arXiv subjects

Shutao Xia

Publications and source records attributed to Shutao Xia.

27 records · Page 2Linked to original sources

arXiv2020

Neural Network-based Automatic Factor Construction

Instead of conducting manual factor construction based on traditional and behavioural finance analysis, academic researchers and quantitative investment managers have leveraged Genetic Programming (GP) as an automatic feature construction tool in recent years, which builds reverse polish mathematical expressions from trading data into new factors. However, with the development of deep learning, more powerful feature extraction tools are available. This paper proposes Neural Network-based Automatic Factor Construction (NNAFC), a tailored neural network framework that can automatically construct diversified financial factors based on financial domain knowledge and a variety of neural network structures. The experiment results show that NNAFC can construct more informative and diversified factors than GP, to effectively enrich the current factor pool. For the current market, both fully connected and recurrent neural network structures are better at extracting information from financial time series than convolution neural network structures. Moreover, new factors constructed by NNAFC can always improve the return, Sharpe ratio, and the max draw-down of a multi-factor quantitative investment strategy due to their introducing more information and diversification to the existing factor pool.

q-fin.ST↗

arXiv2020

Automatic Financial Feature Construction

In automatic financial feature construction task, the state-of-the-art technic leverages reverse polish expression to represent the features, then use genetic programming (GP) to conduct its evolution process. In this paper, we propose a new framework based on neural network, alpha discovery neural network (ADNN). In this work, we made several contributions. Firstly, in this task, we make full use of neural network overwhelming advantage in feature extraction to construct highly informative features. Secondly, we use domain knowledge to design the object function, batch size, and sampling rules. Thirdly, we use pre-training to replace the GP evolution process. According to neural network universal approximation theorem, pre-training can conduct a more effective and explainable evolution process. Experiment shows that ADNN can remarkably produce more diversified and higher informative features than GP. Besides, ADNN can serve as a data augmentation algorithm. It further improves the the performance of financial features constructed by GP.

cs.LG↗

arXiv2020

Rectified Decision Trees: Towards Interpretability, Compression and Empirical Soundness

How to obtain a model with good interpretability and performance has always been an important research topic. In this paper, we propose rectified decision trees (ReDT), a knowledge distillation based decision trees rectification with high interpretability, small model size, and empirical soundness. Specifically, we extend the impurity calculation and the pure ending condition of the classical decision tree to propose a decision tree extension that allows the use of soft labels generated by a well-trained teacher model in training and prediction process. It is worth noting that for the acquisition of soft labels, we propose a new multiple cross-validation based method to reduce the effects of randomness and overfitting. These approaches ensure that ReDT retains excellent interpretability and even achieves fewer nodes than the decision tree in the aspect of compression while having relatively good performance. Besides, in contrast to traditional knowledge distillation, back propagation of the student model is not necessarily required in ReDT, which is an attempt of a new knowledge distillation approach. Extensive experiments are conducted, which demonstrates the superiority of ReDT in interpretability, compression, and empirical soundness.

cs.LG↗

arXiv2020

Toward Adversarial Robustness via Semi-supervised Robust Training

Adversarial examples have been shown to be the severe threat to deep neural networks (DNNs). One of the most effective adversarial defense methods is adversarial training (AT) through minimizing the adversarial risk $R_{adv}$, which encourages both the benign example $x$ and its adversarially perturbed neighborhoods within the $\ell_{p}$-ball to be predicted as the ground-truth label. In this work, we propose a novel defense method, the robust training (RT), by jointly minimizing two separated risks ($R_{stand}$ and $R_{rob}$), which is with respect to the benign example and its neighborhoods respectively. The motivation is to explicitly and jointly enhance the accuracy and the adversarial robustness. We prove that $R_{adv}$ is upper-bounded by $R_{stand} + R_{rob}$, which implies that RT has similar effect as AT. Intuitively, minimizing the standard risk enforces the benign example to be correctly predicted, and the robust risk minimization encourages the predictions of the neighbor examples to be consistent with the prediction of the benign example. Besides, since $R_{rob}$ is independent of the ground-truth label, RT is naturally extended to the semi-supervised mode ($i.e.$, SRT), to further enhance the adversarial robustness. Moreover, we extend the $\ell_{p}$-bounded neighborhood to a general case, which covers different types of perturbations, such as the pixel-wise ($i.e.$, $x + δ$) or the spatial perturbation ($i.e.$, $ AX + b$). Extensive experiments on benchmark datasets not only verify the superiority of the proposed SRT method to state-of-the-art methods for defensing pixel-wise or spatial perturbations separately, but also demonstrate its robustness to both perturbations simultaneously. The code for reproducing main results is available at \url{https://github.com/THUYimingLi/Semi-supervised_Robust_Training}.

cs.LG↗

arXiv2020

Multinomial Random Forest: Toward Consistency and Privacy-Preservation

Despite the impressive performance of random forests (RF), its theoretical properties have not been thoroughly understood. In this paper, we propose a novel RF framework, dubbed multinomial random forest (MRF), to analyze the \emph{consistency} and \emph{privacy-preservation}. Instead of deterministic greedy split rule or with simple randomness, the MRF adopts two impurity-based multinomial distributions to randomly select a split feature and a split value respectively. Theoretically, we prove the consistency of the proposed MRF and analyze its privacy-preservation within the framework of differential privacy. We also demonstrate with multiple datasets that its performance is on par with the standard RF. To the best of our knowledge, MRF is the first consistent RF variant that has comparable performance to the standard RF.

cs.LG↗

arXiv2020

Adversarial Attack on Deep Product Quantization Network for Image Retrieval

Deep product quantization network (DPQN) has recently received much attention in fast image retrieval tasks due to its efficiency of encoding high-dimensional visual features especially when dealing with large-scale datasets. Recent studies show that deep neural networks (DNNs) are vulnerable to input with small and maliciously designed perturbations (a.k.a., adversarial examples). This phenomenon raises the concern of security issues for DPQN in the testing/deploying stage as well. However, little effort has been devoted to investigating how adversarial examples affect DPQN. To this end, we propose product quantization adversarial generation (PQ-AG), a simple yet effective method to generate adversarial examples for product quantization based retrieval systems. PQ-AG aims to generate imperceptible adversarial perturbations for query images to form adversarial queries, whose nearest neighbors from a targeted product quantizaiton model are not semantically related to those from the original queries. Extensive experiments show that our PQ-AQ successfully creates adversarial examples to mislead targeted product quantization retrieval models. Besides, we found that our PQ-AG significantly degrades retrieval performance in both white-box and black-box settings.

cs.CV↗

arXiv2019

Maintaining Discrimination and Fairness in Class Incremental Learning

Deep neural networks (DNNs) have been applied in class incremental learning, which aims to solve common real-world problems of learning new classes continually. One drawback of standard DNNs is that they are prone to catastrophic forgetting. Knowledge distillation (KD) is a commonly used technique to alleviate this problem. In this paper, we demonstrate it can indeed help the model to output more discriminative results within old classes. However, it cannot alleviate the problem that the model tends to classify objects into new classes, causing the positive effect of KD to be hidden and limited. We observed that an important factor causing catastrophic forgetting is that the weights in the last fully connected (FC) layer are highly biased in class incremental learning. In this paper, we propose a simple and effective solution motivated by the aforementioned observations to address catastrophic forgetting. Firstly, we utilize KD to maintain the discrimination within old classes. Then, to further maintain the fairness between old classes and new classes, we propose Weight Aligning (WA) that corrects the biased weights in the FC layer after normal training process. Unlike previous work, WA does not require any extra parameters or a validation set in advance, as it utilizes the information provided by the biased weights themselves. The proposed method is evaluated on ImageNet-1000, ImageNet-100, and CIFAR-100 under various settings. Experimental results show that the proposed method can effectively alleviate catastrophic forgetting and significantly outperform state-of-the-art methods.

cs.CV↗

arXiv2019

AdaCompress: Adaptive Compression for Online Computer Vision Services

With the growth of computer vision based applications and services, an explosive amount of images have been uploaded to cloud servers which host such computer vision algorithms, usually in the form of deep learning models. JPEG has been used as the {\em de facto} compression and encapsulation method before one uploads the images, due to its wide adaptation. However, standard JPEG configuration does not always perform well for compressing images that are to be processed by a deep learning model, e.g., the standard quality level of JPEG leads to 50\% of size overhead (compared with the best quality level selection) on ImageNet under the same inference accuracy in popular computer vision models including InceptionNet, ResNet, etc. Knowing this, designing a better JPEG configuration for online computer vision services is still extremely challenging: 1) Cloud-based computer vision models are usually a black box to end-users; thus it is difficult to design JPEG configuration without knowing their model structures. 2) JPEG configuration has to change when different users use it. In this paper, we propose a reinforcement learning based JPEG configuration framework. In particular, we design an agent that adaptively chooses the compression level according to the input image's features and backend deep learning models. Then we train the agent in a reinforcement learning way to adapt it for different deep learning cloud services that act as the {\em interactive training environment} and feeding a reward with comprehensive consideration of accuracy and data size. In our real-world evaluation on Amazon Rekognition, Face++ and Baidu Vision, our approach can reduce the size of images by 1/2 -- 1/3 while the overall classification accuracy only decreases slightly.

cs.MM↗

arXiv2019

Self-Paced Probabilistic Principal Component Analysis for Data with Outliers

Principal Component Analysis (PCA) is a popular tool for dimensionality reduction and feature extraction in data analysis. There is a probabilistic version of PCA, known as Probabilistic PCA (PPCA). However, standard PCA and PPCA are not robust, as they are sensitive to outliers. To alleviate this problem, this paper introduces the Self-Paced Learning mechanism into PPCA, and proposes a novel method called Self-Paced Probabilistic Principal Component Analysis (SP-PPCA). Furthermore, we design the corresponding optimization algorithm based on the alternative search strategy and the expectation-maximization algorithm. SP-PPCA looks for optimal projection vectors and filters out outliers iteratively. Experiments on both synthetic problems and real-world datasets clearly demonstrate that SP-PPCA is able to reduce or eliminate the impact of outliers.

cs.LG↗