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A structural VAR and VECM modeling method for open-high-low-close data contained in candlestick chart

Financial Innovation 2024年第1期10卷 2017-2045页

作者： Wenyang Huang Huiwen Wang Shanshan Wang College of Economics and Management China Agricultural UniversityBeijingChina School of Economics and Management Beihang UniversityBeijingChina Key Laboratory of Complex System Analysis Management and Decision(Beihang University)Ministry of EducationBeijingChina Beijing Advanced Innovation Center for Big Data and Brain Computing BeijingChina

The structural modeling of open-high-low-close(OHLC)data contained within the candlestick chart is crucial to financial ***,the inherent constraints in OHLC data pose immense challenges to its structural *** that fail to process these constraints may yield results deviating from those of the original OHLC data *** address this issue,a novel unconstrained transformation method,along with its explicit inverse transformation,is proposed to properly handle the inherent constraints of OHLC data.A flexible and effective framework for structurally modeling OHLC data is designed,and the detailed procedure for modeling OHLC data through the vector autoregression and vector error correction model are provided as an example of multivariate time-series *** simulations and three authentic financial datasets from the Kweichow Moutai,CSI 100 index,and 50 ETF of the Chinese stock market demonstrate the effectiveness and stability of the proposed modeling *** modeling results of support vector regression provide further evidence that the proposed unconstrained transformation not only ensures structural forecasting of OHLC data but also is an effective feature-extraction method that can effectively improve the forecasting accuracy of machine-learning models for close prices.

关键词： OHLC data Structural modeling Unconstrained transformation Candlestick chart VAR VECM

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Towards Exploratory Query Optimization for Template-Based SQL Workloads 40

Towards Exploratory Query Optimization for Template-Based SQ...

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40th IEEE International Conference on data Engineering, ICDE 2024

作者： Feng, Jieming Li, Zhanhuai Chen, Qun School of Computer Science and Engineering Northwestern Polytechnical University Shaanxi Xi'an China Key Laboratory of Big Data Storage and Management Ministry of Industry and Information Technology Northwestern Polytechnical University Shaanxi Xi'an China

ISBN: (纸本)9798350317152

SQL query optimization aims to choose an optimal Query Execution Plan (QEP) for a query. The existing optimizers usually choose the plan with the minimal execution cost. However, in some real scenarios (e.g., cloud OLAP), it is a business imperative to minimize the cost of an entire workload. Unfortunately, the greedy optimizers are prone to generating execution plans that are only suboptimal from the workload perspective. In this paper, we propose a novel QEP optimization approach for template-based SQL that aims to minimize the execution cost of an entire workload instead of individual queries. While choosing an execution plan for a query, the proposed approach considers a plan's impact on future query execution as well as its own execution cost. We first define an exploratory metric, Plan Exploration Value (PEV), to measure a plan's potential benefit to future query execution. Then, we model exploratory plan selection as an optimization problem with cost constraints, and present an efficient algorithm based on dynamic programming for its solution. Finally, we evaluate the performance of the proposed approach by a comparative study on benchmark workloads. Our extensive experiments have shown that it generates more efficient workload execution plans than the existing alternatives. © 2024 IEEE.

关键词： Dynamic programming

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Concept-cognitive computing system for dynamic classification

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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2022年第1期301卷 287-299页

作者： Mi, Yunlong Quan, Pei Shi, Yong Wang, Zongrun Cent South Univ Sch Business Changsha 410083 Peoples R China Univ Chinese Acad Sci Sch Econ & Management Beijing 100190 Peoples R China Chinese Acad Sci Key Lab Big Data Min & Knowledge Management Beijing 100190 Peoples R China

In the context of big data, organizations and individuals can often benefit from the data mining techniques, such as classification. However, decision-makers must quickly react to insights over time under dynamic environments. In this paper, we present a novel perspective, named concept-cognitive computing system (C3S or ConceptCS), to achieve dynamic classification learning over the partially labeled data and labeled data. More specifically, to store and consolidate knowledge, a concept falling space is first employed as a basic knowledge memory mechanism in C3S. Then, we design a new concept-cognitive process by means of simulating human learning processes, which can incorporate new information into the old knowledge. Finally, a strategy of constructing two different concept spaces is considered in our system when faced with the scenario of a partially labeled dynamic data. Although there exist significant differences between C3S and the conventional incremental learning methods in the learning paradigm, our proposed C3S still performs strong performance for dynamic classification in comparison with several state-of-the-art incremental learning approaches. In addition, the experiments on various datasets have demonstrated that our system can obtain a good performance on the partially labeled data and labeled data simultaneously in dynamic environments. (c) 2021 Elsevier B.V. All rights reserved.

关键词： knowledge-based systems Decision support systems Dynamic classification Granular computing Incremental learning

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Less Is More: Token Context-Aware Learning for Object Tracking 39

Less Is More: Token Context-Aware Learning for Object Tracki...

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39th Annual AAAI Conference on Artificial Intelligence, AAAI 2025

作者： Xu, Chenlong Zhong, Bineng Liang, Qihua Zheng, Yaozong Li, Guorong Song, Shuxiang Key Laboratory of Education Blockchain and Intelligent Technology Ministry of Education Guangxi Normal University Guilin541004 China Key Laboratory of Big Data Mining and Knowledge Management University of Chinese Academy of Sciences China

ISBN: (纸本)157735897X

Recently, several studies have shown that utilizing contextual information to perceive target states is crucial for object tracking. They typically capture context by incorporating multiple video frames. However, these naive frame-context methods fail to consider the importance of each patch within a reference frame, making them susceptible to noise and redundant tokens, which deteriorates tracking performance. To address this challenge, we propose a new token context-aware tracking pipeline named LMTrack, designed to automatically learn high-quality reference tokens for efficient visual tracking. Embracing the principle of Less is More, the core idea of LMTrack is to analyze the importance distribution of all reference tokens, where important tokens are collected, continually attended to, and updated. Specifically, a novel Token Context Memory module is designed to dynamically collect high-quality spatio-temporal information of a target in an autoregressive manner, eliminating redundant background tokens from the reference frames. Furthermore, an effective Unidirectional Token Attention mechanism is designed to establish dependencies between reference tokens and search frame, enabling robust cross-frame association and target localization. Extensive experiments demonstrate the superiority of our tracker, achieving state-of-the-art results on tracking benchmarks such as GOT-10K, TrackingNet, and LaSOT. Copyright © 2025, Association for the Advancement of Artificial Intelligence (***). All rights reserved.

关键词： Aircraft detection

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Enhancing Parameter-efficient Fine-tuning with Simple Calibration based on Stable Rank 30

Enhancing Parameter-efficient Fine-tuning with Simple Calibr...

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Joint 30th International Conference on Computational Linguistics and 14th International Conference on Language Resources and Evaluation, LREC-COLING 2024

作者： Liu, Peiyu Gao, Ze-Feng Zhang, Xiao Zhao, Wayne Xin Wen, Ji-Rong Gaoling School of Artificial Intelligence Renmin University of China China Beijing Key Laboratory of Big Data Management and Analysis Methods China Department of Physics China School of Information Renmin University of China China

ISBN: (纸本)9782493814104

Lightweight fine-tuning is widely used as an important technique for efficiently adapting pre-trained language models (PLM) to downstream tasks. Despite the reduction in trainable parameters, existing lightweight fine-tuning methods are found to be effective in low-resource settings but often fail in high-resource settings, leading to unreliable outcomes. This limitation can be attributed to inflexible strategies: they identify the parameters of the model to be trained before fine-tuning and remain unchanged without taking into account the inherent variance of generalization ability in model components (i.e., feed-forward, attention layers) and potential changes during the fine-tuning process. In this paper, we introduce a simple but effective calibration for lightweight fine-tuning PLMs based on the matrix's stable rank according to both model components and the training process. We proposed both theoretical analyses and experimental verification for the proposed calibration strategy. Considering efficiency, we further propose time-aware and structure-aware strategies to determine the most crucial time to commence the fine-tuning procedure and selectively apply parameter matrices for lightweight fine-tuning, respectively. Extensive experiments demonstrate the superiority of our proposed fine-tuning approach (average improvement 3.1 for GLUE score compared to lightweight fine-tuning method). © 2024 ELRA Language Resource Association: CC BY-NC 4.0.

关键词： Calibration

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Information content and sentiment: the role of environmental disclosure in stock price crash risk

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INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 2025年 104卷

作者： Long, Wen Ma, Ruiqi Guo, Man Univ Chinese Acad Sci Sch Econ & Management Beijing 100190 Peoples R China Univ Chinese Acad Sci Sino Danish Coll Beijing 100190 Peoples R China Chinese Acad Sci Res Ctr Fictitious Econ & Data Sci Beijing 100190 Peoples R China Chinese Acad Sci Key Lab Big Data Min & Knowledge Management Beijing 100190 Peoples R China

Environmental disclosure is a topic of global importance. When negative environmental news emerges and is eventually revealed, it can influence investor decisions and lead to significant stock price movements, potentially resulting in stock price crashes. Therefore, using a sample of A-share listed companies on the Shanghai and Shenzhen Stock Exchanges from 2017 to 2022, we construct an environmental sentiment dictionary, establish an environmental disclosure content index system, and explore the influence mechanism of environmental disclosure on stock price crash risk. Findings show that increased environmental disclosure sentiment intensity can boost stock price crash risk, whereas greater environmental disclosure content can significantly reduce it. Furthermore, we identify a significant threshold effect related to the sentiment intensity of environmental disclosure. Notably, in environmental disclosure, sentiment tends to have a stronger impact than content. Mechanism analysis reveals that environmental disclosure content is influenced by external disclosure sources, the tone of internal annual reports, and internal control mechanisms. Meanwhile, environmental disclosure sentiment intensity is driven by earnings management and investor risk perception. This study develops a more comprehensive method for measuring environmental information disclosure and offers important insights for improving environmental management among listed companies.

关键词： Environmental information disclosure Stock price crash risk Sentiment analysis

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Less is More: Token Context-aware Learning for Object Tracking

arXiv

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arXiv 2025年

Recently, several studies have shown that utilizing contextual information to perceive target states is crucial for object tracking. They typically capture context by incorporating multiple video frames. However, these naive frame-context methods fail to consider the importance of each patch within a reference frame, making them susceptible to noise and redundant tokens, which deteriorates tracking performance. To address this challenge, we propose a new token context-aware tracking pipeline named LMTrack, designed to automatically learn high-quality reference tokens for efficient visual tracking. Embracing the principle of Less is More, the core idea of LMTrack is to analyze the importance distribution of all reference tokens, where important tokens are collected, continually attended to, and updated. Specifically, a novel Token Context Memory module is designed to dynamically collect high-quality spatio-temporal information of a target in an autoregressive manner, eliminating redundant background tokens from the reference frames. Furthermore, an effective Unidirectional Token Attention mechanism is designed to establish dependencies between reference tokens and search frame, enabling robust cross-frame association and target localization. Extensive experiments demonstrate the superiority of our tracker, achieving state-of-the-art results on tracking benchmarks such as GOT-10K, TrackingNet, and LaSOT. Code and models are available at https://***/XuChenLong/LMTrack. Copyright © 2025, The Authors. All rights reserved.

关键词： Object detection

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Robust Stochastic Facility Location: Sensitivity Analysis and Exact Solution

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INFORMS JOURNAL ON COMPUTING 2022年第5期34卷 2776-2803页

作者： Liu, Tianqi Saldanha-da-Gama, Francisco Wang, Shuming Mao, Yuchen Univ Chinese Acad Sci Sch Econ & Management Beijing 100190 Peoples R China Univ Lisbon Dept Stat & Operat Res P-1649004 Lisbon Portugal Chinese Acad Sci Key Lab Big Data Min & Knowledge Management Beijing 100049 Peoples R China

This work focuses on a broad class of facility location problems in the context of adaptive robust stochastic optimization under the state-dependent demand uncertainty. The demand is assumed to be significantly affected by related state information, such as the seasonal or socio-economic information. In particular, a state-wise ambiguity set is adopted for modeling the distributional uncertainty associated with the demand in different states. The conditional distributional characteristics in each state are described by a support, as well as by mean and dispersion measures, which are assumed to be conic representable. A robust sensitivity analysis is performed, in which, on the one hand, we analyze the impact of the change in ambiguity-set parameters (e.g., state probabilities, mean value abounds, and dispersion bounds in different states) onto the optimal worst-case expected total cost using the ambiguity dual variables. On the other hand, we analyze the impact of the change in location design onto the worst-case expected second-stage cost and show that the sensitivity bounds are fully described as the worst-case expected shadow-capacity cost. As for the solution approach, we propose a nested Benders decomposition algorithm for solving the model exactly, which leverages the subgradients of the worst-case expected second-stage cost at the location decisions formed insightfully by the associated worst-case distributions. The nested Benders decomposition approach ensures a finite-step convergence, which can also be regarded as an extension of the classic L-shaped algorithm for two-stage stochastic programming to our state-wise, robust stochastic facility location problem with conic representable ambiguity. Finally, the results of a series of numerical experiments are presented that justify the value of the state-wise distributional information incorporated in our robust stochastic facility location model, the robustness of the model, and the performance of the exact so

关键词： stochastic facility location robust optimization state-wise distributional uncertainty Benders decomposition

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A Symbolic Rule Integration Framework with Logic Transformer for Inductive Relation Prediction 24

A Symbolic Rule Integration Framework with Logic Transformer...

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33rd ACM Web Conference, WWW 2024

作者： Pan, Yudai Liu, Jun Zhao, Tianzhe Zhang, Lingling Lin, Yun Dong, Jin Song School of Computer Science and Technology Xi'an Jiaotong University Shaanxi Xi'an China National Engineering Lab for Big Data Analytics Xi'an Jiaotong University Shaanxi Xi'an China Shaanxi Provincial Key Laboratory of Big Data Knowledge Engineering Xi'an Jiaotong University Shaanxi Xi'an China Shanghai Jiao Tong University Shanghai China National University of Singapore Singapore Singapore

ISBN: (纸本)9798400701719

Relation prediction in knowledge graphs (KGs) aims at predicting missing relations in incomplete triples, whereas the dominant paradigm by KG embeddings has a limitation to predict the relation between unseen entities. This situation is called an inductive setting, which is more common in the real-world scenario. To handle this issue, implicit symbolic rules have shown great potential in capturing the inductive capability. However, it is still challenging to obtain precise representations of logic rules from KGs. The argument variability and predicate non-commutativity in symbolic rule integration make the modeling of component symbols difficult. To this end, we propose a novel inductive relation prediction model named SymRITa with a logic transformer integrating rules. SymRITa firstly extracts the subgraph, whose embeddings are captured by a graph network. Meanwhile, symbolic rule graphs in the subgraph can be generated. Then, the symbolic rules are modeled by a proposed logic transformer. Specifically, the input format based on the subgraph-based embeddings is to focus on the argument variability in symbolic rules. In addition, a conjunction attention mechanism in the logic transformer can resolve predicate non-commutativity in the symbolic rule integration process. Finally, the subgraph-based and symbol-based embeddings obtained from the previous steps are combined for the training regime, and prediction results as well as rules explaining the reasoning process are explicitly output. Extensive experiments on twelve inductive datasets show that SymRITa achieves outstanding effectiveness compared to state-of-the-art inductive baselines. Moreover, the logic rules with corresponding confidences provide an interpretable paradigm. © 2024 ACM.

关键词： Forecasting

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Strangeness S=-2 baryon-baryon interactions and femtoscopic correlation functions in covariant chiral effective field theory

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Chinese Physics C 2023年第2期47卷 174-189页

作者：刘志伟李凯文耿立升 School of Physics Beihang UniversityBeijing 102206China Medical Management Department CAS Ion Medical Technology Co.Ltd.Beijing 100190China Beijing Advanced Innovation Center for Big Data-Based Precision Medicine School of Medicine and EngineeringBeihang UniversityKey Laboratory of Big Data-Based Precision Medicine(Beihang University)Ministry of Industry and Information TechnologyBeijing 100191China Beijing Key Laboratory of Advanced Nuclear Materials and Physics Beihang UniversityBeijing 102206China School of Physics and Microelectronics Zhengzhou UniversityZhengzhou 450001China

We study the baryon-baryon interactions with strangeness S=-2 and corresponding momentum correlation functions in leading order covariant chiral effective field *** relevant low energy constants are determined by fitting to the latest HAL QCD simulations,taking into account all the coupled *** the so-obtained strong interactions to the physical point and considering both quantum statistical effects and the Coulomb interaction,we calculate the ΛΛ and Ξ^(-)p correlation functions with a spherical Gaussian source and compare them with recent experimental *** find a good agreement between our predictions and the experimental measurements by using the source radius determined in proton-proton correlations,which demonstrates the consistency between theory,experiment,and lattice QCD ***,we predict the Σ^(+)Σ^(+),Σ^(+)Λ,and Σ^(+)Σ^(-) interactions and corresponding momentum correlation *** further investigate the influence of the source shape and size of the hadron pair on the correlation functions studied and show that the current data are not very sensitive to the source *** experimental measurements of the predicted momentum correlation functions will provide a non-trivial test of not only SU(3) flavor symmetry and its breaking but also the baryon-baryon interactions derived in covariant chiral effective field theory.

关键词： covariant chiral effective field theory momentum correlation functions baryon-baryon interactions

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