John Keane

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  • Breaking the Activation Function Bottleneck through Adaptive Parameterization

    Standard neural network architectures are non-linear only by virtue of a simple element-wise activation function, making them both brittle and excessively large. In this paper, we consider methods for making the feed-forward layer more flexible while preserving its basic structure. We develop simple drop-in replacements that learn to adapt their parameterization conditional on the input, thereby increasing statistical efficiency significantly. We present an adaptive LSTM that advances the state of the art for the Penn Treebank and Wikitext-2 word-modeling tasks while using fewer parameters and converging in half as many iterations.

    05/22/2018 ∙ by Sebastian Flennerhag, et al. ∙ 0 share

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  • Data Context Informed Data Wrangling

    The process of preparing potentially large and complex data sets for further analysis or manual examination is often called data wrangling. In classical warehousing environments, the steps in such a process have been carried out using Extract-Transform-Load platforms, with significant manual involvement in specifying, configuring or tuning many of them. Cost-effective data wrangling processes need to ensure that data wrangling steps benefit from automation wherever possible. In this paper, we define a methodology to fully automate an end-to-end data wrangling process incorporating data context, which associates portions of a target schema with potentially spurious extensional data of types that are commonly available. Instance-based evidence together with data profiling paves the way to inform automation in several steps within the wrangling process, specifically, matching, mapping validation, value format transformation, and data repair. The approach is evaluated with real estate data showing substantial improvements in the results of automated wrangling.

    11/22/2018 ∙ by Martin Koehler, et al. ∙ 0 share

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  • A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing

    The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough decline) with fluctuating performance across cycles. To address cyclicality and underperformance, we build a dynamic asset allocation system using Hidden Markov Models (HMMs). We test our system across multiple combinations of smart beta strategies and the resulting portfolios show an improvement in risk-adjusted returns, especially on more return oriented portfolios (up to 50% in excess of market annually). In addition, we propose a novel smart beta allocation system based on the Feature Saliency HMM (FSHMM) algorithm that performs feature selection simultaneously with the training of the HMM, to improve regime identification. We evaluate our systematic trading system with real life assets using MSCI indices; further, the results (up to 60% in excess of market annually) show model performance improvement with respect to portfolios built using full feature HMMs.

    02/28/2019 ∙ by Elizabeth Fons, et al. ∙ 0 share

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