arXiv subjects

Moncef Gabbouj

Publications and source records attributed to Moncef Gabbouj.

180 records · Page 10Linked to original sources

arXiv2018

Using Deep Learning for price prediction by exploiting stationary limit order book features

The recent surge in Deep Learning (DL) research of the past decade has successfully provided solutions to many difficult problems. The field of quantitative analysis has been slowly adapting the new methods to its problems, but due to problems such as the non-stationary nature of financial data, significant challenges must be overcome before DL is fully utilized. In this work a new method to construct stationary features, that allows DL models to be applied effectively, is proposed. These features are thoroughly tested on the task of predicting mid price movements of the Limit Order Book. Several DL models are evaluated, such as recurrent Long Short Term Memory (LSTM) networks and Convolutional Neural Networks (CNN). Finally a novel model that combines the ability of CNNs to extract useful features and the ability of LSTMs' to analyze time series, is proposed and evaluated. The combined model is able to outperform the individual LSTM and CNN models in the prediction horizons that are tested.

cs.LG↗

arXiv2018

Compressively Sensed Image Recognition

Compressive Sensing (CS) theory asserts that sparse signal reconstruction is possible from a small number of linear measurements. Although CS enables low-cost linear sampling, it requires non-linear and costly reconstruction. Recent literature works show that compressive image classification is possible in CS domain without reconstruction of the signal. In this work, we introduce a DCT base method that extracts binary discriminative features directly from CS measurements. These CS measurements can be obtained by using (i) a random or a pseudo-random measurement matrix, or (ii) a measurement matrix whose elements are learned from the training data to optimize the given classification task. We further introduce feature fusion by concatenating Bag of Words (BoW) representation of our binary features with one of the two state-of-the-art CNN-based feature vectors. We show that our fused feature outperforms the state-of-the-art in both cases.

cs.LG↗

arXiv2018

Finding Better Topologies for Deep Convolutional Neural Networks by Evolution

Due to the nonlinearity of artificial neural networks, designing topologies for deep convolutional neural networks (CNN) is a challenging task and often only heuristic approach, such as trial and error, can be applied. An evolutionary algorithm can solve optimization problems where the fitness landscape is unknown. However, evolutionary algorithms are computing resource intensive, which makes it difficult for problems when deep CNNs are involved. In this paper, we propose an evolutionary strategy to find better topologies for deep CNNs. Incorporating the concept of knowledge inheritance and knowledge learning, our evolutionary algorithm can be executed with limited computing resources. We applied the proposed algorithm in finding effective topologies of deep CNNs for the image classification task using CIFAR-10 dataset. After the evolution, we analyzed the topologies that performed well for this task. Our studies verify the techniques that have been commonly used in human designed deep CNNs. We also discovered that some of the graph properties greatly affect the system performance. We applied the guidelines learned from the evolution and designed new network topologies that outperform Residual Net with less layers on CIFAR-10, CIFAR-100, and SVHN dataset.

cs.NE↗

arXiv2018

Subspace Support Vector Data Description

This paper proposes a novel method for solving one-class classification problems. The proposed approach, namely Subspace Support Vector Data Description, maps the data to a subspace that is optimized for one-class classification. In that feature space, the optimal hypersphere enclosing the target class is then determined. The method iteratively optimizes the data mapping along with data description in order to define a compact class representation in a low-dimensional feature space. We provide both linear and non-linear mappings for the proposed method. Experiments on 14 publicly available datasets indicate that the proposed Subspace Support Vector Data Description provides better performance compared to baselines and other recently proposed one-class classification methods.

cs.CV↗

arXiv2018

Weighted Linear Discriminant Analysis based on Class Saliency Information

In this paper, we propose a new variant of Linear Discriminant Analysis to overcome underlying drawbacks of traditional LDA and other LDA variants targeting problems involving imbalanced classes. Traditional LDA sets assumptions related to Gaussian class distribution and neglects influence of outlier classes, that might hurt in performance. We exploit intuitions coming from a probabilistic interpretation of visual saliency estimation in order to define saliency of a class in multi-class setting. Such information is then used to redefine the between-class and within-class scatters in a more robust manner. Compared to traditional LDA and other weight-based LDA variants, the proposed method has shown certain improvements on facial image classification problems in publicly available datasets.

cs.CV↗

arXiv2017

Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis

Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading purposes is even a more challenging task since an automated inference system is required to be both accurate and fast. In this paper, we propose a neural network layer architecture that incorporates the idea of bilinear projection as well as an attention mechanism that enables the layer to detect and focus on crucial temporal information. The resulting network is highly interpretable, given its ability to highlight the importance and contribution of each temporal instance, thus allowing further analysis on the time instances of interest. Our experiments in a large-scale Limit Order Book (LOB) dataset show that a two-hidden-layer network utilizing our proposed layer outperforms by a large margin all existing state-of-the-art results coming from much deeper architectures while requiring far fewer computations.

cs.CE↗

arXiv2017

Tensor Representation in High-Frequency Financial Data for Price Change Prediction

Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement of assets in High Frequency Trading (HFT), an automatic algorithm to analyze and detect patterns of price change based on transaction records must be available. The multichannel, time-series representation of financial data naturally suggests tensor-based learning algorithms. In this work, we investigate the effectiveness of two multilinear methods for the mid-price prediction problem against other existing methods. The experiments in a large scale dataset which contains more than 4 millions limit orders show that by utilizing tensor representation, multilinear models outperform vector-based approaches and other competing ones.

cs.CE↗

arXiv2017

Multilinear Class-Specific Discriminant Analysis

There has been a great effort to transfer linear discriminant techniques that operate on vector data to high-order data, generally referred to as Multilinear Discriminant Analysis (MDA) techniques. Many existing works focus on maximizing the inter-class variances to intra-class variances defined on tensor data representations. However, there has not been any attempt to employ class-specific discrimination criteria for the tensor data. In this paper, we propose a multilinear subspace learning technique suitable for applications requiring class-specific tensor models. The method maximizes the discrimination of each individual class in the feature space while retains the spatial structure of the input. We evaluate the efficiency of the proposed method on two problems, i.e. facial image analysis and stock price prediction based on limit order book data.

cs.CV↗

arXiv2017

Improving Efficiency in Convolutional Neural Network with Multilinear Filters

The excellent performance of deep neural networks has enabled us to solve several automatization problems, opening an era of autonomous devices. However, current deep net architectures are heavy with millions of parameters and require billions of floating point operations. Several works have been developed to compress a pre-trained deep network to reduce memory footprint and, possibly, computation. Instead of compressing a pre-trained network, in this work, we propose a generic neural network layer structure employing multilinear projection as the primary feature extractor. The proposed architecture requires several times less memory as compared to the traditional Convolutional Neural Networks (CNN), while inherits the similar design principles of a CNN. In addition, the proposed architecture is equipped with two computation schemes that enable computation reduction or scalability. Experimental results show the effectiveness of our compact projection that outperforms traditional CNN, while requiring far fewer parameters.

cs.CV↗

arXiv2017

Neural Class-Specific Regression for face verification

Face verification is a problem approached in the literature mainly using nonlinear class-specific subspace learning techniques. While it has been shown that kernel-based Class-Specific Discriminant Analysis is able to provide excellent performance in small- and medium-scale face verification problems, its application in today's large-scale problems is difficult due to its training space and computational requirements. In this paper, generalizing our previous work on kernel-based class-specific discriminant analysis, we show that class-specific subspace learning can be cast as a regression problem. This allows us to derive linear, (reduced) kernel and neural network-based class-specific discriminant analysis methods using efficient batch and/or iterative training schemes, suited for large-scale learning problems. We test the performance of these methods in two datasets describing medium- and large-scale face verification problems.

cs.CV↗

arXiv2017

Generalized Multi-view Embedding for Visual Recognition and Cross-modal Retrieval

In this paper, the problem of multi-view embedding from different visual cues and modalities is considered. We propose a unified solution for subspace learning methods using the Rayleigh quotient, which is extensible for multiple views, supervised learning, and non-linear embeddings. Numerous methods including Canonical Correlation Analysis, Partial Least Sqaure regression and Linear Discriminant Analysis are studied using specific intrinsic and penalty graphs within the same framework. Non-linear extensions based on kernels and (deep) neural networks are derived, achieving better performance than the linear ones. Moreover, a novel Multi-view Modular Discriminant Analysis (MvMDA) is proposed by taking the view difference into consideration. We demonstrate the effectiveness of the proposed multi-view embedding methods on visual object recognition and cross-modal image retrieval, and obtain superior results in both applications compared to related methods.

cs.CV↗

arXiv2017

INTEL-TUT Dataset for Camera Invariant Color Constancy Research

In this paper, we provide a novel dataset designed for camera invariant color constancy research. Camera invariance corresponds to the robustness of an algorithm's performance when run on images of the same scene taken by different cameras. Accordingly, images in the database correspond to several lab and field scenes each of which are captured by three different cameras with minimal registration errors. The lab scenes are also captured under five different illuminations. The spectral responses of cameras and the spectral power distributions of the lab light sources are also provided, as they may prove beneficial for training future algorithms to achieve color constancy. For a fair evaluation of future methods, we provide guidelines for supervised methods with indicated training, validation and testing partitions. Accordingly, we evaluate a recently proposed convolutional neural network based color constancy algorithm as a baseline for future research. As a side contribution, this dataset also includes images taken by a mobile camera with color shading corrected and uncorrected results. This allows research on the effect of color shading as well.

cs.CV↗

arXiv2017

Probabilistic Saliency Estimation

In this paper, we model the salient object detection problem under a probabilistic framework encoding the boundary connectivity saliency cue and smoothness constraints in an optimization problem. We show that this problem has a closed form global optimum which estimates the salient object. We further show that along with the probabilistic framework, the proposed method also enjoys a wide range of interpretations, i.e. graph cut, diffusion maps and one-class classification. With an analysis according to these interpretations, we also find that our proposed method provides approximations to the global optimum to another criterion that integrates local/global contrast and large area saliency cues. The proposed approach achieves mostly leading performance compared to the state-of-the-art algorithms over a large set of salient object detection datasets including around 17k images for several evaluation metrics. Furthermore, the computational complexity of the proposed method is favorable/comparable to many state-of-the-art techniques.

cs.CV↗

arXiv2016

Video Ladder Networks

We present the Video Ladder Network (VLN) for efficiently generating future video frames. VLN is a neural encoder-decoder model augmented at all layers by both recurrent and feedforward lateral connections. At each layer, these connections form a lateral recurrent residual block, where the feedforward connection represents a skip connection and the recurrent connection represents the residual. Thanks to the recurrent connections, the decoder can exploit temporal summaries generated from all layers of the encoder. This way, the top layer is relieved from the pressure of modeling lower-level spatial and temporal details. Furthermore, we extend the basic version of VLN to incorporate ResNet-style residual blocks in the encoder and decoder, which help improving the prediction results. VLN is trained in self-supervised regime on the Moving MNIST dataset, achieving competitive results while having very simple structure and providing fast inference.

cs.LG↗

arXiv2016

Outlier Edge Detection Using Random Graph Generation Models and Applications

Outliers are samples that are generated by different mechanisms from other normal data samples. Graphs, in particular social network graphs, may contain nodes and edges that are made by scammers, malicious programs or mistakenly by normal users. Detecting outlier nodes and edges is important for data mining and graph analytics. However, previous research in the field has merely focused on detecting outlier nodes. In this article, we study the properties of edges and propose outlier edge detection algorithms using two random graph generation models. We found that the edge-ego-network, which can be defined as the induced graph that contains two end nodes of an edge, their neighboring nodes and the edges that link these nodes, contains critical information to detect outlier edges. We evaluated the proposed algorithms by injecting outlier edges into some real-world graph data. Experiment results show that the proposed algorithms can effectively detect outlier edges. In particular, the algorithm based on the Preferential Attachment Random Graph Generation model consistently gives good performance regardless of the test graph data. Further more, the proposed algorithms are not limited in the area of outlier edge detection. We demonstrate three different applications that benefit from the proposed algorithms: 1) a preprocessing tool that improves the performance of graph clustering algorithms; 2) an outlier node detection algorithm; and 3) a novel noisy data clustering algorithm. These applications show the great potential of the proposed outlier edge detection techniques.

cs.SI↗

arXiv2016

Limited Random Walk Algorithm for Big Graph Data Clustering

Graph clustering is an important technique to understand the relationships between the vertices in a big graph. In this paper, we propose a novel random-walk-based graph clustering method. The proposed method restricts the reach of the walking agent using an inflation function and a normalization function. We analyze the behavior of the limited random walk procedure and propose a novel algorithm for both global and local graph clustering problems. Previous random-walk-based algorithms depend on the chosen fitness function to find the clusters around a seed vertex. The proposed algorithm tackles the problem in an entirely different manner. We use the limited random walk procedure to find attracting vertices in a graph and use them as features to cluster the vertices. According to the experimental results on the simulated graph data and the real-world big graph data, the proposed method is superior to the state-of-the-art methods in solving graph clustering problems. Since the proposed method uses the embarrassingly parallel paradigm, it can be efficiently implemented and embedded in any parallel computing environment such as a MapReduce framework. Given enough computing resources, we are capable of clustering graphs with millions of vertices and hundreds millions of edges in a reasonable time.

cs.SI↗

arXiv2015

ShakeMe: Key Generation From Shared Motion

Devices equipped with accelerometer sensors such as today's mobile devices can make use of motion to exchange information. A typical example for shared motion is shaking of two devices which are held together in one hand. Deriving a shared secret (key) from shared motion, e.g. for device pairing, is an obvious application for this. Only the keys need to be exchanged between the peers and neither the motion data nor the features extracted from it. This makes the pairing fast and easy. For this, each device generates an information signal (key) independently of each other and, in order to pair, they should be identical. The key is essentially derived by quantizing certain well discriminative features extracted from the accelerometer data after an implicit synchronization. In this paper, we aim at finding a small set of effective features which enable a significantly simpler quantization procedure than the prior art. Our tentative results with authentic accelerometer data show that this is possible with a competent accuracy ($76$%) and key strength (entropy approximately $15$ bits).

cs.CR↗

arXiv2015

On the Dynamics of a Recurrent Hopfield Network

In this research paper novel real/complex valued recurrent Hopfield Neural Network (RHNN) is proposed. The method of synthesizing the energy landscape of such a network and the experimental investigation of dynamics of Recurrent Hopfield Network is discussed. Parallel modes of operation (other than fully parallel mode) in layered RHNN is proposed. Also, certain potential applications are proposed.

cs.NE↗