Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading purposes is even a more challenging task since an automated inference system is required to be both accurate and fast. In this paper, we propose a neural network layer architecture that incorporates the idea of bilinear projection as well as an attention mechanism that enables the layer to detect and focus on crucial temporal information. The resulting network is highly interpretable, given its ability to highlight the importance and contribution of each temporal instance, thus allowing further analysis on the time instances of interest. Our experiments in a large-scale Limit Order Book (LOB) dataset show that a two-hidden-layer network utilizing our proposed layer outperforms by a large margin all existing state-of-the-art results coming from much deeper architectures while requiring far fewer computations.
In order to improve both performance and interpretability, attention mechanism was proposed for the recurrent sequence-to-sequence learning problem (ASeq-RNN) @cite_4 . Given a sequence of multivariate inputs @math and an associated sequence of outputs @math , the Seq-RNN model with attention mechanism learns to generate @math from @math by using three modules: the encoder, the memory and the decoder. The encoder maps each input @math to a hidden state @math using the nonlinear transformation @math coming from a recurrent unit (LSTM or GRU). From the sequence of hidden states generated by the encoder @math , the memory module generates context vectors @math for each output value @math . In a normal recurrent model, the context vector is simply selected as the last hidden state @math while in the attention-based model, the context vectors provide summaries of the input sequence by linearly combining the hidden states @math through a set of attention weights @math learned by the following equations:
@cite_4
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In this paper, we investigate the use of recurrent neural networks (RNNs) in the context of search-based online advertising. We use RNNs to map both queries and ads to real valued vectors, with which the relevance of a given (query, ad) pair can be easily computed. On top of the RNN, we propose a novel attention network, which learns to assign attention scores to different word locations according to their intent importance (hence the name DeepIntent). The vector output of a sequence is thus computed by a weighted sum of the hidden states of the RNN at each word according their attention scores. We perform end-to-end training of both the RNN and attention network under the guidance of user click logs, which are sampled from a commercial search engine. We show that in most cases the attention network improves the quality of learned vector representations, evaluated by AUC on a manually labeled dataset. Moreover, we highlight the effectiveness of the learned attention scores from two aspects: query rewriting and a modified BM25 metric. We show that using the learned attention scores, one is able to produce sub-queries that are of better qualities than those of the state-of-the-art methods. Also, by modifying the term frequency with the attention scores in a standard BM25 formula, one is able to improve its performance evaluated by AUC. Recurrent neural nets (RNN) and convolutional neural nets (CNN) are widely used on NLP tasks to capture the long-term and local dependencies, respectively. Attention mechanisms have recently attracted enormous interest due to their highly parallelizable computation, significantly less training time, and flexibility in modeling dependencies. We propose a novel attention mechanism in which the attention between elements from input sequence(s) is directional and multi-dimensional (i.e., feature-wise). A light-weight neural net, "Directional Self-Attention Network (DiSAN)", is then proposed to learn sentence embedding, based solely on the proposed attention without any RNN CNN structure. DiSAN is only composed of a directional self-attention with temporal order encoded, followed by a multi-dimensional attention that compresses the sequence into a vector representation. Despite its simple form, DiSAN outperforms complicated RNN models on both prediction quality and time efficiency. It achieves the best test accuracy among all sentence encoding methods and improves the most recent best result by 1.02 on the Stanford Natural Language Inference (SNLI) dataset, and shows state-of-the-art test accuracy on the Stanford Sentiment Treebank (SST), Multi-Genre natural language inference (MultiNLI), Sentences Involving Compositional Knowledge (SICK), Customer Review, MPQA, TREC question-type classification and Subjectivity (SUBJ) datasets. The Nonlinear autoregressive exogenous (NARX) model, which predicts the current value of a time series based upon its previous values as well as the current and past values of multiple driving (exogenous) series, has been studied for decades. Despite the fact that various NARX models have been developed, few of them can capture the long-term temporal dependencies appropriately and select the relevant driving series to make predictions. In this paper, we propose a dual-stage attention-based recurrent neural network (DA-RNN) to address these two issues. In the first stage, we introduce an input attention mechanism to adaptively extract relevant driving series (a.k.a., input features) at each time step by referring to the previous encoder hidden state. In the second stage, we use a temporal attention mechanism to select relevant encoder hidden states across all time steps. With this dual-stage attention scheme, our model can not only make predictions effectively, but can also be easily interpreted. Thorough empirical studies based upon the SML 2010 dataset and the NASDAQ 100 Stock dataset demonstrate that the DA-RNN can outperform state-of-the-art methods for time series prediction. Abstract Recurrent Neural Networks (RNNs) have been widely used in natural language processing and computer vision. Amongst them, the Hierarchical Multi-scale RNN (HM-RNN), a recently proposed multi-scale hierarchical RNN, can automatically learn the hierarchical temporal structure from data. In this paper, we extend the work to solve the computer vision task of action recognition. However, in sequence-to-sequence models like RNN, it is normally very hard to discover the relationships between inputs and outputs given static inputs. As a solution, the attention mechanism can be applied to extract the relevant information from the inputs thus facilitating the modeling of the input–output relationships. Based on these considerations, we propose a novel attention network, namely Hierarchical Multi-scale Attention Network (HM-AN), by incorporating the attention mechanism into the HM-RNN and applying it to action recognition. A newly proposed gradient estimation method for stochastic neurons, namely Gumbel-softmax, is exploited to implement the temporal boundary detectors and the stochastic hard attention mechanism. To reduce the negative effect of the temperature sensitivity of the Gumbel-softmax, an adaptive temperature training method is applied to improve the system performance. The experimental results demonstrate the improved effect of HM-AN over LSTM with attention on the vision task. Through visualization of what has been learnt by the network, it can be observed that both the attention regions of the images and the hierarchical temporal structure can be captured by a HM-AN.