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Yiyuan Xiong

Publications and source records attributed to Yiyuan Xiong.

3 recordsLinked to original sources

Improving log-based anomaly detection through learned adaptive filter

Log messages record important system runtime information and are useful for detecting anomalous behaviors and managing modern software systems. Many supervised and unsupervised learning methods have been proposed recently for log-based anomaly detection. State-of-the-art unsupervised methods predict the next log event given a log sequence and apply fixed configurations that use the same filter condition (i.e. k, the top k predicted log events will be regarded as normal next events) which leads to inferior performance in the detection stage because it sets one fixed k for all log sequences, which ignores the dynamic nature and variance in different log sequences. Recently, deep reinforcement learning (DRL) are widely applied to make intelligent decisions in a dynamic environment. In this work, we contend that it is necessary to apply adaptive filters for different log sequences. To achieve this, we propose a novel approach based on DRL to construct a learned adaptive filter and apply different normal/abnormal filter thresholds for different log sequences. We define the Markov Decision Process (MDP) and formulate the learned adaptive filter as a problem that can be solved by DRL. We evaluate the learned adaptive filter on two state-of-the-art log-based anomaly detection unsupervised approaches DeepLog and LogAnomaly in two datasets HDFS and BGL. Extensive experiments show that our approach outperforms the fixed configurations and achieves significantly better performance in log-based anomaly detection.

cs.LG↗

On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution

United States (US) IG bonds typically trade at modest spreads over US Treasuries, reflecting the credit risk tied to a corporation's default potential. During market crises, IG spreads often widen and liquidity tends to decrease, likely due to increased credit risk (evidenced by higher IG Credit Default Index spreads) and the necessity for asset holders like mutual funds to liquidate assets, including IG credits, to manage margin calls, bolster cash reserves, or meet redemptions. These credit and liquidity premia occur during market drawdowns and tend to move non-linearly with the market. The research herein refers to this non-linearity (during periods of drawdown) as downside convexity, and shows that this market behavior can effectively be captured through a short position established in IG Exchange Traded Funds (ETFs). The following document details the construction of three signals: Momentum, Liquidity, and Credit, that can be used in combination to signal entries and exits into short IG positions to hedge a typical active bond portfolio (such as PIMIX). A dynamic hedge initiates the short when signals jointly correlate and point to significant future hedged return. The dynamic hedge removes when the short position's predicted hedged return begins to mean revert. This systematic hedge largely avoids IG Credit drawdowns, lowers absolute and downside risk, increases annualised returns and achieves higher Sortino ratios compared to the benchmark funds. The method is best suited to high carry, high active risk funds like PIMIX, though it also generalises to more conservative funds similar to DODIX.

q-fin.PM↗

A Survey on Deep Reinforcement Learning for Data Processing and Analytics

Data processing and analytics are fundamental and pervasive. Algorithms play a vital role in data processing and analytics where many algorithm designs have incorporated heuristics and general rules from human knowledge and experience to improve their effectiveness. Recently, reinforcement learning, deep reinforcement learning (DRL) in particular, is increasingly explored and exploited in many areas because it can learn better strategies in complicated environments it is interacting with than statically designed algorithms. Motivated by this trend, we provide a comprehensive review of recent works focusing on utilizing DRL to improve data processing and analytics. First, we present an introduction to key concepts, theories, and methods in DRL. Next, we discuss DRL deployment on database systems, facilitating data processing and analytics in various aspects, including data organization, scheduling, tuning, and indexing. Then, we survey the application of DRL in data processing and analytics, ranging from data preparation, natural language processing to healthcare, fintech, etc. Finally, we discuss important open challenges and future research directions of using DRL in data processing and analytics.

cs.LG↗