arXiv subjects

Yinchuan Li

Publications and source records attributed to Yinchuan Li.

78 records · Page 5Linked to original sources

arXiv2019

Risk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm Stock Prediction

Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters large cumulative errors because they cannot avoid anomalies. In this paper, we propose a novel deep neural network Mid-LSTM for midterm stock prediction, which incorporates the market trend as hidden states. First, based on the autoregressive moving average model (ARMA), a midterm ARMA is formulated by taking into consideration both hidden states and the capital asset pricing model. Then, a midterm LSTM-based deep neural network is designed, which consists of three components: LSTM, hidden Markov model and linear regression networks. The proposed Mid-LSTM can avoid anomalies to reduce large prediction errors, and has good explanatory effects on the factors affecting stock prices. Extensive experiments on S&P 500 stocks show that (i) the proposed Mid-LSTM achieves 2-4% improvement in prediction accuracy, and (ii) in portfolio allocation investment, we achieve up to 120.16% annual return and 2.99 average Sharpe ratio.

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arXiv2019

Multi-target Position and Velocity Estimation Using OFDM Communication Signals

In this paper, we consider a passive radar system that estimates the positions and velocities of multiple moving targets by using OFDM signals transmitted by a totally un-coordinated and un-synchronizated illuminator and multiple receivers. It is assumed that data demodulation is performed separately based on the direct-path signal, and the error-prone estimated data symbols are made available to the passive radar receivers, which estimate the positions and velocities of the targets in two stages. First, we formulate a problem of joint estimation of the delay-Doppler of reflectors and the demodulation errors, by exploiting two types of sparsities of the system, namely, the numbers of reflectors (i.e., targets and clutters) and demodulation errors are both small. This problem is non-convex and a conjugate gradient descent method is proposed to solve it. Then in the second stage we determine the positions and velocities of targets based on the estimated delay-Doppler in the first stage. And two methods are proposed: the first is based on numerically solving a set of nonlinear equations, while the second is based on the back propagation neural network, which is more efficient. The performance of the proposed passive OFDM radar receiver algorithm is evaluated through extensive simulations.

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arXiv2019

Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation

Portfolio allocation is crucial for investment companies. However, getting the best strategy in a complex and dynamic stock market is challenging. In this paper, we propose a novel Adaptive Deep Deterministic Reinforcement Learning scheme (Adaptive DDPG) for the portfolio allocation task, which incorporates optimistic or pessimistic deep reinforcement learning that is reflected in the influence from prediction errors. Dow Jones 30 component stocks are selected as our trading stocks and their daily prices are used as the training and testing data. We train the Adaptive DDPG agent and obtain a trading strategy. The Adaptive DDPG's performance is compared with the vanilla DDPG, Dow Jones Industrial Average index and the traditional min-variance and mean-variance portfolio allocation strategies. Adaptive DDPG outperforms the baselines in terms of the investment return and the Sharpe ratio.

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arXiv2019

Multi-dimensional Spectral Super-Resolution with Prior Knowledge via Frequency-Selective Vandermonde Decomposition and ADMM

This paper is concerned with estimation of multiple frequencies from incomplete and/or noisy samples based on a low-CP-rank tensor data model where each CP vector is an array response vector of one frequency. Suppose that it is known a priori that the frequencies lie in some given intervals, we develop efficient super-resolution estimators by exploiting such prior knowledge based on frequency-selective (FS) atomic norm minimization. We study the MD Vandermonde decomposition of block Toeplitz matrices in which the frequencies are restricted to lie in given intervals. We then propose to solve the FS atomic norm minimization problems for the low-rank spectral tensor recovery by converting them into semidefinite programs based on the MD Vandermonde decomposition. We also develop fast solvers for solving these semidefinite programs via the alternating direction method of multipliers (ADMM), where each iteration involves a number of refinement steps to utilize the prior knowledge. Extensive simulation results are presented to illustrate the high performance of the proposed methods.

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arXiv2019

Compressive Multidimensional Harmonic Retrieval with Prior Knowledge

This paper concerns the problem of estimating multidimensional (MD) frequencies using prior knowledge of the signal spectral sparsity from partial time samples. In many applications, such as radar, wireless communications, and super-resolution imaging, some structural information about the signal spectrum might be known beforehand. Suppose that the frequencies lie in given intervals, the goal is to improve the frequency estimation performance by using the prior information. We study the MD Vandermonde decomposition of block Toeplitz matrices in which the frequencies are restricted to given intervals. We then propose to solve the frequency-selective atomic norm minimization by converting them into semidefinite program based on the MD Vandermonde decomposition. Numerical simulation results are presented to illustrate the good performance of the proposed method.

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arXiv2019

Interference Removal for Radar/Communication Co-existence: the Random Scattering Case

In this paper we consider an un-cooperative spectrum sharing scenario, wherein a radar system is to be overlaid to a pre-existing wireless communication system. Given the order of magnitude of the transmitted powers in play, we focus on the issue of interference mitigation at the communication receiver. We explicitly account for the reverberation produced by the (typically high-power) radar transmitter whose signal hits scattering centers (whether targets or clutter) producing interference onto the communication receiver, which is assumed to operate in an un-synchronized and un-coordinated scenario. We first show that receiver design amounts to solving a non-convex problem of joint interference removal and data demodulation: next, we introduce two algorithms, both exploiting sparsity of a proper representation of the interference and of the vector containing the errors of the data block. The first algorithm is basically a relaxed constrained Atomic Norm minimization, while the latter relies on a two-stage processing structure and is based on alternating minimization. The merits of these algorithms are demonstrated through extensive simulations: interestingly, the two-stage alternating minimization algorithm turns out to achieve satisfactory performance with moderate computational complexity.

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