CAMEF: Causal-Augmented Multi-Modality Event-Driven Financial Forecasting by Integrating Time Series Patterns and Salient Macroeconomic Announcements

Accurately forecasting the impact of macroeconomic events is critical for investors and policymakers. Salient events like monetary policy decisions and employment reports often trigger market movements by shaping expectations of economic growth and risk, thereby establishing causal relationships between events and market behavior. Existing forecasting methods typically focus either on textual analysis or time-series modeling, but fail to capture the multi-modal nature of financial markets and the causal relationship between events and price movements. To address these gaps, we propose CAMEF (Causal-Augmented Multi-Modality Event-Driven Financial Forecasting), a multi-modality framework that effectively integrates textual and time-series data with a causal learning mechanism and an LLM-based counterfactual event augmentation technique for causal-enhanced financial forecasting. Our contributions include: (1) a multi-modal framework that captures causal relationships between policy texts and historical price data; (2) a new financial dataset with six types of macroeconomic releases from 2008 to April 2024, and high-frequency real trading data for five key U.S. financial assets; and (3) an LLM-based counterfactual event augmentation strategy. We compare CAMEF to state-of-the-art transformer-based time-series and multi-modal baselines, and perform ablation studies to validate the effectiveness of the causal learning mechanism and event types.

Input-to-State Stable Neural Ordinary Differential Equations with Applications to Transient Modeling of Circuits

This paper proposes a class of neural ordinary differential equations parametrized by provably input-to-state stable continuous-time recurrent neural networks. The model dynamics are defined by construction to be input-to-state stable (ISS) with respect to an ISS-Lyapunov function that is learned jointly with the dynamics. We use the proposed method to learn cheap-to-simulate behavioral models for electronic circuits that can accurately reproduce the behavior of various digital and analog circuits when simulated by a commercial circuit simulator, even when interconnected with circuit components not encountered during training. We also demonstrate the feasibility of learning ISS-preserving perturbations to the dynamics for modeling degradation effects due to circuit aging.

RF-Based Human Activity Recognition Using Signal Adapted Convolutional Neural Network

Human Activity Recognition (HAR) plays a critical role in a wide range of real-world applications, and it is traditionally achieved via wearable sensing. Recently, to avoid the burden and discomfort caused by wearable devices, device-free approaches exploiting RF signals arise as a promising alternative for HAR. Most of the latest device-free approaches require training a large deep neural network model in either time or frequency domain, entailing extensive storage to contain the model and intensive computations to infer activities. Consequently, even with some major advances on device-free HAR, current device-free approaches are still far from practical in real-world scenarios where the computation and storage resources possessed by, for example, edge devices, are limited. Therefore, we introduce HAR-SAnet which is a novel RF-based HAR framework. It adopts an original signal adapted convolutional neural network architecture: instead of feeding the handcraft features of RF signals into a classifier, HAR-SAnet fuses them adaptively from both time and frequency domains to design an end-to-end neural network model. We apply point-wise grouped convolution and depth-wise separable convolutions to confine the model scale and to speed up the inference execution time. The experiment results show that the recognition accuracy of HAR-SAnet outperforms state-of-the-art algorithms and systems.

Marginal and simultaneous predictive classification using stratified graphical models

An inductive probabilistic classification rule must generally obey the principles of Bayesian predictive inference, such that all observed and unobserved stochastic quantities are jointly modeled and the parameter uncertainty is fully acknowledged through the posterior predictive distribution. Several such rules have been recently considered and their asymptotic behavior has been characterized under the assumption that the observed features or variables used for building a classifier are conditionally independent given a simultaneous labeling of both the training samples and those from an unknown origin. Here we extend the theoretical results to predictive classifiers acknowledging feature dependencies either through graphical models or sparser alternatives defined as stratified graphical models. We also show through experimentation with both synthetic and real data that the predictive classifiers based on stratified graphical models have consistently best accuracy compared with the predictive classifiers based on either conditionally independent features or on ordinary graphical models.