Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow

As a newly emerged asset class, cryptocurrency is evidently more volatile compared to the traditional equity markets. Due to its mostly unregulated nature, and often low liquidity, the price of crypto assets can sustain a significant change within minutes that in turn might result in considerable losses. In this paper, we employ an approach for encoding market information into images and making predictions of short-term realized volatility by employing Convolutional Neural Networks. We then compare the performance of the proposed encoding and corresponding model with other benchmark models. The experimental results demonstrate that this representation of market data with a Convolutional Neural Network as a predictive model has the potential to better capture the market dynamics and a better volatility prediction.

Realistic Counterfactual Explanations by Learned Relations

Many existing methods of counterfactual explanations ignore the intrinsic relationships between data attributes and thus fail to generate realistic counterfactuals. Moreover, the existing methods that account for relationships between data attributes require domain knowledge, which limits their applicability in complex real-world applications. In this paper, we propose a novel approach to realistic counterfactual explanations that preserve relationships between data attributes. The model directly learns the relationships by a variational auto-encoder without domain knowledge and then learns to disturb the latent space accordingly. We conduct extensive experiments on both synthetic and real-world datasets. The results demonstrate that the proposed method learns relationships from the data and preserves these relationships in generated counterfactuals.

Image segmentation of cross-country scenes captured in IR spectrum

Computer vision has become a major source of information for autonomous navigation of robots of various types, self-driving cars, military robots and mars/lunar rovers are some examples. Nevertheless, the majority of methods focus on analysing images captured in visible spectrum. In this manuscript we elaborate on the problem of segmenting cross-country scenes captured in IR spectrum. For this purpose we proposed employing salient features. Salient features are robust to variations in scale, brightness and view angle. We suggest the Speeded-Up Robust Features as a basis for our salient features for a number of reasons discussed in the paper. We also provide a comparison of two SURF implementations. The SURF features are extracted from images of different terrain types. For every feature we estimate a terrain class membership function. The membership values are obtained by means of either the multi-layer perceptron or nearest neighbours. The features' class membership values and their spatial positions are then applied to estimate class membership values for all pixels in the image. To decrease the effect of segmentation blinking that is caused by rapid switching between different terrain types and to speed up segmentation, we are tracking camera position and predict features' positions. The comparison of the multi-layer perception and the nearest neighbour classifiers is presented in the paper. The error rate of the terrain segmentation using the nearest neighbours obtained on the testing set is 16.6+-9.17%.

A movie genre prediction based on Multivariate Bernoulli model and genre correlations

Movie ratings play an important role both in determining the likelihood of a potential viewer to watch the movie and in reflecting the current viewer satisfaction with the movie. They are available in several sources like the television guide, best-selling reference books, newspaper columns, and television programs. Furthermore, movie ratings are crucial for recommendation engines that track the behavior of all users and utilize the information to suggest items they might like. Movie ratings in most cases, thus, provide information that might be more important than movie feature-based data. It is intuitively appealing that information about the viewing preferences in movie genres is sufficient for predicting a genre of an unlabeled movie. In order to predict movie genres, we treat ratings as a feature vector, apply the Bernoulli event model to estimate the likelihood of a movies given genre, and evaluate the posterior probability of the genre of a given movie using the Bayes rule. The goal of the proposed technique is to efficiently use the movie ratings for the task of predicting movie genres. In our approach we attempted to answer the question: "Given the set of users who watched a movie, is it possible to predict the genre of a movie based on its ratings?" Our simulation results with MovieLens 100k data demonstrated the efficiency and accuracy of our proposed technique, achieving 59% prediction rate for exact prediction and 69% when including correlated genres.

A multinomial probabilistic model for movie genre predictions

This paper proposes a movie genre-prediction based on multinomial probability model. To the best of our knowledge, this problem has not been addressed yet in the field of recommender system. The prediction of a movie genre has many practical applications including complementing the items categories given by experts and providing a surprise effect in the recommendations given to a user. We employ mulitnomial event model to estimate a likelihood of a movie given genre and the Bayes rule to evaluate the posterior probability of a genre given a movie. Experiments with the MovieLens dataset validate our approach. We achieved 70% prediction rate using only 15% of the whole set for training.