Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the real world which is affected by numerous controllable and uncontrollable variables. This paper presents an optimized predictive model built on long-and-short-term memory (LSTM) architecture for automatically extracting past stock prices from the web over a specified time interval and predicting their future prices for a specified forecast horizon, and forecasts the future stock prices. The model is deployed for making buy and sell transactions based on its predicted results for 70 important stocks from seven different sectors listed in the National Stock Exchange (NSE) of India. The profitability of each sector is derived based on the total profit yielded by the stocks in that sector over a period from Jan 1, 2010 to Aug 26, 2021. The sectors are compared based on their profitability values. The prediction accuracy of the model is also evaluated for each sector. The results indicate that the model is highly accurate in predicting future stock prices.
This paper considers an endogenous binary response model with many weak instruments. We in the current paper employ a control function approach and a regularization scheme to obtain better estimation results for the endogenous binary response model in the presence of many weak instruments. Two consistent and asymptotically normally distributed estimators are provided, each of which is called a regularized conditional maximum likelihood estimator (RCMLE) and a regularized nonlinear least square estimator (RNLSE) respectively. Monte Carlo simulations show that the proposed estimators outperform the existing estimators when many weak instruments are present. We apply our estimation method to study the effect of family income on college completion.
The methodological development of this paper is motivated by the need to address the following scientific question: does the issuance of heat alerts prevent adverse health effects? Our goal is to address this question within a causal inference framework in the context of time series data. A key challenge is that causal inference methods require the overlap assumption to hold: each unit (i.e., a day) must have a positive probability of receiving the treatment (i.e., issuing a heat alert on that day). In our motivating example, the overlap assumption is often violated: the probability of issuing a heat alert on a cool day is zero. To overcome this challenge, we propose a stochastic intervention for time series data which is implemented via an incremental time-varying propensity score (ItvPS). The ItvPS intervention is executed by multiplying the probability of issuing a heat alert on day $t$ -- conditional on past information up to day $t$ -- by an odds ratio $\delta_t$. First, we introduce a new class of causal estimands that relies on the ItvPS intervention. We provide theoretical results to show that these causal estimands can be identified and estimated under a weaker version of the overlap assumption. Second, we propose nonparametric estimators based on the ItvPS and derive an upper bound for the variances of these estimators. Third, we extend this framework to multi-site time series using a meta-analysis approach. Fourth, we show that the proposed estimators perform well in terms of bias and root mean squared error via simulations. Finally, we apply our proposed approach to estimate the causal effects of increasing the probability of issuing heat alerts on each warm-season day in reducing deaths and hospitalizations among Medicare enrollees in $2,837$ U.S. counties.
We propose a new method for multivariate response regression and covariance estimation when elements of the response vector are of mixed types, for example some continuous and some discrete. Our method is based on a model which assumes the observable mixed-type response vector is connected to a latent multivariate normal response linear regression through a link function. We explore the properties of this model and show its parameters are identifiable under reasonable conditions. We impose no parametric restrictions on the covariance of the latent normal other than positive definiteness, thereby avoiding assumptions about unobservable variables which can be difficult to verify in practice. To accommodate this generality, we propose a novel algorithm for approximate maximum likelihood estimation that works "off-the-shelf" with many different combinations of response types, and which scales well in the dimension of the response vector. Our method typically gives better predictions and parameter estimates than fitting separate models for the different response types and allows for approximate likelihood ratio testing of relevant hypotheses such as independence of responses. The usefulness of the proposed method is illustrated in simulations; and one biomedical and one genomic data example.
Machine learning, with its advances in Deep Learning has shown great potential in analysing time series in the past. However, in many scenarios, additional information is available that can potentially improve predictions, by incorporating it into the learning methods. This is crucial for data that arises from e.g., sensor networks that contain information about sensor locations. Then, such spatial information can be exploited by modeling it via graph structures, along with the sequential (time) information. Recent advances in adapting Deep Learning to graphs have shown promising potential in various graph-related tasks. However, these methods have not been adapted for time series related tasks to a great extent. Specifically, most attempts have essentially consolidated around Spatial-Temporal Graph Neural Networks for time series forecasting with small sequence lengths. Generally, these architectures are not suited for regression or classification tasks that contain large sequences of data. Therefore, in this work, we propose an architecture capable of processing these long sequences in a multivariate time series regression task, using the benefits of Graph Neural Networks to improve predictions. Our model is tested on two seismic datasets that contain earthquake waveforms, where the goal is to predict intensity measurements of ground shaking at a set of stations. Our findings demonstrate promising results of our approach, which are discussed in depth with an additional ablation study.
The COVID-19 pandemic has emphasized the need for a robust understanding of epidemic models. Current models of epidemics are classified as either mechanistic or non-mechanistic: mechanistic models make explicit assumptions on the dynamics of disease, whereas non-mechanistic models make assumptions on the form of observed time series. Here, we introduce a simple mixture-based model which bridges the two approaches while retaining benefits of both. The model represents time series of cases and fatalities as a mixture of Gaussian curves, providing a flexible function class to learn from data compared to traditional mechanistic models. Although the model is non-mechanistic, we show that it arises as the natural outcome of a stochastic process based on a networked SIR framework. This allows learned parameters to take on a more meaningful interpretation compared to similar non-mechanistic models, and we validate the interpretations using auxiliary mobility data collected during the COVID-19 pandemic. We provide a simple learning algorithm to identify model parameters and establish theoretical results which show the model can be efficiently learned from data. Empirically, we find the model to have low prediction error. The model is available live at covidpredictions.mit.edu. Ultimately, this allows us to systematically understand the impacts of interventions on COVID-19, which is critical in developing data-driven solutions to controlling epidemics.
Contextual multi-armed bandit (MAB) achieves cutting-edge performance on a variety of problems. When it comes to real-world scenarios such as recommendation system and online advertising, however, it is essential to consider the resource consumption of exploration. In practice, there is typically non-zero cost associated with executing a recommendation (arm) in the environment, and hence, the policy should be learned with a fixed exploration cost constraint. It is challenging to learn a global optimal policy directly, since it is a NP-hard problem and significantly complicates the exploration and exploitation trade-off of bandit algorithms. Existing approaches focus on solving the problems by adopting the greedy policy which estimates the expected rewards and costs and uses a greedy selection based on each arm's expected reward/cost ratio using historical observation until the exploration resource is exhausted. However, existing methods are hard to extend to infinite time horizon, since the learning process will be terminated when there is no more resource. In this paper, we propose a hierarchical adaptive contextual bandit method (HATCH) to conduct the policy learning of contextual bandits with a budget constraint. HATCH adopts an adaptive method to allocate the exploration resource based on the remaining resource/time and the estimation of reward distribution among different user contexts. In addition, we utilize full of contextual feature information to find the best personalized recommendation. Finally, in order to prove the theoretical guarantee, we present a regret bound analysis and prove that HATCH achieves a regret bound as low as $O(\sqrt{T})$. The experimental results demonstrate the effectiveness and efficiency of the proposed method on both synthetic data sets and the real-world applications.
Starting with the idea that sentiment analysis models should be able to predict not only positive or negative but also other psychological states of a person, we implement a sentiment analysis model to investigate the relationship between the model and emotional state. We first examine psychological measurements of 64 participants and ask them to write a book report about a story. After that, we train our sentiment analysis model using crawled movie review data. We finally evaluate participants' writings, using the pretrained model as a concept of transfer learning. The result shows that sentiment analysis model performs good at predicting a score, but the score does not have any correlation with human's self-checked sentiment.
Sentiment analysis is proven to be very useful tool in many applications regarding social media. This has led to a great surge of research in this field. Hence, in this paper, we compile the baselines for such research. In this paper, we explore three different deep-learning based architectures for multimodal sentiment classification, each improving upon the previous. Further, we evaluate these architectures with multiple datasets with fixed train/test partition. We also discuss some major issues, frequently ignored in multimodal sentiment analysis research, e.g., role of speaker-exclusive models, importance of different modalities, and generalizability. This framework illustrates the different facets of analysis to be considered while performing multimodal sentiment analysis and, hence, serves as a new benchmark for future research in this emerging field. We draw a comparison among the methods using empirical data, obtained from the experiments. In the future, we plan to focus on extracting semantics from visual features, cross-modal features and fusion.
Sentiment analysis is essential in many real-world applications such as stance detection, review analysis, recommendation system, and so on. Sentiment analysis becomes more difficult when the data is noisy and collected from social media. India is a multilingual country; people use more than one languages to communicate within themselves. The switching in between the languages is called code-switching or code-mixing, depending upon the type of mixing. This paper presents overview of the shared task on sentiment analysis of code-mixed data pairs of Hindi-English and Bengali-English collected from the different social media platform. The paper describes the task, dataset, evaluation, baseline and participant's systems.
State-of-the-art systems for semantic image segmentation use feed-forward pipelines with fixed computational costs. Building an image segmentation system that works across a range of computational budgets is challenging and time-intensive as new architectures must be designed and trained for every computational setting. To address this problem we develop a recurrent neural network that successively improves prediction quality with each iteration. Importantly, the RNN may be deployed across a range of computational budgets by merely running the model for a variable number of iterations. We find that this architecture is uniquely suited for efficiently segmenting videos. By exploiting the segmentation of past frames, the RNN can perform video segmentation at similar quality but reduced computational cost compared to state-of-the-art image segmentation methods. When applied to static images in the PASCAL VOC 2012 and Cityscapes segmentation datasets, the RNN traces out a speed-accuracy curve that saturates near the performance of state-of-the-art segmentation methods.