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Generative models aim to simulate realistic effects of various actions across different contexts, from text generation to visual effects. Despite efforts to build real-world simulators, leveraging generative models for virtual worlds, like financial markets, remains underexplored. In financial markets, generative models can simulate market effects of various behaviors, enabling interaction with market scenes and players, and training strategies without financial risk. This simulation relies on the finest structured data in financial market like orders thus building the finest realistic simulation. We propose Large Market Model (LMM), an order-level generative foundation model, for financial market simulation, akin to language modeling in the digital world. Our financial Market Simulation engine (MarS), powered by LMM, addresses the need for realistic, interactive and controllable order generation. Key objectives of this paper include evaluating LMM's scaling law in financial markets, assessing MarS's realism, balancing controlled generation with market impact, and demonstrating MarS's potential applications. We showcase MarS as a forecast tool, detection system, analysis platform, and agent training environment. Our contributions include pioneering a generative model for financial markets, designing MarS to meet domain-specific needs, and demonstrating MarS-based applications' industry potential., Comment: 19 pages, 12 figures

Artificial Intelligence (AI) significantly influences many fields, largely thanks to the vast amounts of high-quality data for machine learning models. The emphasis is now on a data-centric AI strategy, prioritizing data development over model design progress. Automating this process is crucial. In this paper, we serve as the first work to introduce the automatic data-centric development (AD^2) task and outline its core challenges, which require domain-experts-like task scheduling and implementation capability, largely unexplored by previous work. By leveraging the strong complex problem-solving capabilities of large language models (LLMs), we propose an LLM-based autonomous agent, equipped with a strategy named Collaborative Knowledge-STudying-Enhanced Evolution by Retrieval (Co-STEER), to simultaneously address all the challenges. Specifically, our proposed Co-STEER agent enriches its domain knowledge through our proposed evolving strategy and develops both its scheduling and implementation skills by accumulating and retrieving domain-specific practical experience. With an improved schedule, the capability for implementation accelerates. Simultaneously, as implementation feedback becomes more thorough, the scheduling accuracy increases. These two capabilities evolve together through practical feedback, enabling a collaborative evolution process. Extensive experimental results demonstrate that our Co-STEER agent breaks new ground in AD^2 research, possesses strong evolvable schedule and implementation ability, and demonstrates the significant effectiveness of its components. Our Co-STEER paves the way for AD^2 advancements., Comment: 23 pages, 7 figures

The progress of humanity is driven by those successful discoveries accompanied by countless failed experiments. Researchers often seek the potential research directions by reading and then verifying them through experiments. The process imposes a significant burden on researchers. In the past decade, the data-driven black-box deep learning method has demonstrated its effectiveness in a wide range of real-world scenarios, which exacerbates the experimental burden of researchers and thus renders the potential successful discoveries veiled. Therefore, automating such a research and development (R&D) process is an urgent need. In this paper, we serve as the first effort to formalize the goal by proposing a Real-world Data-centric automatic R&D Benchmark, namely RD2Bench. RD2Bench benchmarks all the operations in data-centric automatic R&D (D-CARD) as a whole to navigate future work toward our goal directly. We focus on evaluating the interaction and synergistic effects of various model capabilities and aiding in selecting well-performing trustworthy models. Although RD2Bench is very challenging to the state-of-the-art (SOTA) large language model (LLM) named GPT-4, indicating ample research opportunities and more research efforts, LLMs possess promising potential to bring more significant development to D-CARD: They are able to implement some simple methods without adopting any additional techniques. We appeal to future work to take developing techniques for tackling automatic R&D into consideration, thus bringing the opportunities of the potential revolutionary upgrade to human productivity., Comment: 17 pages, 3 figures

Recently, diffusion probabilistic models have attracted attention in generative time series forecasting due to their remarkable capacity to generate high-fidelity samples. However, the effective utilization of their strong modeling ability in the probabilistic time series forecasting task remains an open question, partially due to the challenge of instability arising from their stochastic nature. To address this challenge, we introduce a novel Multi-Granularity Time Series Diffusion (MG-TSD) model, which achieves state-of-the-art predictive performance by leveraging the inherent granularity levels within the data as given targets at intermediate diffusion steps to guide the learning process of diffusion models. The way to construct the targets is motivated by the observation that the forward process of the diffusion model, which sequentially corrupts the data distribution to a standard normal distribution, intuitively aligns with the process of smoothing fine-grained data into a coarse-grained representation, both of which result in a gradual loss of fine distribution features. In the study, we derive a novel multi-granularity guidance diffusion loss function and propose a concise implementation method to effectively utilize coarse-grained data across various granularity levels. More importantly, our approach does not rely on additional external data, making it versatile and applicable across various domains. Extensive experiments conducted on real-world datasets demonstrate that our MG-TSD model outperforms existing time series prediction methods., Comment: International Conference on Learning Representations (ICLR) 2024

In the wake of relentless digital transformation, data-driven solutions are emerging as powerful tools to address multifarious industrial tasks such as forecasting, anomaly detection, planning, and even complex decision-making. Although data-centric R&D has been pivotal in harnessing these solutions, it often comes with significant costs in terms of human, computational, and time resources. This paper delves into the potential of large language models (LLMs) to expedite the evolution cycle of data-centric R&D. Assessing the foundational elements of data-centric R&D, including heterogeneous task-related data, multi-facet domain knowledge, and diverse computing-functional tools, we explore how well LLMs can understand domain-specific requirements, generate professional ideas, utilize domain-specific tools to conduct experiments, interpret results, and incorporate knowledge from past endeavors to tackle new challenges. We take quantitative investment research as a typical example of industrial data-centric R&D scenario and verified our proposed framework upon our full-stack open-sourced quantitative research platform Qlib and obtained promising results which shed light on our vision of automatic evolving of industrial data-centric R&D cycle., Comment: 29 pages, 11 figures

Order execution is a fundamental task in quantitative finance, aiming at finishing acquisition or liquidation for a number of trading orders of the specific assets. Recent advance in model-free reinforcement learning (RL) provides a data-driven solution to the order execution problem. However, the existing works always optimize execution for an individual order, overlooking the practice that multiple orders are specified to execute simultaneously, resulting in suboptimality and bias. In this paper, we first present a multi-agent RL (MARL) method for multi-order execution considering practical constraints. Specifically, we treat every agent as an individual operator to trade one specific order, while keeping communicating with each other and collaborating for maximizing the overall profits. Nevertheless, the existing MARL algorithms often incorporate communication among agents by exchanging only the information of their partial observations, which is inefficient in complicated financial market. To improve collaboration, we then propose a learnable multi-round communication protocol, for the agents communicating the intended actions with each other and refining accordingly. It is optimized through a novel action value attribution method which is provably consistent with the original learning objective yet more efficient. The experiments on the data from two real-world markets have illustrated superior performance with significantly better collaboration effectiveness achieved by our method., Comment: Accepted in KDD 2023; The website is at https://seqml.github.io/marl4fin

Off-Policy reinforcement learning has been a driving force for the state-of-the-art conversational AIs leading to more natural humanagent interactions and improving the user satisfaction for goal-oriented agents. However, in large-scale commercial settings, it is often challenging to balance between policy improvements and experience continuity on the broad spectrum of applications handled by such system. In the literature, off-policy evaluation and guard-railing on aggregate statistics has been commonly used to address this problem. In this paper, we propose a method for curating and leveraging high-precision samples sourced from historical regression incident reports to validate, safe-guard, and improve policies prior to the online deployment. We conducted extensive experiments using data from a real-world conversational system and actual regression incidents. The proposed method is currently deployed in our production system to protect customers against broken experiences and enable long-term policy improvements., Comment: Accepted at ACL 2023 Industry Track

It is challenging for reinforcement learning (RL) algorithms to succeed in real-world applications like financial trading and logistic system due to the noisy observation and environment shifting between training and evaluation. Thus, it requires both high sample efficiency and generalization for resolving real-world tasks. However, directly applying typical RL algorithms can lead to poor performance in such scenarios. Considering the great performance of ensemble methods on both accuracy and generalization in supervised learning (SL), we design a robust and applicable method named Ensemble Proximal Policy Optimization (EPPO), which learns ensemble policies in an end-to-end manner. Notably, EPPO combines each policy and the policy ensemble organically and optimizes both simultaneously. In addition, EPPO adopts a diversity enhancement regularization over the policy space which helps to generalize to unseen states and promotes exploration. We theoretically prove EPPO increases exploration efficacy, and through comprehensive experimental evaluations on various tasks, we demonstrate that EPPO achieves higher efficiency and is robust for real-world applications compared with vanilla policy optimization algorithms and other ensemble methods. Code and supplemental materials are available at https://seqml.github.io/eppo., Comment: Accepted in IJCAI 2022. The codes are available at https://seqml.github.io/eppo

In many real-world scenarios, we often deal with streaming data that is sequentially collected over time. Due to the non-stationary nature of the environment, the streaming data distribution may change in unpredictable ways, which is known as concept drift. To handle concept drift, previous methods first detect when/where the concept drift happens and then adapt models to fit the distribution of the latest data. However, there are still many cases that some underlying factors of environment evolution are predictable, making it possible to model the future concept drift trend of the streaming data, while such cases are not fully explored in previous work. In this paper, we propose a novel method DDG-DA, that can effectively forecast the evolution of data distribution and improve the performance of models. Specifically, we first train a predictor to estimate the future data distribution, then leverage it to generate training samples, and finally train models on the generated data. We conduct experiments on three real-world tasks (forecasting on stock price trend, electricity load and solar irradiance) and obtain significant improvement on multiple widely-used models., Comment: Accepted by AAAI'22

Learning the embeddings of knowledge graphs (KG) is vital in artificial intelligence, and can benefit various downstream applications, such as recommendation and question answering. In recent years, many research efforts have been proposed for knowledge graph embedding (KGE). However, most previous KGE methods ignore the semantic similarity between the related entities and entity-relation couples in different triples since they separately optimize each triple with the scoring function. To address this problem, we propose a simple yet efficient contrastive learning framework for tensor decomposition based (TDB) KGE, which can shorten the semantic distance of the related entities and entity-relation couples in different triples and thus improve the performance of KGE. We evaluate our proposed method on three standard KGE datasets: WN18RR, FB15k-237 and YAGO3-10. Our method can yield some new state-of-the-art results, achieving 51.2% MRR, 46.8% Hits@1 on the WN18RR dataset, 37.8% MRR, 28.6% Hits@1 on FB15k-237 dataset, and 59.1% MRR, 51.8% Hits@1 on the YAGO3-10 dataset.

The multivariate time series forecasting has attracted more and more attention because of its vital role in different fields in the real world, such as finance, traffic, and weather. In recent years, many research efforts have been proposed for forecasting multivariate time series. Although some previous work considers the interdependencies among different variables in the same timestamp, existing work overlooks the inter-connections between different variables at different time stamps. In this paper, we propose a simple yet efficient instance-wise graph-based framework to utilize the inter-dependencies of different variables at different time stamps for multivariate time series forecasting. The key idea of our framework is aggregating information from the historical time series of different variables to the current time series that we need to forecast. We conduct experiments on the Traffic, Electricity, and Exchange-Rate multivariate time series datasets. The results show that our proposed model outperforms the state-of-the-art baseline methods.

Model complexity is a fundamental problem in deep learning. In this paper we conduct a systematic overview of the latest studies on model complexity in deep learning. Model complexity of deep learning can be categorized into expressive capacity and effective model complexity. We review the existing studies on those two categories along four important factors, including model framework, model size, optimization process and data complexity. We also discuss the applications of deep learning model complexity including understanding model generalization, model optimization, and model selection and design. We conclude by proposing several interesting future directions.

Stock trend forecasting has become a popular research direction that attracts widespread attention in the financial field. Though deep learning methods have achieved promising results, there are still many limitations, for example, how to extract clean features from the raw stock data. In this paper, we introduce an \emph{Augmented Disentanglement Distillation (ADD)} approach to remove interferential features from the noised raw data. Specifically, we present 1) a disentanglement structure to separate excess and market information from the stock data to avoid the two factors disturbing each other's own prediction. Besides, by applying 2) a dynamic self-distillation method over the disentanglement framework, other implicit interference factors can also be removed. Further, thanks to the decoder module in our framework, 3) a novel strategy is proposed to augment the training samples based on the different excess and market features to improve performance. We conduct experiments on the Chinese stock market data. Results show that our method significantly improves the stock trend forecasting performances, as well as the actual investment income through backtesting, which strongly demonstrates the effectiveness of our approach.