We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model tails of the return distributions at different time scales by using power-law, stretched exponential, and $q$-Gaussian functions. We focus on the fitted function parameters and how they change over the years by comparing our results with those from earlier studies and find that, on the time horizons of up to a few minutes, the so-called "inverse-cubic power-law" still constitutes an appropriate global reference. However, we no longer observe the hypothesized universal constant acceleration of the market time flow that was manifested before in an ever faster convergence of empirical return distributions towards the normal distribution. Our results do not exclude such a scenario but, rather, suggest that some other short-term processes related to a current market situation alter market dynamics and may mask this scenario. Real market dynamics is associated with a continuous alternation of different regimes with different statistical properties. An example is the COVID-19 pandemic outburst, which had an enormous yet short-time impact on financial markets. We also point out that two factors -- speed of the market time flow and the asset cross-correlation magnitude -- while related (the larger the speed, the larger the cross-correlations on a given time scale), act in opposite directions with regard to the return distribution tails, which can affect the expected distribution convergence to the normal distribution.
Delay differential equations form the underpinning of many complex dynamical systems. The forward problem of solving random differential equations with delay has received increasing attention in recent years. Motivated by the challenge to predict the COVID-19 caseload trajectories for individual states in the U.S., we target here the inverse problem. Given a sample of observed random trajectories obeying an unknown random differential equation model with delay, we use a functional data analysis framework to learn the model parameters that govern the underlying dynamics from the data. We show existence and uniqueness of the analytical solutions of the population delay random differential equation model when one has discrete time delays in the functional concurrent regression model and also for a second scenario where one has a delay continuum or distributed delay. The latter involves a functional linear regression model with history index. The derivative of the process of interest is modeled using the process itself as predictor and also other functional predictors with predictor-specific delayed impacts. This dynamics learning approach is shown to be well suited to model the growth rate of COVID-19 for the states that are part of the U.S., by pooling information from the individual states, using the case process and concurrently observed economic and mobility data as predictors.
Neural network based Artificial Intelligence (AI) has reported increasing scales in experiments. However, this paper raises a rarely reported stage in such experiments called Post-Selection alter the reader to several possible protocol flaws that may result in misleading results. All AI methods fall into two broad schools, connectionist and symbolic. The Post-Selection fall into two kinds, Post-Selection Using Validation Sets (PSUVS) and Post-Selection Using Test Sets (PSUTS). Each kind has two types of post-selectors, machines and humans. The connectionist school received criticisms for its "black box" and now the Post-Selection; but the seemingly "clean" symbolic school seems more brittle because of its human PSUTS. This paper first presents a controversial view: all static "big data" are non-scalable. We then analyze why error-backprop from randomly initialized weights suffers from severe local minima, why PSUVS lacks cross-validation, why PSUTS violates well-established protocols, and why every paper involved should transparently report the Post-Selection stage. To avoid future pitfalls in AI competitions, this paper proposes a new AI metrics, called developmental errors for all networks trained, under Three Learning Conditions: (1) an incremental learning architecture (due to a "big data" flaw), (2) a training experience and (3) a limited amount of computational resources. Developmental Networks avoid Post-Selections because they automatically discover context-rules on the fly by generating emergent Turing machines (not black boxes) that are optimal in the sense of maximum-likelihood across lifetime, conditioned on the Three Learning Conditions.
Probabilistic distributions over spanning trees in directed graphs are a fundamental model of dependency structure in natural language processing, syntactic dependency trees. In NLP, dependency trees often have an additional root constraint: only one edge may emanate from the root. However, no sampling algorithm has been presented in the literature to account for this additional constraint. In this paper, we adapt two spanning tree sampling algorithms to faithfully sample dependency trees from a graph subject to the root constraint. Wilson (1996)'s sampling algorithm has a running time of $\mathcal{O}(H)$ where $H$ is the mean hitting time of the graph. Colbourn (1996)'s sampling algorithm has a running time of $\mathcal{O}(N^3)$, which is often greater than the mean hitting time of a directed graph. Additionally, we build upon Colbourn's algorithm and present a novel extension that can sample $K$ trees without replacement in $\mathcal{O}(K N^3 + K^2 N)$ time. To the best of our knowledge, no algorithm has been given for sampling spanning trees without replacement from a directed graph.
In this paper, we study a distributed learning problem constrained by constant communication bits. Specifically, we consider the distributed hypothesis testing (DHT) problem where two distributed nodes are constrained to transmit a constant number of bits to a central decoder. In such cases, we show that in order to achieve the optimal error exponents, it suffices to consider the empirical distributions of observed data sequences and encode them to the transmission bits. With such a coding strategy, we develop a geometric approach in the distribution spaces and characterize the optimal schemes. In particular, we show the optimal achievable error exponents and coding schemes for the following cases: (i) both nodes can transmit $\log_23$ bits; (ii) one of the nodes can transmit $1$ bit, and the other node is not constrained; (iii) the joint distribution of the nodes are conditionally independent given one hypothesis. Furthermore, we provide several numerical examples for illustrating the theoretical results. Our results provide theoretical guidance for designing practical distributed learning rules, and the developed approach also reveals new potentials for establishing error exponents for DHT with more general communication constraints.
The problem of skewness is common among clinical trials and survival data which has being the research focus derivation and proposition of different flexible distributions. Thus, a new distribution called Extended Rayleigh Lomax distribution is constructed from Rayleigh Lomax distribution to capture the excessiveness of some survival data. We derive the new distribution by using beta logit function proposed by Jones (2004). Some statistical properties of the distribution such as probability density function, cumulative density function, reliability rate, hazard rate, reverse hazard rate, moment generating functions, likelihood functions, skewness, kurtosis and coefficient of variation are obtained. We also performed the expected estimation of model parameters by maximum likelihood; goodness of fit and model selection criteria including Anderson Darling (AD), CramerVon Misses (CVM), Kolmogorov Smirnov (KS), Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC) and Consistent Akaike Information Criterion (CAIC) are employed to select the better distribution from those models considered in the work. The results from the statistics criteria show that the proposed distribution performs better with better representation of the States in Nigeria COVID-19 death cases data than other competing models.
Over the last decades, various "non-linear" MCMC methods have arisen. While appealing for their convergence speed and efficiency, their practical implementation and theoretical study remain challenging. In this paper, we introduce a non-linear generalization of the Metropolis-Hastings algorithm to a proposal that depends not only on the current state, but also on its law. We propose to simulate this dynamics as the mean field limit of a system of interacting particles, that can in turn itself be understood as a generalisation of the Metropolis-Hastings algorithm to a population of particles. We prove the convergence of this algorithm under the double limit in number of iterations and number of particles. Then, we propose an efficient GPU implementation and illustrate its performance on various examples.
We conducted a systematic literature review on the ethical considerations of the use of contact tracing app technology, which was extensively implemented during the COVID-19 pandemic. The rapid and extensive use of this technology during the COVID-19 pandemic, while benefiting the public well-being by providing information about people's mobility and movements to control the spread of the virus, raised several ethical concerns for the post-COVID-19 era. To investigate these concerns for the post-pandemic situation and provide direction for future events, we analyzed the current ethical frameworks, research, and case studies about the ethical usage of tracing app technology. The results suggest there are seven essential ethical considerations, namely privacy, security, acceptability, government surveillance, transparency, justice, and voluntariness in the ethical use of contact tracing technology. In this paper, we explain and discuss these considerations and how they are needed for the ethical usage of this technology. The findings also highlight the importance of developing integrated guidelines and frameworks for implementation of such technology in the post-COVID-19 world.
Hierarchical $\mathcal{H}^2$-matrices are asymptotically optimal representations for the discretizations of non-local operators such as those arising in integral equations or from kernel functions. Their $O(N)$ complexity in both memory and operator application makes them particularly suited for large-scale problems. As a result, there is a need for software that provides support for distributed operations on these matrices to allow large-scale problems to be represented. In this paper, we present high-performance, distributed-memory GPU-accelerated algorithms and implementations for matrix-vector multiplication and matrix recompression of hierarchical matrices in the $\mathcal{H}^2$ format. The algorithms are a new module of H2Opus, a performance-oriented package that supports a broad variety of $\mathcal{H}^2$-matrix operations on CPUs and GPUs. Performance in the distributed GPU setting is achieved by marshaling the tree data of the hierarchical matrix representation to allow batched kernels to be executed on the individual GPUs. MPI is used for inter-process communication. We optimize the communication data volume and hide much of the communication cost with local compute phases of the algorithms. Results show near-ideal scalability up to 1024 NVIDIA V100 GPUs on Summit, with performance exceeding 2.3 Tflop/s/GPU for the matrix-vector multiplication, and 670 Gflops/s/GPU for matrix compression, which involves batched QR and SVD operations. We illustrate the flexibility and efficiency of the library by solving a 2D variable diffusivity integral fractional diffusion problem with an algebraic multigrid-preconditioned Krylov solver and demonstrate scalability up to 16M degrees of freedom problems on 64 GPUs.
With the advances of data-driven machine learning research, a wide variety of prediction problems have been tackled. It has become critical to explore how machine learning and specifically deep learning methods can be exploited to analyse healthcare data. A major limitation of existing methods has been the focus on grid-like data; however, the structure of physiological recordings are often irregular and unordered which makes it difficult to conceptualise them as a matrix. As such, graph neural networks have attracted significant attention by exploiting implicit information that resides in a biological system, with interactive nodes connected by edges whose weights can be either temporal associations or anatomical junctions. In this survey, we thoroughly review the different types of graph architectures and their applications in healthcare. We provide an overview of these methods in a systematic manner, organized by their domain of application including functional connectivity, anatomical structure and electrical-based analysis. We also outline the limitations of existing techniques and discuss potential directions for future research.
Existing multi-agent reinforcement learning methods are limited typically to a small number of agents. When the agent number increases largely, the learning becomes intractable due to the curse of the dimensionality and the exponential growth of agent interactions. In this paper, we present Mean Field Reinforcement Learning where the interactions within the population of agents are approximated by those between a single agent and the average effect from the overall population or neighboring agents; the interplay between the two entities is mutually reinforced: the learning of the individual agent's optimal policy depends on the dynamics of the population, while the dynamics of the population change according to the collective patterns of the individual policies. We develop practical mean field Q-learning and mean field Actor-Critic algorithms and analyze the convergence of the solution to Nash equilibrium. Experiments on Gaussian squeeze, Ising model, and battle games justify the learning effectiveness of our mean field approaches. In addition, we report the first result to solve the Ising model via model-free reinforcement learning methods.