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Retrieval-based code question answering seeks to match user queries in natural language to relevant code snippets. Previous approaches typically rely on pretraining models using crafted bi-modal and uni-modal datasets to align text and code representations. In this paper, we introduce ProCQA, a large-scale programming question answering dataset extracted from the StackOverflow community, offering naturally structured mixed-modal QA pairs. To validate its effectiveness, we propose a modality-agnostic contrastive pre-training approach to improve the alignment of text and code representations of current code language models. Compared to previous models that primarily employ bimodal and unimodal pairs extracted from CodeSearchNet for pre-training, our model exhibits significant performance improvements across a wide range of code retrieval benchmarks., Comment: Accepted to LREC-COLING 2024

The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in macroeconomic outlook. In recent years, agent-based models have been developed that reproduce many features of an exchange, as summarised by a set of stylised facts and statistics. However, the ability to calibrate simulators to a specific period of trading remains an open challenge. In this work, we develop a novel approach to the calibration of market simulators by leveraging recent advances in deep learning, specifically using neural density estimators and embedding networks. We demonstrate that our approach is able to correctly identify high probability parameter sets, both when applied to synthetic and historical data, and without reliance on manually selected or weighted ensembles of stylised facts., Comment: 4th ACM International Conference on AI in Finance (ICAIF 2023)

Emission characteristics of quantum-dot micropillar lasers (QDMLs) are located at the intersection of nanophotonics and nonlinear dynamics, which provides an ideal platform for studying the optical interface between classical and quantum systems. In this work, a noise-induced bimodal QDML with orthogonal dual-mode outputs is modeled, and nonlinear dynamics, stochastic mode jumping and quantum statistics with the variation of stochastic noise intensity are investigated. Noise-induced effects lead to the emergence of two intensity bifurcation points for the strong and the weak mode, and the maximum output power of the strong mode becomes larger as the noise intensity increases. The anti-correlation of the two modes reaches the maximum at the second intensity bifurcation point. The dual-mode stochastic jumping frequency and effective bandwidth can exceed 100 GHz and 30 GHz under the noise-induced effect. Moreover, the noise-induced photon correlations of both modes simultaneously exhibit super-thermal bunching effects ($g^{(2)}(0)>2$) in the low injection current region. The $g^{(2)}(0)$-value of the strong mode can reach over 6 in the high injection current region. Photon bunching ($g^{(2)}(0)>1$) of both modes is observed over a wide range of noise intensities and injection currents. In the presence of the noise-induced effect, the photon number distribution of the strong or the weak mode is a mixture of Bose-Einstein and Poisson distributions. As the noise intensity increases, the photon number distribution of the strong mode is dominated by the Bose-Einstein distribution, and the proportion of the Poisson distribution is increased in the high injection current region, while that of the weak mode is reduced. Our results contribute to the development preparation of super-bunching quantum integrated light sources for improving the spatiotemporal resolution of quantum sensing measurements., Comment: 17 pages, 9 figures

News can convey bearish or bullish views on financial assets. Institutional investors need to evaluate automatically the implied news sentiment based on textual data. Given the huge amount of news articles published each day, most of which are neutral, we present a systematic news screening method to identify the ``true'' impactful ones, aiming for more effective development of news sentiment learning methods. Based on several liquidity-driven variables, including volatility, turnover, bid-ask spread, and book size, we associate each 5-min time bin to one of two specific liquidity modes. One represents the ``calm'' state at which the market stays for most of the time and the other, featured with relatively higher levels of volatility and trading volume, describes the regime driven by some exogenous events. Then we focus on the moments where the liquidity mode switches from the former to the latter and consider the news articles published nearby impactful. We apply naive Bayes on these filtered samples for news sentiment classification as an illustrative example. We show that the screened dataset leads to more effective feature capturing and thus superior performance on short-term asset return prediction compared to the original dataset.

Given the promising results on joint modeling of SPX/VIX smiles of the recently introduced quadratic rough Heston model, we consider a multi-asset market making problem on SPX and its derivatives, e.g. VIX futures, SPX and VIX options. The market maker tries to maximize its profit from spread capturing while controlling the portfolio's inventory risk, which can be fully explained by the value change of SPX under the particular setting of the quadratic rough Heston model. The high dimensionality of the resulting optimization problem is relaxed by several approximations. An asymptotic closed-form solution can be obtained. The accuracy and relevance of the approximations are illustrated through numerical experiments.

Variational autoencoders (VAEs) are one of the powerful unsupervised learning frameworks in NLP for latent representation learning and latent-directed generation. The classic optimization goal of VAEs is to maximize the Evidence Lower Bound (ELBo), which consists of a conditional likelihood for generation and a negative Kullback-Leibler (KL) divergence for regularization. In practice, optimizing ELBo often leads the posterior distribution of all samples converge to the same degenerated local optimum, namely posterior collapse or KL vanishing. There are effective ways proposed to prevent posterior collapse in VAEs, but we observe that they in essence make trade-offs between posterior collapse and hole problem, i.e., mismatch between the aggregated posterior distribution and the prior distribution. To this end, we introduce new training objectives to tackle both two problems through a novel regularization based on the probabilistic density gap between the aggregated posterior distribution and the prior distribution. Through experiments on language modeling, latent space visualization and interpolation, we show that our proposed method can solve both problems effectively and thus outperforms the existing methods in latent-directed generation. To the best of our knowledge, we are the first to jointly solve the hole problem and the posterior collapse., Comment: Accepted to NeurIPS 2022

We train an LSTM network based on a pooled dataset made of hundreds of liquid stocks aiming to forecast the next daily realized volatility for all stocks. Showing the consistent outperformance of this universal LSTM relative to other asset-specific parametric models, we uncover nonparametric evidences of a universal volatility formation mechanism across assets relating past market realizations, including daily returns and volatilities, to current volatilities. A parsimonious parametric forecasting device combining the rough fractional stochastic volatility and quadratic rough Heston models with fixed parameters results in the same level of performance as the universal LSTM, which confirms the universality of the volatility formation process from a parametric perspective.

Dual-Encoders is a promising mechanism for answer retrieval in question answering (QA) systems. Currently most conventional Dual-Encoders learn the semantic representations of questions and answers merely through matching score. Researchers proposed to introduce the QA interaction features in scoring function but at the cost of low efficiency in inference stage. To keep independent encoding of questions and answers during inference stage, variational auto-encoder is further introduced to reconstruct answers (questions) from question (answer) embeddings as an auxiliary task to enhance QA interaction in representation learning in training stage. However, the needs of text generation and answer retrieval are different, which leads to hardness in training. In this work, we propose a framework to enhance the Dual-Encoders model with question answer cross-embeddings and a novel Geometry Alignment Mechanism (GAM) to align the geometry of embeddings from Dual-Encoders with that from Cross-Encoders. Extensive experimental results show that our framework significantly improves Dual-Encoders model and outperforms the state-of-the-art method on multiple answer retrieval datasets., Comment: Findings of EMNLP 2021(10 pages)

The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model. We show that the model is able to reproduce very well both SPX and VIX implied volatilities. We typically obtain VIX option prices within the bid-ask spread and an excellent fit of the SPX at-the-money skew. Moreover, we also explain how to use the trained neural networks for hedging with instantaneous computation of hedging quantities.