks (GNNs) have become an indispensable tool for analyzing relational data. Classical GNNs are broadly classified into three variants: convolutional, attentional, and message-passing. While the standard message-passing variant is expressive, its typical pair-wise messages only consider the features of the center node and each neighboring node individually. This design fails to incorporate contextual information contained within the broader local neighborhood, potentially hindering its ability to learn meaningful relationships within the entire set of neighboring nodes. To address this, the paper first refines the concept of neighborhood-contextualization within GNNs, leveraging ideas from set-based aggregation methods and a key property of the attentional variant. This then serves as the basis for generalizing the message-passing variant to the proposed neighborhood-contextualized message-passing (NCMP) framework. To demonstrate its utility, a simple, mathematically grounded method to parametrize and operationalize NCMP is presented, leading to the development of the proposed Soft-Isomorphic Neighborhood-Contextualized Graph Convolution Network (SINC-GCN). Across a diverse set of synthetic and benchmark datasets, SINC-GCN strikes a highly favorable balance between expressivity and efficiency. Notably, while more complex models incur significant computational overhead, SINC-GCN delivers substantial performance gains with considerable effect sizes over baseline GNN models while maintaining a highly efficient asymptotic runtime complexity, further underscoring the distinctive utility of neighborhood-contextualization. Overall, by integrating multiset neighborhood context, the proposed NCMP framework serves as a practical and scalable path toward enhancing the graph representational power of classical GNNs.

cs.LG

Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange

The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the econometrics literature to explore the dynamic factor model as an interpretable model with sufficient predictive capabilities for capturing essential market phenomena. Although the model has been extensively applied for predictive purposes, this study focuses on analyzing the extracted loadings and common factors as an alternative framework for understanding stock price dynamics. The results reveal novel insights into traditional market theories when applied to the Philippine Stock Exchange using the Kalman method and maximum likelihood estimation, with subsequent validation against the capital asset pricing model. Notably, a one-factor model extracts a common factor representing systematic or market dynamics similar to the composite index, whereas a two-factor model extracts common factors representing market trends and volatility. Furthermore, an application of the model for nowcasting the growth rates of the Philippine gross domestic product highlights the potential of the extracted common factors as viable real-time market indicators, yielding over a 34% decrease in the out-of-sample prediction error. Overall, the results underscore the value of dynamic factor analysis in gaining a deeper understanding of market price movement dynamics.

q-fin.ST

Contextualized Messages Boost Graph Representations

Graph neural networks (GNNs) have gained significant attention in recent years for their ability to process data that may be represented as graphs. This has prompted several studies to explore their representational capability based on the graph isomorphism task. Notably, these works inherently assume a countable node feature representation, potentially limiting their applicability. Interestingly, only a few study GNNs with uncountable node feature representation. In the paper, a new perspective on the representational capability of GNNs is investigated across all levels$\unicode{x2014}$node-level, neighborhood-level, and graph-level$\unicode{x2014}$when the space of node feature representation is uncountable. Specifically, the injective and metric requirements of previous works are softly relaxed by employing a pseudometric distance on the space of input to create a soft-injective function such that distinct inputs may produce similar outputs if and only if the pseudometric deems the inputs to be sufficiently similar on some representation. As a consequence, a simple and computationally efficient soft-isomorphic relational graph convolution network (SIR-GCN) that emphasizes the contextualized transformation of neighborhood feature representations via anisotropic and dynamic message functions is proposed. Furthermore, a mathematical discussion on the relationship between SIR-GCN and key GNNs in literature is laid out to put the contribution into context, establishing SIR-GCN as a generalization of classical GNN methodologies. To close, experiments on synthetic and benchmark datasets demonstrate the relative superiority of SIR-GCN, outperforming comparable models in node and graph property prediction tasks.

cs.LG