Leveraging Estimated Transferability Over Human Intuition for Model Selection in Text Ranking

Text ranking has witnessed significant advancements, attributed to the utilization of dual-encoder enhanced by Pre-trained Language Models (PLMs). Given the proliferation of available PLMs, selecting the most effective one for a given dataset has become a non-trivial challenge. As a promising alternative to human intuition and brute-force fine-tuning, Transferability Estimation (TE) has emerged as an effective approach to model selection. However, current TE methods are primarily designed for classification tasks, and their estimated transferability may not align well with the objectives of text ranking. To address this challenge, we propose to compute the expected rank as transferability, explicitly reflecting the model's ranking capability. Furthermore, to mitigate anisotropy and incorporate training dynamics, we adaptively scale isotropic sentence embeddings to yield an accurate expected rank score. Our resulting method, Adaptive Ranking Transferability (AiRTran), can effectively capture subtle differences between models. On challenging model selection scenarios across various text ranking datasets, it demonstrates significant improvements over previous classification-oriented TE methods, human intuition, and ChatGPT with minor time consumption.

ProCQA: A Large-scale Community-based Programming Question Answering Dataset for Code Search

Retrieval-based code question answering seeks to match user queries in natural language to relevant code snippets. Previous approaches typically rely on pretraining models using crafted bi-modal and uni-modal datasets to align text and code representations. In this paper, we introduce ProCQA, a large-scale programming question answering dataset extracted from the StackOverflow community, offering naturally structured mixed-modal QA pairs. To validate its effectiveness, we propose a modality-agnostic contrastive pre-training approach to improve the alignment of text and code representations of current code language models. Compared to previous models that primarily employ bimodal and unimodal pairs extracted from CodeSearchNet for pre-training, our model exhibits significant performance improvements across a wide range of code retrieval benchmarks.

Deep Calibration of Market Simulations using Neural Density Estimators and Embedding Networks

The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in macroeconomic outlook. In recent years, agent-based models have been developed that reproduce many features of an exchange, as summarised by a set of stylised facts and statistics. However, the ability to calibrate simulators to a specific period of trading remains an open challenge. In this work, we develop a novel approach to the calibration of market simulators by leveraging recent advances in deep learning, specifically using neural density estimators and embedding networks. We demonstrate that our approach is able to correctly identify high probability parameter sets, both when applied to synthetic and historical data, and without reliance on manually selected or weighted ensembles of stylised facts.

Towards systematic intraday news screening: a liquidity-focused approach

News can convey bearish or bullish views on financial assets. Institutional investors need to evaluate automatically the implied news sentiment based on textual data. Given the huge amount of news articles published each day, most of which are neutral, we present a systematic news screening method to identify the ``true'' impactful ones, aiming for more effective development of news sentiment learning methods. Based on several liquidity-driven variables, including volatility, turnover, bid-ask spread, and book size, we associate each 5-min time bin to one of two specific liquidity modes. One represents the ``calm'' state at which the market stays for most of the time and the other, featured with relatively higher levels of volatility and trading volume, describes the regime driven by some exogenous events. Then we focus on the moments where the liquidity mode switches from the former to the latter and consider the news articles published nearby impactful. We apply naive Bayes on these filtered samples for news sentiment classification as an illustrative example. We show that the screened dataset leads to more effective feature capturing and thus superior performance on short-term asset return prediction compared to the original dataset.

Improving Variational Autoencoders with Density Gap-based Regularization

Variational autoencoders (VAEs) are one of the powerful unsupervised learning frameworks in NLP for latent representation learning and latent-directed generation. The classic optimization goal of VAEs is to maximize the Evidence Lower Bound (ELBo), which consists of a conditional likelihood for generation and a negative Kullback-Leibler (KL) divergence for regularization. In practice, optimizing ELBo often leads the posterior distribution of all samples converge to the same degenerated local optimum, namely posterior collapse or KL vanishing. There are effective ways proposed to prevent posterior collapse in VAEs, but we observe that they in essence make trade-offs between posterior collapse and hole problem, i.e., mismatch between the aggregated posterior distribution and the prior distribution. To this end, we introduce new training objectives to tackle both two problems through a novel regularization based on the probabilistic density gap between the aggregated posterior distribution and the prior distribution. Through experiments on language modeling, latent space visualization and interpolation, we show that our proposed method can solve both problems effectively and thus outperforms the existing methods in latent-directed generation. To the best of our knowledge, we are the first to jointly solve the hole problem and the posterior collapse.

On the universality of the volatility formation process: when machine learning and rough volatility agree

We train an LSTM network based on a pooled dataset made of hundreds of liquid stocks aiming to forecast the next daily realized volatility for all stocks. Showing the consistent outperformance of this universal LSTM relative to other asset-specific parametric models, we uncover nonparametric evidences of a universal volatility formation mechanism across assets relating past market realizations, including daily returns and volatilities, to current volatilities. A parsimonious parametric forecasting device combining the rough fractional stochastic volatility and quadratic rough Heston models with fixed parameters results in the same level of performance as the universal LSTM, which confirms the universality of the volatility formation process from a parametric perspective.

Enhancing Dual-Encoders with Question and Answer Cross-Embeddings for Answer Retrieval

Dual-Encoders is a promising mechanism for answer retrieval in question answering (QA) systems. Currently most conventional Dual-Encoders learn the semantic representations of questions and answers merely through matching score. Researchers proposed to introduce the QA interaction features in scoring function but at the cost of low efficiency in inference stage. To keep independent encoding of questions and answers during inference stage, variational auto-encoder is further introduced to reconstruct answers (questions) from question (answer) embeddings as an auxiliary task to enhance QA interaction in representation learning in training stage. However, the needs of text generation and answer retrieval are different, which leads to hardness in training. In this work, we propose a framework to enhance the Dual-Encoders model with question answer cross-embeddings and a novel Geometry Alignment Mechanism (GAM) to align the geometry of embeddings from Dual-Encoders with that from Cross-Encoders. Extensive experimental results show that our framework significantly improves Dual-Encoders model and outperforms the state-of-the-art method on multiple answer retrieval datasets.