Search

Generating synthetic financial time series data that accurately reflects real-world market dynamics holds tremendous potential for various applications, including portfolio optimization, risk management, and large scale machine learning. We present an approach for training generative models for financial time series using the maximum mean discrepancy (MMD) with a signature kernel. Our method leverages the expressive power of the signature transform to capture the complex dependencies and temporal structures inherent in financial data. We employ a moving average model to model the variance of the noise input, enhancing the model's ability to reproduce stylized facts such as volatility clustering. Through empirical experiments on S&P 500 index data, we demonstrate that our model effectively captures key characteristics of financial time series and outperforms a comparable GAN-based approach. In addition, we explore the application of the synthetic data generated to train a reinforcement learning agent for portfolio management, achieving promising results. Finally, we propose a method to add robustness to the generative model by tweaking the noise input so that the generated sequences can be adjusted to different market environments with minimal data.

Recent advances in mobile mapping systems have greatly enhanced the efficiency and convenience of acquiring urban 3D data. These systems utilize LiDAR sensors mounted on vehicles to capture vast cityscapes. However, a significant challenge arises due to occlusions caused by roadside parked vehicles, leading to the loss of scene information, particularly on the roads, sidewalks, curbs, and the lower sections of buildings. In this study, we present a novel approach that leverages deep neural networks to learn a model capable of filling gaps in urban scenes that are obscured by vehicle occlusion. We have developed an innovative technique where we place virtual vehicle models along road boundaries in the gap-free scene and utilize a ray-casting algorithm to create a new scene with occluded gaps. This allows us to generate diverse and realistic urban point cloud scenes with and without vehicle occlusion, surpassing the limitations of real-world training data collection and annotation. Furthermore, we introduce the Scene Gap Completion Network (SGC-Net), an end-to-end model that can generate well-defined shape boundaries and smooth surfaces within occluded gaps. The experiment results reveal that 97.66% of the filled points fall within a range of 5 centimeters relative to the high-density ground truth point cloud scene. These findings underscore the efficacy of our proposed model in gap completion and reconstructing urban scenes affected by vehicle occlusions.

In this paper we propose a novel $Q$-learning algorithm allowing to solve distributionally robust Markov decision problems for which the ambiguity set of probability measures can be chosen arbitrarily as long as it comprises only a finite amount of measures. Therefore, our approach goes beyond the well-studied cases involving ambiguity sets of balls around some reference measure with the distance to reference measure being measured with respect to the Wasserstein distance or the Kullback--Leibler divergence. Hence, our approach allows the applicant to create ambiguity sets better tailored to her needs and to solve the associated robust Markov decision problem via a $Q$-learning algorithm whose convergence is guaranteed by our main result. Moreover, we showcase in several numerical experiments the tractability of our approach.

Cooperative perception via communication among intelligent traffic agents has great potential to improve the safety of autonomous driving. However, limited communication bandwidth, localization errors and asynchronized capturing time of sensor data, all introduce difficulties to the data fusion of different agents. To some extend, previous works have attempted to reduce the shared data size, mitigate the spatial feature misalignment caused by localization errors and communication delay. However, none of them have considered the asynchronized sensor ticking times, which can lead to dynamic object misplacement of more than one meter during data fusion. In this work, we propose Time-Aligned COoperative Object Detection (TA-COOD), for which we adapt widely used dataset OPV2V and DairV2X with considering asynchronous LiDAR sensor ticking times and build an efficient fully sparse framework with modeling the temporal information of individual objects with query-based techniques. The experiment results confirmed the superior efficiency of our fully sparse framework compared to the state-of-the-art dense models. More importantly, they show that the point-wise observation timestamps of the dynamic objects are crucial for accurate modeling the object temporal context and the predictability of their time-related locations. The official code is available at \url{https://github.com/YuanYunshuang/CoSense3D}.

This paper proposes a voxel-based approach for creating a digital twin of an urban environment that is capable of efficiently managing smart spaces. The paper explains the registration and localization procedure of the point cloud dataset, which uses the KISS ICP for scan point cloud combination and the RANSAC method for the initial alignment of the combined point cloud. The mobile mapping point cloud using Riegl VMX-250 serves as the reference map, and Velodyne scans are used for localization purposes. The point-to-plane iterative closest-point method is then employed to refine the alignment. The paper evaluates the efficacy of the proposed method by calculating the errors between the estimated and ground truth positions. The results indicate that the voxel-based approach is capable of accurately estimating the position of the sensor platform, which are applicable for various use cases. A specific use case in the context is smart parking space management, which is described and initial visualization results are shown.

Collective Perception has attracted significant attention in recent years due to its advantage for mitigating occlusion and expanding the field-of-view, thereby enhancing reliability, efficiency, and, most crucially, decision-making safety. However, developing collective perception models is highly resource demanding due to extensive requirements of processing input data for many agents, usually dozens of images and point clouds for a single frame. This not only slows down the model development process for collective perception but also impedes the utilization of larger models. In this paper, we propose an agent-based training framework that handles the deep learning modules and agent data separately to have a cleaner data flow structure. This framework not only provides an API for flexibly prototyping the data processing pipeline and defining the gradient calculation for each agent, but also provides the user interface for interactive training, testing and data visualization. Training experiment results of four collective object detection models on the prominent collective perception benchmark OPV2V show that the agent-based training can significantly reduce the GPU memory consumption and training time while retaining inference performance. The framework and model implementations are available at \url{https://github.com/YuanYunshuang/CoSense3D}

In this article we present a general framework for non-concave distributionally robust stochastic control problems in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent ambiguity sets of probability measures comprising, as a natural example, the ambiguity set defined via Wasserstein-balls around path-dependent reference measures, as well as parametric classes of probability distributions. We establish a dynamic programming principle which allows to derive both optimal control and worst-case measure by solving recursively a sequence of one-step optimization problems. As a concrete application, we study the robust hedging problem of a financial derivative under an asymmetric (and non-convex) loss function accounting for different preferences of sell- and buy side when it comes to the hedging of financial derivatives. As our entirely data-driven ambiguity set of probability measures, we consider Wasserstein-balls around the empirical measure derived from real financial data. We demonstrate that during adverse scenarios such as a financial crisis, our robust approach outperforms typical model-based hedging strategies such as the classical Delta-hedging strategy as well as the hedging strategy obtained in the non-robust setting with respect to the empirical measure and therefore overcomes the problem of model misspecification in such critical periods.

We propose a new deep learning approach for the quantification of name concentration risk in loan portfolios. Our approach is tailored for small portfolios and allows for both an actuarial as well as a mark-to-market definition of loss. The training of our neural network relies on Monte Carlo simulations with importance sampling which we explicitly formulate for the CreditRisk${+}$ and the ratings-based CreditMetrics model. Numerical results based on simulated as well as real data demonstrate the accuracy of our new approach and its superior performance compared to existing analytical methods for assessing name concentration risk in small and concentrated portfolios.

In this study, we address the challenge of constructing continuous three-dimensional (3D) models that accurately represent uncertain surfaces, derived from noisy and incomplete LiDAR scanning data. Building upon our prior work, which utilized the Gaussian Process (GP) and Gaussian Mixture Model (GMM) for structured building models, we introduce a more generalized approach tailored for complex surfaces in urban scenes, where GMM Regression and GP with derivative observations are applied. A Hierarchical GMM (HGMM) is employed to optimize the number of GMM components and speed up the GMM training. With the prior map obtained from HGMM, GP inference is followed for the refinement of the final map. Our approach models the implicit surface of the geo-object and enables the inference of the regions that are not completely covered by measurements. The integration of GMM and GP yields well-calibrated uncertainties alongside the surface model, enhancing both accuracy and reliability. The proposed method is evaluated on real data collected by a mobile mapping system. Compared to the performance in mapping accuracy and uncertainty quantification of other state-of-the-art methods, the proposed method achieves lower RMSEs, higher log-likelihood values and lower computational costs for the evaluated datasets., Comment: This work has been accepted by the IEEE RA-L

In autonomous driving tasks, trajectory prediction in complex traffic environments requires adherence to real-world context conditions and behavior multimodalities. Existing methods predominantly rely on prior assumptions or generative models trained on curated data to learn road agents' stochastic behavior bounded by scene constraints. However, they often face mode averaging issues due to data imbalance and simplistic priors, and could even suffer from mode collapse due to unstable training and single ground truth supervision. These issues lead the existing methods to a loss of predictive diversity and adherence to the scene constraints. To address these challenges, we introduce a novel trajectory generator named Controllable Diffusion Trajectory (CDT), which integrates map information and social interactions into a Transformer-based conditional denoising diffusion model to guide the prediction of future trajectories. To ensure multimodality, we incorporate behavioral tokens to direct the trajectory's modes, such as going straight, turning right or left. Moreover, we incorporate the predicted endpoints as an alternative behavioral token into the CDT model to facilitate the prediction of accurate trajectories. Extensive experiments on the Argoverse 2 benchmark demonstrate that CDT excels in generating diverse and scene-compliant trajectories in complex urban settings.

Intellectual Property (IP) theft is a cause of major financial and reputational damage, reportedly in the range of hundreds of billions of dollars annually in the U.S. alone. Field Programmable Gate Arrays (FPGAs) are particularly exposed to IP theft, because their configuration file contains the IP in a proprietary format that can be mapped to a gate-level netlist with moderate effort. Despite this threat, the scientific understanding of this issue lacks behind reality, thereby preventing an in-depth assessment of IP theft from FPGAs in academia. We address this discrepancy through a real-world case study on a Lattice iCE40 FPGA found inside iPhone 7. Apple refers to this FPGA as Maggie. By reverse engineering the proprietary signal-processing algorithm implemented on Maggie, we generate novel insights into the actual efforts required to commit FPGA IP theft and the challenges an attacker faces on the way. Informed by our case study, we then introduce generalized netlist reverse engineering techniques that drastically reduce the required manual effort and are applicable across a diverse spectrum of FPGA implementations and architectures. We evaluate these techniques on six benchmarks that are representative of different FPGA applications and have been synthesized for Xilinx and Lattice FPGAs, as well as in an end-to-end white-box case study. Finally, we provide a comprehensive open-source tool suite of netlist reverse engineering techniques to foster future research, enable the community to perform realistic threat assessments, and facilitate the evaluation of novel countermeasures., Comment: Extended version of ACM CCS'24 paper including appendices

In a seminal paper, Viana built examples of maps presenting two positive Lyapunov exponents exploring skew-products of a (uniformly) expanding map and a quadratic map (order 2 critical point) perturbed by some level of noise. Here we extend that construction replacing the quadratic underlying dynamics by maps with a more degenerated critical point.

Sovereign loan portfolios of Multilateral Development Banks (MDBs) typically consist of only a small number of borrowers and hence are heavily exposed to single name concentration risk. Based on realistic MDB portfolios constructed from publicly available data, this paper quantifies the magnitude of the exposure to name concentration risk using exact Monte Carlo simulations. In comparing the exact adjustment for name concentration risk to its analytic approximation as currently applied by the major rating agency Standard & Poor's, we further investigate whether current capital adequacy frameworks for MDBs are overly conservative. Finally, we discuss the choice of appropriate model parameters and their impact on measures of name concentration risk.

In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Markov decision problem, where the ambiguity set of probability kernels of the distributionally robust Markov decision process is described by a Wasserstein-ball around some reference kernel whereas the non-robust Markov decision process behaves according to a fixed probability kernel contained in the ambiguity set. Our derived upper bound for the difference between the value functions is dimension-free and depends linearly on the radius of the Wasserstein-ball.

We study the influence of additional intermediate marginal distributions on the value of the martingale optimal transport problem. From a financial point of view, this corresponds to taking into account call option prices not only, as usual, for those call options where the respective future maturities coincide with the maturities of some exotic derivative but also additional maturities and then to study the effect on model-independent price bounds for the exotic derivative. We characterize market settings, i.e., combinations of the payoff of exotic derivatives, call option prices and marginal distributions that guarantee improved price bounds as well as those market settings that exclude any improvement. Eventually, we showcase in numerous examples that the consideration of additional price information on vanilla options may have a considerable impact on the resultant model-independent price bounds.

In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Due to the use of neural networks, our method can be applied to financial markets with a high number of traded securities and ensures almost immediate execution of the corresponding trading strategies. To demonstrate its tractability, effectiveness, and robustness we provide examples using real financial data. From a technical point of view, we prove that a single neural network can approximately solve a class of convex semi-infinite programs, which is the key result in order to derive our theoretical results that neural networks can detect model-free static arbitrage strategies whenever the financial market admits such opportunities.

A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb\"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.

Trajectory prediction for autonomous driving must continuously reason the motion stochasticity of road agents and comply with scene constraints. Existing methods typically rely on one-stage trajectory prediction models, which condition future trajectories on observed trajectories combined with fused scene information. However, they often struggle with complex scene constraints, such as those encountered at intersections. To this end, we present a novel method, called LAformer. It uses a temporally dense lane-aware estimation module to select only the top highly potential lane segments in an HD map, which effectively and continuously aligns motion dynamics with scene information, reducing the representation requirements for the subsequent attention-based decoder by filtering out irrelevant lane segments. Additionally, unlike one-stage prediction models, LAformer utilizes predictions from the first stage as anchor trajectories and adds a second-stage motion refinement module to further explore temporal consistency across the complete time horizon. Extensive experiments on Argoverse 1 and nuScenes demonstrate that LAformer achieves excellent performance for multimodal trajectory prediction.

Predicting trajectories of pedestrians based on goal information in highly interactive scenes is a crucial step toward Intelligent Transportation Systems and Autonomous Driving. The challenges of this task come from two key sources: (1) complex social interactions in high pedestrian density scenarios and (2) limited utilization of goal information to effectively associate with past motion information. To address these difficulties, we integrate social forces into a Transformer-based stochastic generative model backbone and propose a new goal-based trajectory predictor called ForceFormer. Differentiating from most prior works that simply use the destination position as an input feature, we leverage the driving force from the destination to efficiently simulate the guidance of a target on a pedestrian. Additionally, repulsive forces are used as another input feature to describe the avoidance action among neighboring pedestrians. Extensive experiments show that our proposed method achieves on-par performance measured by distance errors with the state-of-the-art models but evidently decreases collisions, especially in dense pedestrian scenarios on widely used pedestrian datasets.

Safety is critical for autonomous driving, and one aspect of improving safety is to accurately capture the uncertainties of the perception system, especially knowing the unknown. Different from only providing deterministic or probabilistic results, e.g., probabilistic object detection, that only provide partial information for the perception scenario, we propose a complete probabilistic model named GevBEV. It interprets the 2D driving space as a probabilistic Bird's Eye View (BEV) map with point-based spatial Gaussian distributions, from which one can draw evidence as the parameters for the categorical Dirichlet distribution of any new sample point in the continuous driving space. The experimental results show that GevBEV not only provides more reliable uncertainty quantification but also outperforms the previous works on the benchmarks OPV2V and V2V4Real of BEV map interpretation for cooperative perception in simulated and real-world driving scenarios, respectively. A critical factor in cooperative perception is the data transmission size through the communication channels. GevBEV helps reduce communication overhead by selecting only the most important information to share from the learned uncertainty, reducing the average information communicated by 87% with only a slight performance drop. Our code is published at https://github.com/YuanYunshuang/GevBEV.

Mapping with uncertainty representation is required in many research domains, especially for localization. Although there are many investigations regarding the uncertainty of the pose estimation of an ego-robot with map information, the quality of the reference maps is often neglected. To avoid potential problems caused by the errors of maps and a lack of uncertainty quantification, an adequate uncertainty measure for the maps is required. In this letter, uncertain building models with abstract map surfaces using Gaussian Processes (GPs) are proposed to describe the map uncertainty in a probabilistic way. To reduce the redundant computation for simple planar objects, extracted facets from a Gaussian Mixture Model (GMM) are combined with an implicit GP map, also employing local GP-block techniques. The proposed method is evaluated on LiDAR point clouds of city buildings collected by a mobile mapping system. Compared to the performance of other methods such as OctoMap, GP Occupancy Map (GPOM), Bayesian Generalized Kernel OctoMap (BGKOctoMap), Local automatic relevance determination Hilbert map (LARD-HM) and Gaussian Implicit Surface map (GPIS), our method achieves a higher Precision-Recall AUC for the evaluated buildings.

We present a novel $Q$-learning algorithm tailored to solve distributionally robust Markov decision problems where the corresponding ambiguity set of transition probabilities for the underlying Markov decision process is a Wasserstein ball around a (possibly estimated) reference measure. We prove convergence of the presented algorithm and provide several examples also using real data to illustrate both the tractability of our algorithm as well as the benefits of considering distributional robustness when solving stochastic optimal control problems, in particular when the estimated distributions turn out to be misspecified in practice.

Trajectory prediction has been a long-standing problem in intelligent systems like autonomous driving and robot navigation. Models trained on large-scale benchmarks have made significant progress in improving prediction accuracy. However, the importance on efficiency for real-time applications has been less emphasized. This paper proposes an attention-based graph model, named GATraj, which achieves a good balance of prediction accuracy and inference speed. We use attention mechanisms to model the spatial-temporal dynamics of agents, such as pedestrians or vehicles, and a graph convolutional network to model their interactions. Additionally, a Laplacian mixture decoder is implemented to mitigate mode collapse and generate diverse multimodal predictions for each agent. GATraj achieves state-of-the-art prediction performance at a much higher speed when tested on the ETH/UCY datasets for pedestrian trajectories, and good performance at about 100 Hz inference speed when tested on the nuScenes dataset for autonomous driving. We conduct extensive experiments to analyze the probability estimation of the Laplacian mixture decoder and compare it with a Gaussian mixture decoder for predicting different multimodalities. Furthermore, comprehensive ablation studies demonstrate the effectiveness of each proposed module in GATraj. The code is released at https://github.com/mengmengliu1998/GATraj.

We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local, i.e., a one time-step robust optimization problem leads to an optimizer of the global (i.e. infinite time-steps) robust stochastic optimal control problem, as well as to a corresponding worst-case measure. Moreover, we apply this framework to portfolio optimization involving data of the S&P 500. We present two different types of ambiguity sets; one is fully data-driven given by a Wasserstein-ball around the empirical measure, the second one is described by a parametric set of multivariate normal distributions, where the corresponding uncertainty sets of the parameters are estimated from the data. It turns out that in scenarios where the market is volatile or bearish, the optimal portfolio strategies from the corresponding robust optimization problem outperforms the ones without model uncertainty, showcasing the importance of taking model uncertainty into account.

High-accurate localization is crucial for the safety and reliability of autonomous driving, especially for the information fusion of collective perception that aims to further improve road safety by sharing information in a communication network of ConnectedAutonomous Vehicles (CAV). In this scenario, small localization errors can impose additional difficulty on fusing the information from different CAVs. In this paper, we propose a RANSAC-based (RANdom SAmple Consensus) method to correct the relative localization errors between two CAVs in order to ease the information fusion among the CAVs. Different from previous LiDAR-based localization algorithms that only take the static environmental information into consideration, this method also leverages the dynamic objects for localization thanks to the real-time data sharing between CAVs. Specifically, in addition to the static objects like poles, fences, and facades, the object centers of the detected dynamic vehicles are also used as keypoints for the matching of two point sets. The experiments on the synthetic dataset COMAP show that the proposed method can greatly decrease the relative localization error between two CAVs to less than 20cmas far as there are enough vehicles and poles are correctly detected by bothCAVs. Besides, our proposed method is also highly efficient in runtime and can be used in real-time scenarios of autonomous driving., Comment: ISPRS congress 2022

The shared space design is applied in urban streets to support barrier-free movement and integrate traffic participants (such as pedestrians, cyclists and vehicles) into a common road space. Regardless of the low-speed environment, sharing space with motor vehicles can make vulnerable road users feel uneasy. Yet, walking in groups increases their confidence as well as influence the yielding behavior of drivers. Therefore, we propose an innovative approach to support the crossing of pedestrians via grouping and project the virtual lanes in shared spaces. This paper presents the important components of the crowd steering system, discusses the enablers and gaps in the current approach, and illustrates the proposed idea with concept diagrams.

We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation information or we derive restrictions on the set of admissible copulas that capture the inter-asset dependencies. To compute the resultant price bounds for some multi-asset options of interest, we apply a modified martingale optimal transport approach. Several examples based on simulated and real market data illustrate the improvement of the obtained price bounds and thus provide evidence for the relevance and tractability of our approach.

To compare alternative taxi schedules and to compute them, as well as to provide insights into an upcoming taxi trip to drivers and passengers, the duration of a trip or its Estimated Time of Arrival (ETA) is predicted. To reach a high prediction precision, machine learning models for ETA are state of the art. One yet unexploited option to further increase prediction precision is to combine multiple ETA models into an ensemble. While an increase of prediction precision is likely, the main drawback is that the predictions made by such an ensemble become less transparent due to the sophisticated ensemble architecture. One option to remedy this drawback is to apply eXplainable Artificial Intelligence (XAI). The contribution of this paper is three-fold. First, we combine multiple machine learning models from our previous work for ETA into a two-level ensemble model - a stacked ensemble model - which on its own is novel; therefore, we can outperform previous state-of-the-art static route-free ETA approaches. Second, we apply existing XAI methods to explain the first- and second-level models of the ensemble. Third, we propose three joining methods for combining the first-level explanations with the second-level ones. Those joining methods enable us to explain stacked ensembles for regression tasks. An experimental evaluation shows that the ETA models correctly learned the importance of those input features driving the prediction.

We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable profitable trading under model ambiguity. The presented novel methodology allows to consider a large amount of underlying securities simultaneously and does not depend on the identification of cointegrated pairs of assets, hence it is applicable on high-dimensional financial markets or in markets where classical pairs trading approaches fail. Moreover, we provide a method to build an ambiguity set of admissible probability measures that can be derived from observed market data. Thus, the approach can be considered as being model-free and entirely data-driven. We showcase the applicability of our method by providing empirical investigations with highly profitable trading performances even in 50 dimensions, during financial crises, and when the cointegration relationship between asset pairs stops to persist.