arXiv subjects

Yuri Lawryshyn

Publications and source records attributed to Yuri Lawryshyn.

12 recordsLinked to original sources

arXiv2025

A clusterability test for directed graphs

In this article, we extend a statistical test of graph clusterability, the $δ$ test, to directed graphs with no self loops. The $δ$ test, originally designed for undirected graphs, is based on the premise that graphs with a clustered structure display a mean local density that is statistically higher than the graph's global density. We posit that graphs that do not meet this necessary (but not sufficient) condition for clusterability can be considered unsuited to clustering. In such cases, vertex clusters do not offer a meaningful summary of the broader graph. Additionally in this study, we aim to determine the optimal sample size (number of neighborhoods). Our test, designed for the analysis of large networks, is based on sampling subsets of neighborhoods/nodes. It is designed for cases where computing the density of every node's neighborhood is infeasible. Our results show that the $δ$ test performs very well, even with very small samples of neighborhoods ($1\%$). It accurately detects unclusterable graphs and is also shown to be robust to departures from the underlying assumptions of the $t$ test.

cs.NI↗

arXiv2024

GPT-Signal: Generative AI for Semi-automated Feature Engineering in the Alpha Research Process

In the trading process, financial signals often imply the time to buy and sell assets to generate excess returns compared to a benchmark (e.g., an index). Alpha is the portion of an asset's return that is not explained by exposure to this benchmark, and the alpha research process is a popular technique aiming at developing strategies to generate alphas and gain excess returns. Feature Engineering, a significant pre-processing procedure in machine learning and data analysis that helps extract and create transformed features from raw data, plays an important role in algorithmic trading strategies and the alpha research process. With the recent development of Generative Artificial Intelligence(Gen AI) and Large Language Models (LLMs), we present a novel way of leveraging GPT-4 to generate new return-predictive formulaic alphas, making alpha mining a semi-automated process, and saving time and energy for investors and traders.

cs.CE↗

arXiv2024

Assisting humans in complex comparisons: automated information comparison at scale

Generative Large Language Models enable efficient analytics across knowledge domains, rivalling human experts in information comparisons. However, the applications of LLMs for information comparisons face scalability challenges due to the difficulties in maintaining information across large contexts and overcoming model token limitations. To address these challenges, we developed the novel Abstractive Summarization & Criteria-driven Comparison Endpoint (ASC$^2$End) system to automate information comparison at scale. Our system employs Semantic Text Similarity comparisons for generating evidence-supported analyses. We utilize proven data-handling strategies such as abstractive summarization and retrieval augmented generation to overcome token limitations and retain relevant information during model inference. Prompts were designed using zero-shot strategies to contextualize information for improved model reasoning. We evaluated abstractive summarization using ROUGE scoring and assessed the generated comparison quality using survey responses. Models evaluated on the ASC$^2$End system show desirable results providing insights on the expected performance of the system. ASC$^2$End is a novel system and tool that enables accurate, automated information comparison at scale across knowledge domains, overcoming limitations in context length and retrieval.

cs.CL↗

arXiv2024

Hedging American Put Options with Deep Reinforcement Learning

This article leverages deep reinforcement learning (DRL) to hedge American put options, utilizing the deep deterministic policy gradient (DDPG) method. The agents are first trained and tested with Geometric Brownian Motion (GBM) asset paths and demonstrate superior performance over traditional strategies like the Black-Scholes (BS) Delta, particularly in the presence of transaction costs. To assess the real-world applicability of DRL hedging, a second round of experiments uses a market calibrated stochastic volatility model to train DRL agents. Specifically, 80 put options across 8 symbols are collected, stochastic volatility model coefficients are calibrated for each symbol, and a DRL agent is trained for each of the 80 options by simulating paths of the respective calibrated model. Not only do DRL agents outperform the BS Delta method when testing is conducted using the same calibrated stochastic volatility model data from training, but DRL agents achieves better results when hedging the true asset path that occurred between the option sale date and the maturity. As such, not only does this study present the first DRL agents tailored for American put option hedging, but results on both simulated and empirical market testing data also suggest the optimality of DRL agents over the BS Delta method in real-world scenarios. Finally, note that this study employs a model-agnostic Chebyshev interpolation method to provide DRL agents with option prices at each time step when a stochastic volatility model is used, thereby providing a general framework for an easy extension to more complex underlying asset processes.

q-fin.RM↗

arXiv2022

Statistical network isomorphism

Graph isomorphism is a problem for which there is no known polynomial-time solution. Nevertheless, assessing (dis)similarity between two or more networks is a key task in many areas, such as image recognition, biology, chemistry, computer and social networks. Moreover, questions of similarity are typically more general and their answers more widely applicable than the more restrictive isomorphism question. In this article, we offer a statistical answer to the following questions: a) {\it ``Are networks $G_1$ and $G_2$ similar?''}, b) {\it ``How different are the networks $G_1$ and $G_2$?''} and c) {\it ``Is $G_3$ more similar to $G_1$ or $G_2$?''}. Our comparisons begin with the transformation of each graph into an all-pairs distance matrix. Our node-node distance, Jaccard distance, has been shown to offer a good reflection of the graph's connectivity structure. We then model these distances as probability distributions. Finally, we use well-established statistical tools to gauge the (dis)similarities in terms of probability distribution (dis)similarity. This comparison procedure aims to detect (dis)similarities in connectivity structure, not in easily observable graph characteristics, such as degrees, edge counts or density. We validate our hypothesis that graphs can be meaningfully summarized and compared via their node-node distance distributions, using several synthetic and real-world graphs. Empirical results demonstrate its validity and the accuracy of our comparison technique.

stat.CO↗

arXiv2021

TradeR: Practical Deep Hierarchical Reinforcement Learning for Trade Execution

Advances in Reinforcement Learning (RL) span a wide variety of applications which motivate development in this area. While application tasks serve as suitable benchmarks for real world problems, RL is seldomly used in practical scenarios consisting of abrupt dynamics. This allows one to rethink the problem setup in light of practical challenges. We present Trade Execution using Reinforcement Learning (TradeR) which aims to address two such practical challenges of catastrophy and surprise minimization by formulating trading as a real-world hierarchical RL problem. Through this lens, TradeR makes use of hierarchical RL to execute trade bids on high frequency real market experiences comprising of abrupt price variations during the 2019 fiscal year COVID19 stock market crash. The framework utilizes an energy-based scheme in conjunction with surprise value function for estimating and minimizing surprise. In a large-scale study of 35 stock symbols from the S&P500 index, TradeR demonstrates robustness to abrupt price changes and catastrophic losses while maintaining profitable outcomes. We hope that our work serves as a motivating example for application of RL to practical problems.

q-fin.TR↗

arXiv2021

Energy-based Surprise Minimization for Multi-Agent Value Factorization

Multi-Agent Reinforcement Learning (MARL) has demonstrated significant success in training decentralised policies in a centralised manner by making use of value factorization methods. However, addressing surprise across spurious states and approximation bias remain open problems for multi-agent settings. Towards this goal, we introduce the Energy-based MIXer (EMIX), an algorithm which minimizes surprise utilizing the energy across agents. Our contributions are threefold; (1) EMIX introduces a novel surprise minimization technique across multiple agents in the case of multi-agent partially-observable settings. (2) EMIX highlights a practical use of energy functions in MARL with theoretical guarantees and experiment validations of the energy operator. Lastly, (3) EMIX extends Maxmin Q-learning for addressing overestimation bias across agents in MARL. In a study of challenging StarCraft II micromanagement scenarios, EMIX demonstrates consistent stable performance for multiagent surprise minimization. Moreover, our ablation study highlights the necessity of the energy-based scheme and the need for elimination of overestimation bias in MARL. Our implementation of EMIX can be found at karush17.github.io/emix-web/.

cs.LG↗

arXiv2020

Implicit Feedback Deep Collaborative Filtering Product Recommendation System

In this paper, several Collaborative Filtering (CF) approaches with latent variable methods were studied using user-item interactions to capture important hidden variations of the sparse customer purchasing behaviours. The latent factors are used to generalize the purchasing pattern of the customers and to provide product recommendations. CF with Neural Collaborative Filtering(NCF) was shown to produce the highest Normalized Discounted Cumulative Gain (NDCG) performance on the real-world proprietary dataset provided by a large parts supply company. Different hyperparameters were tested using Bayesian Optimization (BO) for applicability in the CF framework. External data sources like click-data and metrics like Clickthrough Rate (CTR) were reviewed for potential extensions to the work presented. The work shown in this paper provides techniques the Company can use to provide product recommendations to enhance revenues, attract new customers, and gain advantages over competitors.

cs.IR↗

arXiv2020

Market Graph Clustering Via QUBO and Digital Annealing

Our goal is to find representative nodes of a market graph that best replicate the returns of a broader market graph (index), a common task in the financial industry. We model our reference index as a market graph and express the index tracking problem in a quadratic K-medoids form. We take advantage of a purpose built hardware architecture, the Fujitsu Digital Annealer, to circumvent the NP-hard nature of the problem and solve our formulation efficiently. In this article, we combine three separate areas of the literature, market graph models, K-medoid clustering and quadratic binary optimization modeling, to formulate the index-tracking problem as a quadratic K-medoid graph-clustering problem. Our initial results show we accurately replicate the returns of a broad market index, using only a small subset of its constituent assets. Moreover, our quadratic formulation allows us to take advantage of recent hardware advances, to overcome the NP-hard nature of the problem.

cs.SI↗

arXiv2020

Graph Distances and Clustering

With a view on graph clustering, we present a definition of vertex-to-vertex distance which is based on shared connectivity. We argue that vertices sharing more connections are closer to each other than vertices sharing fewer connections. Our thesis is centered on the widely accepted notion that strong clusters are formed by high levels of induced subgraph density, where subgraphs represent clusters. We argue these clusters are formed by grouping vertices deemed to be similar in their connectivity. At the cluster level (induced subgraph level), our thesis translates into low mean intra-cluster distances. Our definition differs from the usual shortest-path geodesic distance. In this article, we compare three distance measures from the literature. Our benchmark is the accuracy of each measure's reflection of intra-cluster density, when aggregated (averaged) at the cluster level. We conduct our tests on synthetic graphs generated using the planted partition model, where clusters and intra-cluster density are known in advance. We examine correlations between mean intra-cluster distances and intra-cluster densities. Our numerical experiments show that Jaccard and Otsuka-Ochiai offer very accurate measures of density, when averaged over vertex pairs within clusters.

cs.DM↗

arXiv2020

A Statistical Density-Based Analysis of Graph Clustering Algorithm Performance

Measuring graph clustering quality remains an open problem. To address it, we introduce quality measures based on comparisons of intra- and inter-cluster densities, an accompanying statistical test of the significance of their differences and a step-by-step routine for clustering quality assessment. Our null hypothesis does not rely on any generative model for the graph, unlike modularity which uses the configuration model as a null model. Our measures are shown to meet the axioms of a good clustering quality function, unlike the very commonly used modularity measure. They also have an intuitive graph-theoretic interpretation, a formal statistical interpretation and can be easily tested for significance. Our work is centered on the idea that well clustered graphs will display a significantly larger intra-cluster density than inter-cluster density. We develop tests to validate the existence of such a cluster structure. We empirically explore the behavior of our measures under a number of stress test scenarios and compare their behavior to the commonly used modularity and conductance measures. Empirical stress test results confirm that our measures compare very favorably to the established ones. In particular, they are shown to be more responsive to graph structure and less sensitive to sample size and breakdowns during numerical implementation and less sensitive to uncertainty in connectivity. These features are especially important in the context of larger data sets or when the data may contain errors in the connectivity patterns.

cs.SI↗

arXiv2020

Graph Clustering Via QUBO and Digital Annealing

This article empirically examines the computational cost of solving a known hard problem, graph clustering, using novel purpose-built computer hardware. We express the graph clustering problem as an intra-cluster distance or dissimilarity minimization problem. We formulate our poblem as a quadratic unconstrained binary optimization problem and employ a novel computer architecture to obtain a numerical solution. Our starting point is a clustering formulation from the literature. This formulation is then converted to a quadratic unconstrained binary optimization formulation. Finally, we use a novel purpose-built computer architecture to obtain numerical solutions. For benchmarking purposes, we also compare computational performances to those obtained using a commercial solver, Gurobi, running on conventional hardware. Our initial results indicate the purpose-built hardware provides equivalent solutions to the commercial solver, but in a very small fraction of the time required.

cs.SI↗