Flow-Based Generative Emulation of Grids of Stellar Evolutionary Models

We present a flow-based generative approach to emulate grids of stellar evolutionary models. By interpreting the input parameters and output properties of these models as multi-dimensional probability distributions, we train conditional normalizing flows to learn and predict the complex relationships between grid inputs and outputs in the form of conditional joint distributions. Leveraging the expressive power and versatility of these flows, we showcase their ability to emulate a variety of evolutionary tracks and isochrones across a continuous range of input parameters. In addition, we describe a simple Bayesian approach for estimating stellar parameters using these flows and demonstrate its application to asteroseismic datasets of red giants observed by the Kepler mission. By applying this approach to red giants in open clusters NGC 6791 and NGC 6819, we illustrate how large age uncertainties can arise when fitting only to global asteroseismic and spectroscopic parameters without prior information on initial helium abundances and mixing length parameter values. We also conduct inference using the flow at a large scale by determining revised estimates of masses and radii for 15,388 field red giants. These estimates show improved agreement with results from existing grid-based modelling, reveal distinct population-level features in the red clump, and suggest that the masses of Kepler red giants previously determined using the corrected asteroseismic scaling relations have been overestimated by 5-10%.

Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning

A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however, relies not only on the quality of the momentum signal but also on the efficacy of the volatility estimator. Yet many of the existing studies have always considered these two factors to be independent. Inspired by recent progress in Multi-Task Learning (MTL), we present a new approach using MTL in a deep neural network architecture that jointly learns portfolio construction and various auxiliary tasks related to volatility, such as forecasting realized volatility as measured by different volatility estimators. Through backtesting from January 2000 to December 2020 on a diversified portfolio of continuous futures contracts, we demonstrate that even after accounting for transaction costs of up to 3 basis points, our approach outperforms existing TSMOM strategies. Moreover, experiments confirm that adding auxiliary tasks indeed boosts the portfolio's performance. These findings demonstrate that MTL can be a powerful tool in finance.