SearcharxivSearch

arXiv subjects

Haiqiang Chen

Publications and source records attributed to Haiqiang Chen.

6 recordsLinked to original sources

Does Training on Future Data Pay? Look-Ahead Bias in Forecasting with Pretrained Models

We examine whether post-origin training information inflates the measured accuracy and economic value of financial forecasts. We evaluate five sets of financial time-series foundation models, each comprising independently trained annual vintages under U.S., global, and factor-augmented training environments, across 14 equity markets and four forecast horizons. Rolling comparisons vary the annual vintage for a fixed forecast; fixed-vintage comparisons hold the vintage fixed as target windows move across its training cutoff. Each alternative forecast is paired with an origin-aligned point-in-time (PIT) benchmark using identical numerical histories and inference protocols. In the U.S.-trained reference environment, post-origin vintages materially revise informative PIT forecasts but generally reduce accuracy in both designs. Pooled rolling comparisons yield higher mean squared forecast errors in 18 of 20 U.S. model-set-horizon combinations. The origin-crossing update also performs worse on average than an equally long pre-origin update. Under a common constrained allocation rule using one-month forecasts, median exposed-minus-PIT differences in annualized certainty-equivalent returns are -1.77 percentage points in the United States and -2.14 points internationally. Global and factor-augmented training produce more mixed predictive effects. An exact squared-error decomposition shows that revisions improve accuracy when their error-correcting benefit exceeds their mean squared magnitude; under U.S. training, alignment with PIT errors generally falls short of this requirement. Temporal exposure therefore establishes an information-set violation, not sufficient evidence of inflated predictive accuracy or investor value.

econ.GN

Technology Fundamentals and False Bubble Detection: Evidence from Dot-Com and AI Episodes

We show that widely used bubble tests, most prominently the PSY framework, suffer severe size distortion when fundamentals incorporate general-purpose technology adoption. Embedding a hump-shaped technology shock in the Campbell-Shiller present-value model, we prove that the fundamental price becomes locally explosive during adoption, thereby altering the asymptotic null distribution of the test statistic and causing the standard bubble test to overreject. We propose a technology-adjusted diagnostic that removes an estimated technology component from measures of productivity, IT-investment, and patents before testing the residual. The adjustment is conservative: because a boom can itself raise these technology measures, a rejection remains robust to such feedback, whereas a non-rejection only bounds residual explosiveness. Dot-com residual explosiveness concentrates in December 1999-March 2000; the 2020-2025 AI rally shows no residual explosiveness in our sample across baseline and sensitivity checks.

econ.GN

On the Capacity of Hierarchical Secure Aggregation with Groupwise Keys

We study the hierarchical secure aggregation problem with groupwise keys. The problem consists of an aggregation server, $U$ relays, and $UV$ users, where each relay serves $V$ disjoint users, and each subset of $G$ users shares an independent groupwise key. Two security requirements are imposed: relay security and server security. Specifically, each relay must not learn any information about the users' inputs, and the server must not learn any additional information beyond the recovered sum of all inputs. We first show that the problem is infeasible when $G = 1$. For the feasible regime $1 < G \le UV$, we fully characterize the optimal rate region. In particular, we prove that both each user and each relay must transmit at least one symbol per input symbol. Furthermore, we characterize the minimum required groupwise key rate as $\max\left\{\frac{V}{\binom{UV}{G} - \binom{(U-1)V}{G}},\; \frac{U - 1}{\binom{UV}{G} - U \binom{V}{G}}\right\},$ where the two terms correspond to the constraints imposed by relay security and server security, respectively. For achievability, we propose an explicit linear coding scheme based on structured precoding matrices, and show that it satisfies both correctness and security requirements. The construction avoids permutation-based symmetrization by leveraging sufficiently generic matrix designs over large fields. Finally, we establish a matching converse, thereby characterizing the optimal rate region.

cs.IT

Hierarchical Secure Aggregation with Heterogeneous Security Constraints and Arbitrary User Collusion

In hierarchical secure aggregation (HSA), a server communicates with clustered users through an intermediate layer of relays to compute the sum of users' inputs under two security requirements -- server security and relay security. Server security requires that the server learns nothing beyond the desired sum even when colluding with a subset of users, while relay security requires that each relay remains oblivious to the users' inputs under collusion. Existing work on HSA enforces homogeneous security where \tit{all} inputs must be protected against \tit{any} subset of potential colluding users with sizes up to a predefined threshold. Such a \homo formulation cannot capture scenarios with \tit{\het} \secty \reqs where \diff users may demand various levels of protection. In this paper, we study hierarchical secure aggregation (HSA) with heterogeneous security requirements and arbitrary user collusion. Specifically, we consider scenarios where the inputs of certain groups of users must remain information-theoretically secure against inference by the server or any relay, even if the server or any relay colludes with an arbitrary subset of other users. Under server security, the server learns nothing about these protected inputs beyond the prescribed aggregate sum, despite any such collusion. Under relay security, each relay similarly obtains no information about the protected inputs under the same collusion model. We characterize the optimal communication rates achievable across all layers for all parameter regimes. Furthermore, we study the minimum source keys required at the users to ensure security. For this source key requirement, we provide tight characterizations in two broad regimes determined by the security and collusion constraints, and establish a general information-theoretic lower bound together with a bounded-gap achievable scheme for the remaining regime.

cs.IT

Graph-Theoretic Characterization of Noise Capacity of Conditional Disclosure of Secrets

In the Conditional Disclosure of Secrets (CDS) problem, Alice and Bob hold inputs $x\in \mathcal{X}$ and $y\in \mathcal{Y}$ and share a secret. Let $f:\mathcal{X}\times\mathcal{Y}\to\{0,1\}$ be a function such that the secret is revealed to a third party, Carol, if and only if $f(x,y)=1$. To protect the secret when $f(x,y)=0$, Alice and Bob share a common noise variable unknown to Carol. We study the \emph{noise capacity} of CDS, defined as the maximum number of secret bits that can be securely revealed per noise bit. We first derive necessary and sufficient conditions on $f$, represented by a CDS graph, for the extremal case where the noise capacity equals $1$. We then develop converse bounds on the noise rate for all linear schemes: $\frac{(ρ-1)(d-1)}{ρd-1}$ if $ρ$ is finite, and $\frac{d-1}{d}$ if $ρ$ is infinite, where $ρ$ is the covering parameter of the CDS graph and $d$ is the number of unqualified edges in an unqualified path. Under maximal communication efficiency (message size equals secret size), we refine these bounds by analyzing qualified components and their connections. Achievability is shown for CDS instances with cyclic qualified edges and a single unqualified path. This graph-theoretic framework links noise efficiency limits to the unqualified path distance and covering parameter, providing a systematic method to analyze CDS under arbitrary graph topologies.

cs.IT

The Capacity of Collusion-Resilient Decentralized Secure Aggregation with Groupwise Keys

This paper investigates the information-theoretic decentralized secure aggregation (DSA) problem under practical groupwise secret keys and collusion resilience. In DSA, $K$ users are interconnected through error-free broadcast channels. Each user holds a private input and aims to compute the sum of all other users' inputs, while satisfying the security constraint that no user, even when colluding with up to $T$ other users, can infer any information about the inputs beyond the recovered sum. To ensure security, users are equipped with secret keys to mask their inputs. Motivated by recent advances in efficient group-based key generation protocols, we consider the symmetric groupwise key setting, where every subset of $G$ users shares a group key that is independent of all other group keys. The problem is challenging because the recovery and security constraints must hold simultaneously for all users, and the structural constraints on the secret keys limit the flexibility of key correlations. We characterize the optimal rate region consisting of all achievable pairs of per-user broadcast communication rate and groupwise key rate. In particular, we show that DSA with groupwise keys is infeasible when $G=1$ or $G\ge K-T$. Otherwise, when $2\le G<K-T$, to securely compute one symbol of the desired sum, each user must broadcast at least one symbol, and each group key must contain at least $(K-T-2)/\binom{K-T-1}{G}$ independent symbols. Our results establish the fundamental limits of DSA with groupwise keys and provide design insights for communication- and key-efficient secure aggregation in decentralized learning systems.

cs.IT