Travel time derivatives are financial instruments that derive their value from road travel times, serving as an underlying asset that cannot be directly traded. Within the transportation domain, these derivatives are proposed as a more comprehensive approach to value pricing. They enable road pricing based not only on the level of travel time but also its volatility. In the financial market, travel time derivatives are introduced as innovative hedging instruments to mitigate market risk, particularly in light of recent stress experienced by the crypto market and traditional banking sector. The paper focuses on three main aspects: (1) the motivation behind the introduction of these derivatives, driven by the demand for hedging; (2) exploring the potential market for these instruments; and (3) delving into the product design and pricing schemes associated with them. The pricing schemes are devised by utilizing real-time travel time data captured by sensors. These data are modeled using Ornstein-Uhlenbeck processes and, more broadly, continuous time autoregressive moving average (CARMA) models. The calibration of these models is achieved through a hidden factor model, which describes the dynamics of travel time processes. The risk-neutral pricing principle is then employed to determine the prices of the derivatives, employing well-designed procedures to identify the market value of risk.
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ACM/IEEE第23屆模型驅動工程語言和系統國際會議，是模型驅動軟件和系統工程的首要會議系列，由ACM-SIGSOFT和IEEE-TCSE支持組織。自1998年以來，模型涵蓋了建模的各個方面，從語言和方法到工具和應用程序。模特的參加者來自不同的背景，包括研究人員、學者、工程師和工業專業人士。MODELS 2019是一個論壇，參與者可以圍繞建模和模型驅動的軟件和系統交流前沿研究成果和創新實踐經驗。今年的版本將為建模社區提供進一步推進建模基礎的機會，并在網絡物理系統、嵌入式系統、社會技術系統、云計算、大數據、機器學習、安全、開源等新興領域提出建模的創新應用以及可持續性。
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Predicting where a person is looking is a complex task, requiring to understand not only the person's gaze and scene content, but also the 3D scene structure and the person's situation (are they manipulating? interacting or observing others? attentive?) to detect obstructions in the line of sight or apply attention priors that humans typically have when observing others. In this paper, we hypothesize that identifying and leveraging such priors can be better achieved through the exploitation of explicitly derived multimodal cues such as depth and pose. We thus propose a modular multimodal architecture allowing to combine these cues using an attention mechanism. The architecture can naturally be exploited in privacy-sensitive situations such as surveillance and health, where personally identifiable information cannot be released. We perform extensive experiments on the GazeFollow and VideoAttentionTarget public datasets, obtaining state-of-the-art performance and demonstrating very competitive results in the privacy setting case.
Uniswap v3 is the largest decentralized exchange for digital currencies. A novelty of its design is that it allows a liquidity provider (LP) to allocate liquidity to one or more closed intervals of the price of an asset instead of the full range of possible prices. An LP earns fee rewards proportional to the amount of its liquidity allocation when prices move in this interval. This induces the problem of {\em strategic liquidity provision}: smaller intervals result in higher concentration of liquidity and correspondingly larger fees when the price remains in the interval, but with higher risk as prices may exit the interval leaving the LP with no fee rewards. Although reallocating liquidity to new intervals can mitigate this loss, it comes at a cost, as LPs must expend gas fees to do so. We formalize the dynamic liquidity provision problem and focus on a general class of strategies for which we provide a neural network-based optimization framework for maximizing LP earnings. We model a single LP that faces an exogenous sequence of price changes that arise from arbitrage and non-arbitrage trades in the decentralized exchange. We present experimental results informed by historical price data that demonstrate large improvements in LP earnings over existing allocation strategy baselines. Moreover we provide insight into qualitative differences in optimal LP behaviour in different economic environments.
The ability to detect learned objects regardless of their appearance is crucial for autonomous systems in real-world applications. Especially for detecting humans, which is often a fundamental task in safety-critical applications, it is vital to prevent errors. To address this challenge, we propose a self-monitoring framework that allows for the perception system to perform plausibility checks at runtime. We show that by incorporating an additional component for detecting human body parts, we are able to significantly reduce the number of missed human detections by factors of up to 9 when compared to a baseline setup, which was trained only on holistic person objects. Additionally, we found that training a model jointly on humans and their body parts leads to a substantial reduction in false positive detections by up to 50% compared to training on humans alone. We performed comprehensive experiments on the publicly available datasets DensePose and Pascal VOC in order to demonstrate the effectiveness of our framework. Code is available at //github.com/ FraunhoferIKS/smf-object-detection.
Business statistics play a crucial role in implementing a data-driven strategic plan at the enterprise level to employ various analytics where the outcomes of such a plan enable an enterprise to enhance the decision-making process or to mitigate risks to the organization. In this work, a strategic plan informed by the statistical analysis is introduced for a financial company called LendingClub, where the plan is comprised of exploring the possibility of onboarding a big data platform along with advanced feature selection capacities. The main objectives of such a plan are to increase the company's revenue while reducing the risks of granting loans to borrowers who cannot return their loans. In this study, different hypotheses formulated to address the company's concerns are studied, where the results reveal that the amount of loans profoundly impacts the number of borrowers charging off their loans. Also, the proposed strategic plan includes onboarding advanced analytics such as machine learning technologies that allow the company to build better generalized data-driven predictive models.
Classical physical modelling with associated numerical simulation (model-based), and prognostic methods based on the analysis of large amounts of data (data-driven) are the two most common methods used for the mapping of complex physical processes. In recent years, the efficient combination of these approaches has become increasingly important. Continuum mechanics in the core consists of conservation equations that -- in addition to the always necessary specification of the process conditions -- can be supplemented by phenomenological material models. The latter are an idealized image of the specific material behavior that can be determined experimentally, empirically, and based on a wealth of expert knowledge. The more complex the material, the more difficult the calibration is. This situation forms the starting point for this work's hybrid data-driven and model-based approach for mapping a complex physical process in continuum mechanics. Specifically, we use data generated from a classical physical model by the MESHFREE software to train a Principal Component Analysis-based neural network (PCA-NN) for the task of parameter identification of the material model parameters. The obtained results highlight the potential of deep-learning-based hybrid models for determining parameters, which are the key to characterizing materials occurring naturally, and their use in industrial applications (e.g. the interaction of vehicles with sand).
Personalized pricing, which involves tailoring prices based on individual characteristics, is commonly used by firms to implement a consumer-specific pricing policy. In this process, buyers can also strategically manipulate their feature data to obtain a lower price, incurring certain manipulation costs. Such strategic behavior can hinder firms from maximizing their profits. In this paper, we study the contextual dynamic pricing problem with strategic buyers. The seller does not observe the buyer's true feature, but a manipulated feature according to buyers' strategic behavior. In addition, the seller does not observe the buyers' valuation of the product, but only a binary response indicating whether a sale happens or not. Recognizing these challenges, we propose a strategic dynamic pricing policy that incorporates the buyers' strategic behavior into the online learning to maximize the seller's cumulative revenue. We first prove that existing non-strategic pricing policies that neglect the buyers' strategic behavior result in a linear $\Omega(T)$ regret with $T$ the total time horizon, indicating that these policies are not better than a random pricing policy. We then establish that our proposed policy achieves a sublinear regret upper bound of $O(\sqrt{T})$. Importantly, our policy is not a mere amalgamation of existing dynamic pricing policies and strategic behavior handling algorithms. Our policy can also accommodate the scenario when the marginal cost of manipulation is unknown in advance. To account for it, we simultaneously estimate the valuation parameter and the cost parameter in the online pricing policy, which is shown to also achieve an $O(\sqrt{T})$ regret bound. Extensive experiments support our theoretical developments and demonstrate the superior performance of our policy compared to other pricing policies that are unaware of the strategic behaviors.
Social media platforms such as Instagram and Twitter have emerged as critical channels for drug marketing and illegal sale. Detecting and labeling online illicit drug trafficking activities becomes important in addressing this issue. However, the effectiveness of conventional supervised learning methods in detecting drug trafficking heavily relies on having access to substantial amounts of labeled data, while data annotation is time-consuming and resource-intensive. Furthermore, these models often face challenges in accurately identifying trafficking activities when drug dealers use deceptive language and euphemisms to avoid detection. To overcome this limitation, we conduct the first systematic study on leveraging large language models (LLMs), such as ChatGPT, to detect illicit drug trafficking activities on social media. We propose an analytical framework to compose \emph{knowledge-informed prompts}, which serve as the interface that humans can interact with and use LLMs to perform the detection task. Additionally, we design a Monte Carlo dropout based prompt optimization method to further to improve performance and interpretability. Our experimental findings demonstrate that the proposed framework outperforms other baseline language models in terms of drug trafficking detection accuracy, showing a remarkable improvement of nearly 12\%. By integrating prior knowledge and the proposed prompts, ChatGPT can effectively identify and label drug trafficking activities on social networks, even in the presence of deceptive language and euphemisms used by drug dealers to evade detection. The implications of our research extend to social networks, emphasizing the importance of incorporating prior knowledge and scenario-based prompts into analytical tools to improve online security and public safety.
A key challenge in agent-based mobility simulations is the synthesis of individual agent socioeconomic profiles. Such profiles include locations of agent activities, which dictate the quality of the simulated travel patterns. These locations are typically represented in origin-destination matrices that are sampled using coarse travel surveys. This is because fine-grained trip profiles are scarce and fragmented due to privacy and cost reasons. The discrepancy between data and sampling resolutions renders agent traits non-identifiable due to the combinatorial space of data-consistent individual attributes. This problem is pertinent to any agent-based inference setting where the latent state is discrete. Existing approaches have used continuous relaxations of the underlying location assignments and subsequent ad-hoc discretisation thereof. We propose a framework to efficiently navigate this space offering improved reconstruction and coverage as well as linear-time sampling of the ground truth origin-destination table. This allows us to avoid factorially growing rejection rates and poor summary statistic consistency inherent in discrete choice modelling. We achieve this by introducing joint sampling schemes for the continuous intensity and discrete table of agent trips, as well as Markov bases that can efficiently traverse this combinatorial space subject to summary statistic constraints. Our framework's benefits are demonstrated in multiple controlled experiments and a large-scale application to agent work trip reconstruction in Cambridge, UK.
Games and simulators can be a valuable platform to execute complex multi-agent, multiplayer, imperfect information scenarios with significant parallels to military applications: multiple participants manage resources and make decisions that command assets to secure specific areas of a map or neutralize opposing forces. These characteristics have attracted the artificial intelligence (AI) community by supporting development of algorithms with complex benchmarks and the capability to rapidly iterate over new ideas. The success of artificial intelligence algorithms in real-time strategy games such as StarCraft II have also attracted the attention of the military research community aiming to explore similar techniques in military counterpart scenarios. Aiming to bridge the connection between games and military applications, this work discusses past and current efforts on how games and simulators, together with the artificial intelligence algorithms, have been adapted to simulate certain aspects of military missions and how they might impact the future battlefield. This paper also investigates how advances in virtual reality and visual augmentation systems open new possibilities in human interfaces with gaming platforms and their military parallels.
This paper addresses the difficulty of forecasting multiple financial time series (TS) conjointly using deep neural networks (DNN). We investigate whether DNN-based models could forecast these TS more efficiently by learning their representation directly. To this end, we make use of the dynamic factor graph (DFG) from that we enhance by proposing a novel variable-length attention-based mechanism to render it memory-augmented. Using this mechanism, we propose an unsupervised DNN architecture for multivariate TS forecasting that allows to learn and take advantage of the relationships between these TS. We test our model on two datasets covering 19 years of investment funds activities. Our experimental results show that our proposed approach outperforms significantly typical DNN-based and statistical models at forecasting their 21-day price trajectory.
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