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In the financial sector, a sophisticated financial time series simulator is essential for evaluating financial products and investment strategies. Traditional back-testing methods have mainly relied on historical data-driven approaches or mathematical model-driven approaches, such as various stochastic processes. However, in the current era of AI, data-driven approaches, where models learn the intrinsic characteristics of data directly, have emerged as promising techniques. Generative Adversarial Networks (GANs) have surfaced as promising generative models, capturing data distributions through adversarial learning. Financial time series, characterized 'stylized facts' such as random walks, mean-reverting patterns, unexpected jumps, and time-varying volatility, present significant challenges for deep neural networks to learn their intrinsic characteristics. This study examines the ability of GANs to learn diverse and complex temporal patterns (i.e., stylized facts) of both univariate and multivariate financial time series. Our extensive experiments revealed that GANs can capture various stylized facts of financial time series, but their performance varies significantly depending on the choice of generator architecture. This suggests that naively applying GANs might not effectively capture the intricate characteristics inherent in financial time series, highlighting the importance of carefully considering and validating the modeling choices.

Markowitz laid the foundation of portfolio theory through the mean-variance optimization (MVO) framework. However, the effectiveness of MVO is contingent on the precise estimation of expected returns, variances, and covariances of asset returns, which are typically uncertain. Machine learning models are becoming useful in estimating uncertain parameters, and such models are trained to minimize prediction errors, such as mean squared errors (MSE), which treat prediction errors uniformly across assets. Recent studies have pointed out that this approach would lead to suboptimal decisions and proposed Decision-Focused Learning (DFL) as a solution, integrating prediction and optimization to improve decision-making outcomes. While studies have shown DFL's potential to enhance portfolio performance, the detailed mechanisms of how DFL modifies prediction models for MVO remain unexplored. This study aims to investigate how DFL adjusts stock return prediction models to optimize decisions in MVO, addressing the question: "MSE treats the errors of all assets equally, but how does DFL reduce errors of different assets differently?" Answering this will provide crucial insights into optimal stock return prediction for constructing efficient portfolios., Comment: 7 pages, 3 figures, 3 tables

Twitter is recognized as a crucial platform for the dissemination and gathering of Cyber Threat Intelligence (CTI). Its capability to provide real-time, actionable intelligence makes it an indispensable tool for detecting security events, helping security professionals cope with ever-growing threats. However, the large volume of tweets and inherent noises of human-crafted tweets pose significant challenges in accurately identifying security events. While many studies tried to filter out event-related tweets based on keywords, they are not effective due to their limitation in understanding the semantics of tweets. Another challenge in security event detection from Twitter is the comprehensive coverage of security events. Previous studies emphasized the importance of early detection of security events, but they overlooked the importance of event coverage. To cope with these challenges, in our study, we introduce a novel event attribution-centric tweet embedding method to enable the high precision and coverage of events. Our experiment result shows that the proposed method outperforms existing text and graph-based tweet embedding methods in identifying security events. Leveraging this novel embedding approach, we have developed and implemented a framework, Tweezers, that is applicable to security event detection from Twitter for CTI gathering. This framework has demonstrated its effectiveness, detecting twice as many events compared to established baselines. Additionally, we have showcased two applications, built on Tweezers for the integration and inspection of security events, i.e., security event trend analysis and informative security user identification.

Motility-induced phase separation (MIPS) is a well-studied nonequilibrium collective phenomenon observed in active particles. Recently, there has been growing interest in how coupling the self-propulsion of active particles to chemical degrees of freedom affects MIPS. Previous studies have shown that incorporating chemotaxis and the production or consumption of chemicals by active particles results in various pattern formations, such as arrested phase separation and traveling waves. In this study, we demonstrate that similar phenomena can be induced when active particles consume chemicals and exhibit chemokinesis, where higher chemical concentrations enhance self-propulsion without causing alignment with the chemical gradient. We discover that MIPS is intensified if chemical consumption is proportional to particle density but is suppressed if chemical consumption is closely tied to particle motion. This leads to a wider range of collective behaviors, including arrested phase separation and oscillating patterns. Our findings are based on a hydrodynamic theory derived from a particle-based model via standard methods., Comment: 15 pages, 12 figures

In the era of rapid globalization and digitalization, accurate identification of similar stocks has become increasingly challenging due to the non-stationary nature of financial markets and the ambiguity in conventional regional and sector classifications. To address these challenges, we examine SimStock, a novel temporal self-supervised learning framework that combines techniques from self-supervised learning (SSL) and temporal domain generalization to learn robust and informative representations of financial time series data. The primary focus of our study is to understand the similarities between stocks from a broader perspective, considering the complex dynamics of the global financial landscape. We conduct extensive experiments on four real-world datasets with thousands of stocks and demonstrate the effectiveness of SimStock in finding similar stocks, outperforming existing methods. The practical utility of SimStock is showcased through its application to various investment strategies, such as pairs trading, index tracking, and portfolio optimization, where it leads to superior performance compared to conventional methods. Our findings empirically examine the potential of data-driven approach to enhance investment decision-making and risk management practices by leveraging the power of temporal self-supervised learning in the face of the ever-changing global financial landscape.

This paper addresses imitation learning for motion prediction problem in autonomous driving, especially in multi-agent setting. Different from previous methods based on GAN, we present the conditional latent ordinary differential equation (cLODE) to leverage both the generative strength of conditional VAE and the continuous representation of neural ODE. Our network architecture is inspired from the Latent-ODE model. The experiment shows that our method outperform the baseline methods in the simulation of multi-agent driving and is very efficient in term of GPU memory consumption. Our code and docker image are publicly available: https://github.com/TruongKhang/cLODE; https://hub.docker.com/r/kim4375731/clode., Comment: Term Project for AI816

Recently, 3D Gaussian Splatting (3DGS) has become one of the mainstream methodologies for novel view synthesis (NVS) due to its high quality and fast rendering speed. However, as a point-based scene representation, 3DGS potentially generates a large number of Gaussians to fit the scene, leading to high memory usage. Improvements that have been proposed require either an empirical and preset pruning ratio or importance score threshold to prune the point cloud. Such hyperparamter requires multiple rounds of training to optimize and achieve the maximum pruning ratio, while maintaining the rendering quality for each scene. In this work, we propose learning-to-prune 3DGS (LP-3DGS), where a trainable binary mask is applied to the importance score that can find optimal pruning ratio automatically. Instead of using the traditional straight-through estimator (STE) method to approximate the binary mask gradient, we redesign the masking function to leverage the Gumbel-Sigmoid method, making it differentiable and compatible with the existing training process of 3DGS. Extensive experiments have shown that LP-3DGS consistently produces a good balance that is both efficient and high quality.

3D Gaussian Splatting (3DGS) has made a significant stride in novel view synthesis, demonstrating top-notch rendering quality while achieving real-time rendering speed. However, the excessively large number of Gaussian primitives resulting from 3DGS' suboptimal densification process poses a major challenge, slowing down frame-per-second (FPS) and demanding considerable memory cost, making it unfavorable for low-end devices. To cope with this issue, many follow-up studies have suggested various pruning techniques, often in combination with different score functions, to optimize rendering performance. Nonetheless, a comprehensive discussion regarding their effectiveness and implications across all techniques is missing. In this paper, we first categorize 3DGS pruning techniques into two types: Cross-view pruning and pixel-wise pruning, which differ in their approaches to rank primitives. Our subsequent experiments reveal that while cross-view pruning leads to disastrous quality drops under extreme Gaussian primitives decimation, the pixel-wise pruning technique not only sustains relatively high rendering quality with minuscule performance degradation but also provides a reasonable minimum boundary for pruning. Building on this observation, we further propose multiple variations of score functions and empirically discover that the color-weighted score function outperforms others for discriminating insignificant primitives for rendering. We believe our research provides valuable insights for optimizing 3DGS pruning strategies for future works., Comment: Comprehensive experiments are in progress

Recommender systems can be helpful for individuals to make well-informed decisions in complex financial markets. While many studies have focused on predicting stock prices, even advanced models fall short of accurately forecasting them. Additionally, previous studies indicate that individual investors often disregard established investment theories, favoring their personal preferences instead. This presents a challenge for stock recommendation systems, which must not only provide strong investment performance but also respect these individual preferences. To create effective stock recommender systems, three critical elements must be incorporated: 1) individual preferences, 2) portfolio diversification, and 3) the temporal dynamics of the first two. In response, we propose a new model, Portfolio Temporal Graph Network Recommender, PfoTGNRec, which can handle time-varying collaborative signals and incorporates diversification-enhancing sampling. On real-world individual trading data, our approach demonstrates superior performance compared to state-of-the-art baselines, including cutting-edge dynamic embedding models and existing stock recommendation models. Indeed, we show that PfoTGNRec is an effective solution that can balance customer preferences with the need to suggest portfolios with high Return-on-Investment. The source code and data are available at https://anonymous.4open.science/r/ICAIF2024-E23E.

This paper explores the utilization of Temporal Graph Networks (TGN) for financial anomaly detection, a pressing need in the era of fintech and digitized financial transactions. We present a comprehensive framework that leverages TGN, capable of capturing dynamic changes in edges within financial networks, for fraud detection. Our study compares TGN's performance against static Graph Neural Network (GNN) baselines, as well as cutting-edge hypergraph neural network baselines using DGraph dataset for a realistic financial context. Our results demonstrate that TGN significantly outperforms other models in terms of AUC metrics. This superior performance underlines TGN's potential as an effective tool for detecting financial fraud, showcasing its ability to adapt to the dynamic and complex nature of modern financial systems. We also experimented with various graph embedding modules within the TGN framework and compared the effectiveness of each module. In conclusion, we demonstrated that, even with variations within TGN, it is possible to achieve good performance in the anomaly detection task., Comment: Presented at the AAAI 2024 Workshop on AI in Finance for Social Impact (https://sites.google.com/view/aifin-aaai2024)

Recommender systems have been actively studied and applied in various domains to deal with information overload. Although there are numerous studies on recommender systems for movies, music, and e-commerce, comparatively less attention has been paid to the recommender system for NFTs despite the continuous growth of the NFT market. This paper presents a recommender system for NFTs that utilizes a variety of data sources, from NFT transaction records to external item features, to generate precise recommendations that cater to individual preferences. We develop a data-efficient graph-based recommender system to efficiently capture the complex relationship between each item and users and generate node(item) embeddings which incorporate both node feature information and graph structure. Furthermore, we exploit inputs beyond user-item interactions, such as image feature, text feature, and price feature. Numerical experiments verify the performance of the graph-based recommender system improves significantly after utilizing all types of item features as side information, thereby outperforming all other baselines., Comment: Presented at the AAAI 2023 Bridge on AI for Financial Services (https://sites.google.com/view/aaai-ai-fin/home)

Recommender systems, crucial for user engagement on platforms like e-commerce and streaming services, often lag behind users' evolving preferences due to static data reliance. After Temporal Graph Networks (TGNs) were proposed, various studies have shown that TGN can significantly improve situations where the features of nodes and edges dynamically change over time. However, despite its promising capabilities, it has not been directly applied in recommender systems to date. Our study bridges this gap by directly implementing Temporal Graph Networks (TGN) in recommender systems, a first in this field. Using real-world datasets and a range of graph and history embedding methods, we show TGN's adaptability, confirming its effectiveness in dynamic recommendation scenarios., Comment: Presented at the AAAI 2024 Workshop on Recommendation Ecosystems: Modeling, Optimization and Incentive Design

Cybersecurity information is often technically complex and relayed through unstructured text, making automation of cyber threat intelligence highly challenging. For such text domains that involve high levels of expertise, pretraining on in-domain corpora has been a popular method for language models to obtain domain expertise. However, cybersecurity texts often contain non-linguistic elements (such as URLs and hash values) that could be unsuitable with the established pretraining methodologies. Previous work in other domains have removed or filtered such text as noise, but the effectiveness of these methods have not been investigated, especially in the cybersecurity domain. We propose different pretraining methodologies and evaluate their effectiveness through downstream tasks and probing tasks. Our proposed strategy (selective MLM and jointly training NLE token classification) outperforms the commonly taken approach of replacing non-linguistic elements (NLEs). We use our domain-customized methodology to train CyBERTuned, a cybersecurity domain language model that outperforms other cybersecurity PLMs on most tasks., Comment: To appear in NAACL Findings 2024

The recent discovery of superconductivity in hydrogen-rich compounds has garnered significant experimental and theoretical interest because of the record-setting critical temperatures. As the direct observation of the superconducting (SC) gap in these superhydrides is rare, the underlying mechanism behind its occurrence has yet to be settled down. Here, we report a successful synthesis of the $\textit{P6$_3$}$/$\textit{mmc}$ phase of CeH$_9$ that exhibits the SC transition with SC critical temperature of about 100 K at a pressure of about 100 GPa. The observation of the zero electrical resistance and the critical current demonstrates that the SC phase is realized in Ce-based superhydride. Quasiparticle scattering spectroscopy (QSS) reveals the Andreev reflection at zero bias voltage, a hallmark of superconductivity, in the differential conductance. The obtained SC gap-to-$\textit{T}$$_c$ ratio of 4.36 and temperature dependence of SC gap are consistent with the prediction from the Bardeen-Cooper-Schrieffer theory with a moderate coupling strength. The successful realization of QSS under Megabar conditions is expected to provide a desired route to the study of the mechanism of superconductivity as well as the establishment of the SC phase in superhydride high-$\textit{T}$$_c$ systems., Comment: 20 pages, 4 figures

Deep reinforcement learning (RL) has achieved remarkable success in solving complex tasks through its integration with deep neural networks (DNNs) as function approximators. However, the reliance on DNNs has introduced a new challenge called primacy bias, whereby these function approximators tend to prioritize early experiences, leading to overfitting. To mitigate this primacy bias, a reset method has been proposed, which performs periodic resets of a portion or the entirety of a deep RL agent while preserving the replay buffer. However, the use of the reset method can result in performance collapses after executing the reset, which can be detrimental from the perspective of safe RL and regret minimization. In this paper, we propose a new reset-based method that leverages deep ensemble learning to address the limitations of the vanilla reset method and enhance sample efficiency. The proposed method is evaluated through various experiments including those in the domain of safe RL. Numerical results show its effectiveness in high sample efficiency and safety considerations., Comment: NeurIPS 2023 camera-ready

Recommender systems have become essential tools for enhancing user experiences across various domains. While extensive research has been conducted on recommender systems for movies, music, and e-commerce, the rapidly growing and economically significant Non-Fungible Token (NFT) market remains underexplored. The unique characteristics and increasing prominence of the NFT market highlight the importance of developing tailored recommender systems to cater to its specific needs and unlock its full potential. In this paper, we examine the distinctive characteristics of NFTs and propose the first recommender system specifically designed to address NFT market challenges. In specific, we develop a Multi-Attention Recommender System for NFTs (NFT-MARS) with three key characteristics: (1) graph attention to handle sparse user-item interactions, (2) multi-modal attention to incorporate feature preference of users, and (3) multi-task learning to consider the dual nature of NFTs as both artwork and financial assets. We demonstrate the effectiveness of NFT-MARS compared to various baseline models using the actual transaction data of NFTs collected directly from blockchain for four of the most popular NFT collections. The source code and data are available at https://anonymous.4open.science/r/RecSys2023-93ED.

The rise of FinTech has transformed financial services onto online platforms, yet stock investment recommender systems have received limited attention compared to other industries. Personalized stock recommendations can significantly impact customer engagement and satisfaction within the industry. However, traditional investment recommendations focus on high-return stocks or highly diversified portfolios based on the modern portfolio theory, often neglecting user preferences. On the other hand, collaborative filtering (CF) methods also may not be directly applicable to stock recommendations, because it is inappropriate to just recommend stocks that users like. The key is to optimally blend users preference with the portfolio theory. However, research on stock recommendations within the recommender system domain remains comparatively limited, and no existing model considers both the preference of users and the risk-return characteristics of stocks. In this regard, we propose a mean-variance efficient collaborative filtering (MVECF) model for stock recommendations that consider both aspects. Our model is specifically designed to improve the pareto optimality (mean-variance efficiency) in a trade-off between the risk (variance of return) and return (mean return) by systemically handling uncertainties in stock prices. Such improvements are incorporated into the MVECF model using regularization, and the model is restructured to fit into the ordinary matrix factorization scheme to boost computational efficiency. Experiments on real-world fund holdings data show that our model can increase the mean-variance efficiency of suggested portfolios while sacrificing just a small amount of mean average precision and recall. Finally, we further show MVECF is easily applicable to the state-of-the-art graph-based ranking models., Comment: 12 pages, 4 figures, preprint, under review

Recent research has suggested that there are clear differences in the language used in the Dark Web compared to that of the Surface Web. As studies on the Dark Web commonly require textual analysis of the domain, language models specific to the Dark Web may provide valuable insights to researchers. In this work, we introduce DarkBERT, a language model pretrained on Dark Web data. We describe the steps taken to filter and compile the text data used to train DarkBERT to combat the extreme lexical and structural diversity of the Dark Web that may be detrimental to building a proper representation of the domain. We evaluate DarkBERT and its vanilla counterpart along with other widely used language models to validate the benefits that a Dark Web domain specific model offers in various use cases. Our evaluations show that DarkBERT outperforms current language models and may serve as a valuable resource for future research on the Dark Web., Comment: 9 pages (main paper), 17 pages (including bibliography and appendix), to appear at the ACL 2023 Main Conference

Neural radiance field (NeRF) has shown remarkable performance in generating photo-realistic novel views. Among recent NeRF related research, the approaches that involve the utilization of explicit structures like grids to manage features achieve exceptionally fast training by reducing the complexity of multilayer perceptron (MLP) networks. However, storing features in dense grids demands a substantial amount of memory space, resulting in a notable memory bottleneck within computer system. Consequently, it leads to a significant increase in training times without prior hyper-parameter tuning. To address this issue, in this work, we are the first to propose MF-NeRF, a memory-efficient NeRF framework that employs a Mixed-Feature hash table to improve memory efficiency and reduce training time while maintaining reconstruction quality. Specifically, we first design a mixed-feature hash encoding to adaptively mix part of multi-level feature grids and map it to a single hash table. Following that, in order to obtain the correct index of a grid point, we further develop an index transformation method that transforms indices of an arbitrary level grid to those of a canonical grid. Extensive experiments benchmarking with state-of-the-art Instant-NGP, TensoRF, and DVGO, indicate our MF-NeRF could achieve the fastest training time on the same GPU hardware with similar or even higher reconstruction quality.

We propose a thermodynamically consistent, analytically tractable model of steady-state active heat engines driven by both temperature difference and a constant chemical driving. While the engine follows the dynamics of the Active Ornstein-Uhlenbeck Particle, its self-propulsion stems from the mechanochemical coupling with the fuel consumption dynamics, allowing for both even- and odd-parity self-propulsion forces. Using the standard methods of stochastic thermodynamics, we show that the entropy production of the engine satisfies the conventional Clausius relation, based on which we define the efficiency of the model that is bounded from above by the second law of thermodynamics. Using this framework, we obtain exact expressions for the efficiency at maximum power. The results show that the engine performance has a nonmonotonic dependence on the magnitude of the chemical driving, and that the even-parity (odd-parity) engines perform better when the size of the engine is smaller (larger) than the persistence length of the active particle. We also discuss the existence of a tighter upper bound on the efficiency of the odd-parity engines stemming from the detailed structure of the entropy production., Comment: 22 pages, 6 figures

As Non-Fungible Tokens (NFTs) continue to grow in popularity, NFT users have become targets of phishing attacks by cybercriminals, called \textit{NFT drainers}. Over the last year, \$100 million worth of NFTs were stolen by drainers, and their presence remains a serious threat to the NFT trading space. However, no work has yet comprehensively investigated the behaviors of drainers in the NFT ecosystem. In this paper, we present the first study on the trading behavior of NFT drainers and introduce the first dedicated NFT drainer detection system. We collect 127M NFT transaction data from the Ethereum blockchain and 1,135 drainer accounts from five sources for the year 2022. We find that drainers exhibit significantly different transactional and social contexts from those of regular users. With these insights, we design \textit{DRAINCLoG}, an automatic drainer detection system utilizing Graph Neural Networks. This system effectively captures the multifaceted web of interactions within the NFT space through two distinct graphs: the NFT-User graph for transaction contexts and the User graph for social contexts. Evaluations using real-world NFT transaction data underscore the robustness and precision of our model. Additionally, we analyze the security of \textit{DRAINCLoG} under a wide variety of evasion attacks., Comment: To appear in NDSS 2024

A stagewise decomposition algorithm called value function gradient learning (VFGL) is proposed for large-scale multistage stochastic convex programs. VFGL finds the parameter values that best fit the gradient of the value function within a given parametric family. Widely used decomposition algorithms for multistage stochastic programming, such as stochastic dual dynamic programming (SDDP), approximate the value function by adding linear subgradient cuts at each iteration. Although this approach has been successful for linear problems, nonlinear problems may suffer from the increasing size of each subproblem as the iteration proceeds. On the other hand, VFGL has a fixed number of parameters; thus, the size of the subproblems remains constant throughout the iteration. Furthermore, VFGL can learn the parameters by means of stochastic gradient descent, which means that it can be easily parallelized and does not require a scenario tree approximation of the underlying uncertainties. VFGL was compared with a deterministic equivalent formulation of the multistage stochastic programming problem and SDDP approaches for three illustrative examples: production planning, hydrothermal generation, and the lifetime financial planning problem. Numerical examples show that VFGL generates high-quality solutions and is computationally efficient.