A new model for analyzing noisy, asynchronous high-frequency data.
problem Challenges in analyzing intraday correlations due to market microstructure noise and asynchronicity.
method Score-driven conditional correlation model using multivariate local-level model with score-driven covariance matrices.
result Market microstructure noise is effectively accounted for, leading to more accurate correlation estimates.
Agent-based model simulates market dynamics with real-time order matching.
problem Realistic simulation of market dynamics with realistic price impact.
method Agent-based model with asynchronous, event-time order matching.
result Realistic price impact curves and stylized facts presented.
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real stock markets. Each trader has a unique decision function, which allows him/ her t…
Paper tackles reinforcement learning for asynchronous events.
problem Designing online interventions for complex asynchronous environments.
method Deep reinforcement learning of marked temporal point processes.
result Method can find effective interventions for diverse applications.
Paper introduces Decentralized Non-stationary Competing Bandits ( exttt{DNCB}) for dynamic matching markets.
problem Understanding dynamic two-sided matching markets with competing agents.
method Proposes a decentralized asynchronous learning algorithm ( exttt{DNCB}) for non-stationary environments.
result Obtains sub-linear (logarithmic) regret of exttt{DNCB} in dynamic settings.
For researching the association between coal enterprise management and return in financial market, this paper applies the method of time difference relevance and PageRank method to seek the leader-index of a stock set containing 21 coal enterprises in A-share market and score those stocks. Based on the return in 2011, …
In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied to characterize the behaviour of the system. The approach is illustrated on fin…
Study examines returns of Asian ADRs, finding mean-reverting patterns and developing trading strategies.
problem Analyzing returns of Asian ADRs in asynchronous markets.
method Dissected returns into intraday and overnight components, fitted to Ornstein-Uhlenbeck process, developed pairs trading strategies.
result Consistent positive payoffs in pairs trading strategies exploiting mean-reverting ADR-SPY spreads.
We present a scheme for online, unsupervised state discovery and detection from streaming, multi-featured, asynchronous data in high-frequency financial markets. Online feature correlations are computed using an unbiased, lossless Fourier estimator. A high-speed maximum likelihood clustering algorithm is then used to f…
Researchers simulate and estimate a market model with a matching engine to understand its impact on order submission and management.
problem The impact of a matching engine on the modeling of order submission and management in financial markets.
method Simulation of a 10-variate Hawkes process with rules for different order types, including limit orders, to compare model parameters with the original order generating process.
result Practical considerations, not directly related to model specification, can significantly distort the true model specification in an asynchronous trading environment.
RL agent learns to place limit orders for trading signals in financial markets.
problem Training an RL agent to execute trading signals in limit order book markets.
method Deep Duelling Double Q-learning with APEX architecture, using synthetic alpha signals.
result RL agent outperforms heuristic trading strategies in inventory management and order placing.
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Levy-like distribution, and the cross-correla…
AMPNet accelerates deep learning training on interconnected devices.
problem Training efficiency for dynamic neural networks with complex control flow.
method Asynchronous model-parallel training algorithm.
result AMP training achieves similar accuracy but faster convergence and shorter training times.
A framework uses deep reinforcement learning to optimize energy storage in intraday markets.
problem Optimizing energy storage in intraday markets for renewable energy integration.
method Markov Decision Process, asynchronous distributed fitted Q iteration algorithm, artificial trajectories.
result The agent converges to a policy that achieves higher total revenues than the benchmark strategy.
Enhances Fourier estimator performance for asynchronous event-data.
problem Improving correlation and covariance estimation on event-data.
method Implement and test NUFFT methods with different averaging kernels.
result Demonstrates improved performance and relationship between averaging scales.
Ringmaster ASGD improves Asynchronous SGD's efficiency under varying worker times.
problem Suboptimal performance of Asynchronous SGD under heterogeneous worker computation times.
method Ringmaster ASGD, a novel Asynchronous SGD method with optimal time complexity.
result Ringmaster ASGD achieves optimal time complexity under arbitrary worker heterogeneity.
New simulation shows trading algorithms' performance varies with parallelism.
problem Validation of trading algorithms' performance in parallel markets.
method Used TBSE, a threaded market simulator, to compare algorithms' performance.
result Trading algorithms' performance differs in parallel vs. sequential markets.
Improves BO efficiency by allowing asynchronous parallel computing.
problem Wasteful use of resources in batch Bayesian optimisation.
method Developed PLAyBOOK for asynchronous local penalisation.
result Asynchronous BO often outperforms synchronous BO.
Zeno++ improves robustness of asynchronous SGD in fully asynchronous settings.
problem Byzantine failures in fully asynchronous SGD.
method Estimates descent of loss after applying candidate gradient.
result Proves convergence for non-convex problems under Byzantine failures.
SHIFT simulates realistic financial markets for research and industry.
problem Creating a realistic simulation platform for financial market research.
method Developed a highly realistic financial market simulator with multiple traders and assets.
result Demonstrated that automated agents can produce price processes similar to real markets.
New framework simplifies analysis of asynchronous parallel optimization algorithms.
problem Difficulty in analyzing asynchronous parallel optimization algorithms due to delay and inconsistency.
method Revisit and clarify technical issue in convergence rate proofs, propose simplified 'perturbed iterate' framework.
result Proves linear speedup for ASAGA and KROMAGNON on multi-core systems without sparsity assumptions.
New method stabilizes asynchronous SGD by maintaining energy below that of synchronous SGD.
problem Stability issues in distributed asynchronous gradient descent.
method Gradient Energy Matching (GEM) using Lagrangian mechanics.
result GEM ensures stability and speedup in asynchronous SGD, even with many workers.
AEGiS optimizes expensive function evaluations asynchronously.
problem Optimizing expensive black-box functions efficiently.
method Asynchronous ε-Greedy Bayesian Optimisation combining greedy search and Thompson sampling.
result AEGiS outperforms existing asynchronous BO methods.
Secure aggregation for buffered asynchronous federated learning without TEEs.
problem Privacy and convergence in buffered asynchronous federated learning.
method Developed a new protocol (BASecAgg) that ensures privacy without TEEs by carefully designing masks.
result BASecAgg achieves similar convergence guarantees as FedBuff without TEEs.
Standard acquisition functions are sufficient for asynchronous Bayesian optimization.
problem Redundant and repeated queries in asynchronous Bayesian optimization.
method Conceptual analysis and theoretical guarantees of standard acquisitions.
result Standard acquisition functions achieve theoretical guarantees equivalent to Thompson sampling in asynchronous settings.
Estimation of the covariance matrix of asset returns from high frequency data is complicated by asynchronous returns, market mi- crostructure noise and jumps. One technique for addressing both asynchronous returns and market microstructure is the Kalman-EM (KEM) algorithm. However the KEM approach assumes log-normal pr…
Paper analyzes convergence and speedup of asynchronous parallel SGD.
problem Achieving good convergence and linear speedup in asynchronous parallel SGD.
method Second-order convergence analysis of APSGD with consistent read near strictly saddle points.
result Theoretical guarantee for using at most O(K1/3M−1/3) workers for good convergence and linear speedup. Asynchronous framework improves distributed learning performance.
problem Heterogeneous computing machines hinder synchronous learning strategies.
method Asynchronous distributed framework with parameter exchanges.
result Convergence of consistency in distributed asynchronous methods for gradient iterations.
Develops robust estimators for high-frequency data with market microstructure noise.
problem Estimating prices in the presence of market microstructure noise.
method Plug-in versions of existing estimators, using raw price and limit order book data.
result Noise-robust estimators can be applied to various high-frequency data problems.
Model for equity trading with asynchronous price updates converging to a stationary return distribution.
problem Equity trading dynamics with asynchronous price updates and varying number of participants.
method Modeling agents' adaptive strategies and using numerical simulations to analyze returns.
result The model converges to a stationary return distribution, with mean returns influenced by adaptive mechanisms and agent interactions.
Asynchronous method for hyperparameter and neural architecture search.
problem Efficiently searching for optimal hyperparameters and neural architectures.
method Model-based, asynchronous multi-fidelity method combining Hyperband and Gaussian process-based Bayesian optimization.
result Substantial speed-ups over current state-of-the-art methods on various benchmarks.
This work tackles resource allocation in asynchronous and stochastic systems.
problem Distributed resource allocation in asynchronous and stochastic settings.
method Approximate stochastic primal-dual approach with asynchronous updates.
result The Asynchronous stochastic Primal-Dual (Asyn-PD) algorithm converges to the saddle point solution at a rate of O(1/t). Advances in asynchronous optimization methods for machine learning.
problem Efficiently solving large-scale optimization problems in machine learning.
method Asynchronous parallel and distributed optimization methods, accounting for information delays.
result Degree of asynchrony impacts convergence rates in stochastic optimization methods.
New Fourier transform method handles missing data and asynchronous observations.
problem Volatility inference with missing or asynchronous data.
method Spectral framework using Fourier transforms.
result Consistent volatility functional estimation with limit distributions.
New rules found to maintain neural network performance in asynchronous training.
problem Asynchronous training leads to degradation in generalization.
method Examined dynamical stability, derived rules for learning rate adjustment.
result Learning rate should be inversely proportional to delay for high delay values.
DANA mitigates gradient staleness in asynchronous distributed SGD with momentum.
problem Gradient staleness in asynchronous distributed SGD with momentum.
method DANA: a novel technique for asynchronous distributed SGD with momentum that computes the gradient on an estimated future position of the model's parameters.
result DANA fully incorporates momentum in asynchronous training with almost no ramifications to final accuracy.
POAP and pySOT improve surrogate optimization of expensive functions.
problem Optimizing expensive functions with concurrent evaluations.
method Event-driven asynchronous framework for optimization strategies.
result Asynchronous computation offers significant speed-up advantages.
FedBuff improves federated learning scalability with asynchronous updates.
problem Limited scalability of federated learning with synchronous updates.
method Introduces asynchronous updates (staleness) in federated learning.
result Theoretical analysis shows improved convergence rate with boundedness removed.
Sparsification improves convergence in asynchronous distributed SGD, even in the presence of staleness.
problem Staleness in asynchronous distributed SGD.
method Applied sparsification to reduce communication overheads in distributed asynchronous settings.
result The ergodic convergence rate of sparsified asynchronous SGD matches that of vanilla SGD, $\mathcal{O} \left( 1/\sqrt{T}
ight)$, even in the presence of staleness.
The asymptotic pseudo-trajectory approach to stochastic approximation of Benaim, Hofbauer and Sorin is extended for asynchronous stochastic approximations with a set-valued mean field. The asynchronicity of the process is incorporated into the mean field to produce convergence results which remain similar to those of a…
PARyOpt optimizes functions asynchronously, reducing wall clock time.
problem Efficiently optimizing functions on distributed systems with asynchronous evaluations.
method Parallel asynchronous Bayesian optimization.
result Reduces total optimization time for various test problems.
We show that asymptotically, completely asynchronous stochastic gradient procedures achieve optimal (even to constant factors) convergence rates for the solution of convex optimization problems under nearly the same conditions required for asymptotic optimality of standard stochastic gradient procedures. Roughly, the n…
Asynchronous MCMC speeds up sampling with elastic coupling.
problem Parallel asynchronous sampling for stochastic gradient MCMC.
method Stochastic gradient Hamiltonian Monte Carlo with elastic coupling.
result Significantly speeds up exploration of target distribution.
Unified analysis of asynchronous-SGD algorithms for distributed learning.
problem Analyzing asynchronous-SGD in heterogeneous settings with varying speeds and data distributions.
method Unified convergence theory for non-convex smooth functions, including pure asynchronous SGD and its modifications.
result Unified convergence rates for various asynchronous algorithms, including novel methods.
Paper proves CLTs for Q-learning with asynchronous updates.
problem Establishing convergence rates for Q-learning algorithms.
method Polyak-Ruppert averaging, non-asymptotic and functional CLTs.
result Convergence rates in Wasserstein distance for Q-learning.
Accelerates optimization in asynchronous systems with sparse updates.
problem Optimizing finite-sum objectives in asynchronous lock-free environments.
method New accelerated SVRG variant with sparse updates.
result Achieves optimal incremental gradient complexity.
New stability and convergence conditions for asynchronous SAs with biased approximations.
problem Stability and convergence issues in asynchronous SAs with biased approximation errors.
method Verifiable sufficient conditions for stability and convergence of asynchronous SAs with asymptotically biased errors.
result Stability of asynchronous SAs is unaffected by asymptotically bounded biased approximation errors.
Improves asynchronous federated learning with queuing dynamics.
problem Asynchronous federated learning with varying node computational speeds.
method Proposes a non-uniform sampling scheme for the central server.
result Significant improvement over current algorithms on image classification.