arXiv subjects

Stephen Roberts

Publications and source records attributed to Stephen Roberts.

At least 73 records · Page 4Linked to original sources

arXiv2020

Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction

Despite the recent popularity of deep generative state space models, few comparisons have been made between network architectures and the inference steps of the Bayesian filtering framework -- with most models simultaneously approximating both state transition and update steps with a single recurrent neural network (RNN). In this paper, we introduce the Recurrent Neural Filter (RNF), a novel recurrent autoencoder architecture that learns distinct representations for each Bayesian filtering step, captured by a series of encoders and decoders. Testing this on three real-world time series datasets, we demonstrate that the decoupled representations learnt not only improve the accuracy of one-step-ahead forecasts while providing realistic uncertainty estimates, but also facilitate multistep prediction through the separation of encoder stages.

stat.ML↗

arXiv2020

Enhancing Time Series Momentum Strategies Using Deep Neural Networks

While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid approach which injects deep learning based trading rules into the volatility scaling framework of time series momentum. The model also simultaneously learns both trend estimation and position sizing in a data-driven manner, with networks directly trained by optimising the Sharpe ratio of the signal. Backtesting on a portfolio of 88 continuous futures contracts, we demonstrate that the Sharpe-optimised LSTM improved traditional methods by more than two times in the absence of transactions costs, and continue outperforming when considering transaction costs up to 2-3 basis points. To account for more illiquid assets, we also propose a turnover regularisation term which trains the network to factor in costs at run-time.

stat.ML↗

arXiv2020

Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio

Detecting changes in asset co-movements is of much importance to financial practitioners, with numerous risk management benefits arising from the timely detection of breakdowns in historical correlations. In this article, we propose a real-time indicator to detect temporary increases in asset co-movements, the Autoencoder Reconstruction Ratio, which measures how well a basket of asset returns can be modelled using a lower-dimensional set of latent variables. The ARR uses a deep sparse denoising autoencoder to perform the dimensionality reduction on the returns vector, which replaces the PCA approach of the standard Absorption Ratio, and provides a better model for non-Gaussian returns. Through a systemic risk application on forecasting on the CRSP US Total Market Index, we show that lower ARR values coincide with higher volatility and larger drawdowns, indicating that increased asset co-movement does correspond with periods of market weakness. We also demonstrate that short-term (i.e. 5-min and 1-hour) predictors for realised volatility and market crashes can be improved by including additional ARR inputs.

q-fin.ST↗

arXiv2020

Safety Guarantees for Planning Based on Iterative Gaussian Processes

Gaussian Processes (GPs) are widely employed in control and learning because of their principled treatment of uncertainty. However, tracking uncertainty for iterative, multi-step predictions in general leads to an analytically intractable problem. While approximation methods exist, they do not come with guarantees, making it difficult to estimate their reliability and to trust their predictions. In this work, we derive formal probability error bounds for iterative prediction and planning with GPs. Building on GP properties, we bound the probability that random trajectories lie in specific regions around the predicted values. Namely, given a tolerance $ε> 0 $, we compute regions around the predicted trajectory values, such that GP trajectories are guaranteed to lie inside them with probability at least $1-ε$. We verify experimentally that our method tracks the predictive uncertainty correctly, even when current approximation techniques fail. Furthermore, we show how the proposed bounds can be employed within a safe reinforcement learning framework to verify the safety of candidate control policies, guiding the synthesis of provably safe controllers.

cs.LG↗

arXiv2020

SafePILCO: a software tool for safe and data-efficient policy synthesis

SafePILCO is a software tool for safe and data-efficient policy search with reinforcement learning. It extends the known PILCO algorithm, originally written in MATLAB, to support safe learning. We provide a Python implementation and leverage existing libraries that allow the codebase to remain short and modular, which is appropriate for wider use by the verification, reinforcement learning, and control communities.

cs.LG↗

arXiv2020

Investment sizing with deep learning prediction uncertainties for high-frequency Eurodollar futures trading

In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades. In this way, consideration of uncertainty is important because it permits the scaling of investment size across trade opportunities in a principled and data-driven way. We showcase this insight with a prediction model and find clear outperformance based on a Sharpe ratio metric, relative to trading strategies that either do not take uncertainty into account, or that utilize an alternative market-based statistic as a proxy for uncertainty. Of added novelty is our modelling of high-frequency data at the top level of the Eurodollar Futures limit order book for each trading day of 2018, whereby we predict interest rate curve changes on small time horizons. We are motivated to study the market for these popularly-traded interest rate derivatives since it is deep and liquid, and contributes to the efficient functioning of global finance -- though there is relatively little by way of its modelling contained in the academic literature. Hence, we verify the utility of prediction models and uncertainty estimates for trading applications in this complex and multi-dimensional asset price space.

q-fin.ST↗

arXiv2020

Practical Bayesian Learning of Neural Networks via Adaptive Optimisation Methods

We introduce a novel framework for the estimation of the posterior distribution over the weights of a neural network, based on a new probabilistic interpretation of adaptive optimisation algorithms such as AdaGrad and Adam. We demonstrate the effectiveness of our Bayesian Adam method, Badam, by experimentally showing that the learnt uncertainties correctly relate to the weights' predictive capabilities by weight pruning. We also demonstrate the quality of the derived uncertainty measures by comparing the performance of Badam to standard methods in a Thompson sampling setting for multi-armed bandits, where good uncertainty measures are required for an agent to balance exploration and exploitation.

stat.ML↗

arXiv2020

Adversarial Robustness Guarantees for Classification with Gaussian Processes

We investigate adversarial robustness of Gaussian Process Classification (GPC) models. Given a compact subset of the input space $T\subseteq \mathbb{R}^d$ enclosing a test point $x^*$ and a GPC trained on a dataset $\mathcal{D}$, we aim to compute the minimum and the maximum classification probability for the GPC over all the points in $T$. In order to do so, we show how functions lower- and upper-bounding the GPC output in $T$ can be derived, and implement those in a branch and bound optimisation algorithm. For any error threshold $ε> 0$ selected a priori, we show that our algorithm is guaranteed to reach values $ε$-close to the actual values in finitely many iterations. We apply our method to investigate the robustness of GPC models on a 2D synthetic dataset, the SPAM dataset and a subset of the MNIST dataset, providing comparisons of different GPC training techniques, and show how our method can be used for interpretability analysis. Our empirical analysis suggests that GPC robustness increases with more accurate posterior estimation.

stat.ML↗

arXiv2020

HumBug Zooniverse: a crowd-sourced acoustic mosquito dataset

Mosquitoes are the only known vector of malaria, which leads to hundreds of thousands of deaths each year. Understanding the number and location of potential mosquito vectors is of paramount importance to aid the reduction of malaria transmission cases. In recent years, deep learning has become widely used for bioacoustic classification tasks. In order to enable further research applications in this field, we release a new dataset of mosquito audio recordings. With over a thousand contributors, we obtained 195,434 labels of two second duration, of which approximately 10 percent signify mosquito events. We present an example use of the dataset, in which we train a convolutional neural network on log-Mel features, showcasing the information content of the labels. We hope this will become a vital resource for those researching all aspects of malaria, and add to the existing audio datasets for bioacoustic detection and signal processing.

cs.LG↗

arXiv2020

Ready Policy One: World Building Through Active Learning

Model-Based Reinforcement Learning (MBRL) offers a promising direction for sample efficient learning, often achieving state of the art results for continuous control tasks. However, many existing MBRL methods rely on combining greedy policies with exploration heuristics, and even those which utilize principled exploration bonuses construct dual objectives in an ad hoc fashion. In this paper we introduce Ready Policy One (RP1), a framework that views MBRL as an active learning problem, where we aim to improve the world model in the fewest samples possible. RP1 achieves this by utilizing a hybrid objective function, which crucially adapts during optimization, allowing the algorithm to trade off reward v.s. exploration at different stages of learning. In addition, we introduce a principled mechanism to terminate sample collection once we have a rich enough trajectory batch to improve the model. We rigorously evaluate our method on a variety of continuous control tasks, and demonstrate statistically significant gains over existing approaches.

cs.LG↗

arXiv2020

DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as LSTM modules to capture longer time dependencies. The proposed network outperforms all existing state-of-the-art algorithms on the benchmark LOB dataset [1]. In a more realistic setting, we test our model by using one year market quotes from the London Stock Exchange and the model delivers a remarkably stable out-of-sample prediction accuracy for a variety of instruments. Importantly, our model translates well to instruments which were not part of the training set, indicating the model's ability to extract universal features. In order to better understand these features and to go beyond a "black box" model, we perform a sensitivity analysis to understand the rationale behind the model predictions and reveal the components of LOBs that are most relevant. The ability to extract robust features which translate well to other instruments is an important property of our model which has many other applications.

q-fin.CP↗

arXiv2019

A Maximum Entropy approach to Massive Graph Spectra

Graph spectral techniques for measuring graph similarity, or for learning the cluster number, require kernel smoothing. The choice of kernel function and bandwidth are typically chosen in an ad-hoc manner and heavily affect the resulting output. We prove that kernel smoothing biases the moments of the spectral density. We propose an information theoretically optimal approach to learn a smooth graph spectral density, which fully respects the moment information. Our method's computational cost is linear in the number of edges, and hence can be applied to large networks, with millions of nodes. We apply our method to the problems to graph similarity and cluster number learning, where we outperform comparable iterative spectral approaches on synthetic and real graphs.

stat.ML↗

arXiv2019

Disentangling to Cluster: Gaussian Mixture Variational Ladder Autoencoders

In clustering we normally output one cluster variable for each datapoint. However it is not necessarily the case that there is only one way to partition a given dataset into cluster components. For example, one could cluster objects by their colour, or by their type. Different attributes form a hierarchy, and we could wish to cluster in any of them. By disentangling the learnt latent representations of some dataset into different layers for different attributes we can then cluster in those latent spaces. We call this "disentangled clustering". Extending Variational Ladder Autoencoders (Zhao et al., 2017), we propose a clustering algorithm, VLAC, that outperforms a Gaussian Mixture DGM in cluster accuracy over digit identity on the test set of SVHN. We also demonstrate learning clusters jointly over numerous layers of the hierarchy of latent variables for the data, and show component-wise generation from this hierarchical model.

cs.LG↗

arXiv2019

Safe Policy Search with Gaussian Process Models

We propose a method to optimise the parameters of a policy which will be used to safely perform a given task in a data-efficient manner. We train a Gaussian process model to capture the system dynamics, based on the PILCO framework. Our model has useful analytic properties, which allow closed form computation of error gradients and estimating the probability of violating given state space constraints. During training, as well as operation, only policies that are deemed safe are implemented on the real system, minimising the risk of failure.

stat.ML↗

arXiv2019

Deep Reinforcement Learning for Trading

We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. Both discrete and continuous action spaces are considered and volatility scaling is incorporated to create reward functions which scale trade positions based on market volatility. We test our algorithms on the 50 most liquid futures contracts from 2011 to 2019, and investigate how performance varies across different asset classes including commodities, equity indices, fixed income and FX markets. We compare our algorithms against classical time series momentum strategies, and show that our method outperforms such baseline models, delivering positive profits despite heavy transaction costs. The experiments show that the proposed algorithms can follow large market trends without changing positions and can also scale down, or hold, through consolidation periods.

q-fin.CP↗

arXiv2019

Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning

With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time, finite-horizon setting for a portfolio of two assets that are intertwined. In Financial Mathematics approach we model the asset prices not via the common approaches used in pairs trading such as a high correlation or cointegration, but with the cointelation model that aims to reconcile both short-term risk and long-term equilibrium. We maximize the overall P&L with Financial Mathematics approach that dynamically switches between a mean-variance optimal strategy and a power utility maximizing strategy. We use a stochastic control formulation of the problem of power utility maximization and solve numerically the resulting HJB equation with the Deep Galerkin method. We turn to Machine Learning for the same P&L maximization problem and use clustering analysis to devise bands, combined with in-band optimization. Although this approach is model agnostic, results obtained with data simulated from the same cointelation model as FM give an edge to ML.

q-fin.PM↗

arXiv2019

Using Sparse Gaussian Processes for Predicting Robust Inertial Confinement Fusion Implosion Yields

Here we present the application of an advanced Sparse Gaussian Process based machine learning algorithm to the challenge of predicting the yields of inertial confinement fusion (ICF) experiments. The algorithm is used to investigate the parameter space of an extremely robust ICF design for the National Ignition Facility, the `Simplest Design'; deuterium-tritium gas in a plastic ablator with a Gaussian, Planckian drive. In particular we show that i) GPz has the potential to decompose uncertainty on predictions into uncertainty from lack of data and shot-to-shot variation, ii) permits the incorporation of science-goal specific cost-sensitive learning e.g. focussing on the high-yield parts of parameter space and iii) is very fast and effective in high dimensions.

physics.plasm-ph↗

arXiv2019

Regularising Deep Networks with Deep Generative Models

We develop a new method for regularising neural networks. We learn a probability distribution over the activations of all layers of the model and then insert imputed values into the network during training. We obtain a posterior for an arbitrary subset of activations conditioned on the remainder. This is a generalisation of data augmentation to the hidden layers of a network, and a form of data-aware dropout. We demonstrate that our training method leads to higher test accuracy and lower test-set cross-entropy for neural networks trained on CIFAR-10 and SVHN compared to standard regularisation baselines: our approach leads to networks with better calibrated uncertainty over the class posteriors all the while delivering greater test-set accuracy.

cs.LG↗