We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilizes convolutional filters to capture the spatial structure of the LOBs as well as long short-term memory modules to capture longer time dependencies. The proposed network outperforms all existing state-of-the-art algorithms on the benchmark LOB dataset [A. Ntakaris, M. Magris, J. Kanniainen, M. Gabbouj, and A. Iosifidis, “Benchmark dataset for mid-price prediction of limit order book data with machine learning methods,” J. Forecasting , vol. 37, no. 8, 852–866, 2018]. In a more realistic setting, we test our model by using one-year market quotes from the London Stock Exchange, and the model delivers a remarkably stable out-of-sample prediction accuracy for a variety of instruments. Importantly, our model translates well to instruments that were not part of the training set, indicating the model's ability to extract universal features. In order to better understand these features and to go beyond a “black box” model, we perform a sensitivity analysis to understand the rationale behind the model predictions and reveal the components of LOBs that are most relevant. The ability to extract robust features that translate well to other instruments is an important property of our model, which has many other applications.
Arguably, one of the key contributions of modern deep learning is the addition of feature extraction and representation as part of the learned model. The Convolutional Neural Network (CNN) @cite_53 is a prime example, in which information extraction, in the form of filter banks, is automatically tuned to the utility function that the entire network aims to optimise. CNNs have been successfully applied to various application domains, for example, object tracking @cite_6 , object-detection @cite_40 and segmentation @cite_56 . However, there have been but a few published works that adopt CNNs to analyse financial microstructure data @cite_23 @cite_68 @cite_64 and the existing CNN architectures are rather unsophisticated and lack of thorough investigation. Just like when moving from AlexNet'' @cite_1 to VGGNet'' @cite_24 , we show that a careful design of network archiecture can lead to better results compared with all existing methods.
@cite_64 @cite_53 @cite_1 @cite_6 @cite_56 @cite_24 @cite_40 @cite_23 @cite_68
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Convolutional neural network (CNN) has achieved the state-of-the-art performance in many different visual tasks. Learned from a large-scale training data set, CNN features are much more discriminative and accurate than the handcrafted features. Moreover, CNN features are also transferable among different domains. On the other hand, traditional dictionary-based features (such as BoW and spatial pyramid matching) contain much more local discriminative and structural information, which is implicitly embedded in the images. To further improve the performance, in this paper, we propose to combine CNN with dictionary-based models for scene recognition and visual domain adaptation (DA). Specifically, based on the well-tuned CNN models (e.g., AlexNet and VGG Net), two dictionary-based representations are further constructed, namely, mid-level local representation (MLR) and convolutional Fisher vector (CFV) representation. In MLR, an efficient two-stage clustering method, i.e., weighted spatial and feature space spectral clustering on the parts of a single image followed by clustering all representative parts of all images, is used to generate a class-mixture or a class-specific part dictionary. After that, the part dictionary is used to operate with the multiscale image inputs for generating mid-level representation. In CFV, a multiscale and scale-proportional Gaussian mixture model training strategy is utilized to generate Fisher vectors based on the last convolutional layer of CNN. By integrating the complementary information of MLR, CFV, and the CNN features of the fully connected layer, the state-of-the-art performance can be achieved on scene recognition and DA problems. An interested finding is that our proposed hybrid representation (from VGG net trained on ImageNet) is also complementary to GoogLeNet and or VGG-11 (trained on Place205) greatly. Recently, neuron activations extracted from a pre-trained convolutional neural network (CNN) show promising performance in various visual tasks. However, due to the domain and task bias, using the features generated from the model pre-trained for image classification as image representations for instance retrieval is problematic. In this paper, we propose quartet-net learning to improve the discriminative power of CNN features for instance retrieval. The general idea is to map the features into a space where the image similarity can be better evaluated. Our network differs from the traditional Siamese-net in two ways. First, we adopt a double-margin contrastive loss with a dynamic margin tuning strategy to train the network which leads to more robust performance. Second, we introduce in the mimic learning regularization to improve the generalization ability of the network by preventing it from overfitting to the training data. Catering for the network learning, we collect a large-scale dataset, namely GeoPair, which consists of 68k matching image pairs and 63k non-matching pairs. Experiments on several standard instance retrieval datasets demonstrate the effectiveness of our method. Recently, very deep convolutional neural networks (CNNs) have shown outstanding performance in object recognition and have also been the first choice for dense classification problems such as semantic segmentation. However, repeated subsampling operations like pooling or convolution striding in deep CNNs lead to a significant decrease in the initial image resolution. Here, we present RefineNet, a generic multi-path refinement network that explicitly exploits all the information available along the down-sampling process to enable high-resolution prediction using long-range residual connections. In this way, the deeper layers that capture high-level semantic features can be directly refined using fine-grained features from earlier convolutions. The individual components of RefineNet employ residual connections following the identity mapping mindset, which allows for effective end-to-end training. Further, we introduce chained residual pooling, which captures rich background context in an efficient manner. We carry out comprehensive experiments and set new state-of-the-art results on seven public datasets. In particular, we achieve an intersection-over-union score of 83.4 on the challenging PASCAL VOC 2012 dataset, which is the best reported result to date. Recently, very deep convolutional neural networks (CNNs) have shown outstanding performance in object recognition and have also been the first choice for dense classification problems such as semantic segmentation. However, repeated subsampling operations like pooling or convolution striding in deep CNNs lead to a significant decrease in the initial image resolution. Here, we present RefineNet, a generic multi-path refinement network that explicitly exploits all the information available along the down-sampling process to enable high-resolution prediction using long-range residual connections. In this way, the deeper layers that capture high-level semantic features can be directly refined using fine-grained features from earlier convolutions. The individual components of RefineNet employ residual connections following the identity mapping mindset, which allows for effective end-to-end training. Further, we introduce chained residual pooling, which captures rich background context in an efficient manner. We carry out comprehensive experiments and set new state-of-the-art results on seven public datasets. In particular, we achieve an intersection-over-union score of 83.4 on the challenging PASCAL VOC 2012 dataset, which is the best reported result to date. Compared to earlier multistage frameworks using CNN features, recent end-to-end deep approaches for fine-grained recognition essentially enhance the mid-level learning capability of CNNs. Previous approaches achieve this by introducing an auxiliary network to infuse localization information into the main classification network, or a sophisticated feature encoding method to capture higher order feature statistics. We show that mid-level representation learning can be enhanced within the CNN framework, by learning a bank of convolutional filters that capture class-specific discriminative patches without extra part or bounding box annotations. Such a filter bank is well structured, properly initialized and discriminatively learned through a novel asymmetric multi-stream architecture with convolutional filter supervision and a non-random layer initialization. Experimental results show that our approach achieves state-of-the-art on three publicly available fine-grained recognition datasets (CUB-200-2011, Stanford Cars and FGVC-Aircraft). Ablation studies and visualizations are provided to understand our approach. In recent years considerable research efforts have been devoted to compression techniques of convolutional neural networks (CNNs). Many works so far have focused on CNN connection pruning methods which produce sparse parameter tensors in convolutional or fully-connected layers. It has been demonstrated in several studies that even simple methods can effectively eliminate connections of a CNN. However, since these methods make parameter tensors just sparser but no smaller, the compression may not transfer directly to acceleration without support from specially designed hardware. In this paper, we propose an iterative approach named Auto-balanced Filter Pruning, where we pre-train the network in an innovative auto-balanced way to transfer the representational capacity of its convolutional layers to a fraction of the filters, prune the redundant ones, then re-train it to restore the accuracy. In this way, a smaller version of the original network is learned and the floating-point operations (FLOPs) are reduced. By applying this method on several common CNNs, we show that a large portion of the filters can be discarded without obvious accuracy drop, leading to significant reduction of computational burdens. Concretely, we reduce the inference cost of LeNet-5 on MNIST, VGG-16 and ResNet-56 on CIFAR-10 by 95.1 , 79.7 and 60.9 , respectively. Copyright © 2018, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved. Deep convolutional neural networks (CNN) have seen tremendous success in large-scale generic object recognition. In comparison with generic object recognition, fine-grained image classification (FGIC) is much more challenging because (i) fine-grained labeled data is much more expensive to acquire (usually requiring domain expertise); (ii) there exists large intra-class and small inter-class variance. Most recent work exploiting deep CNN for image recognition with small training data adopts a simple strategy: pre-train a deep CNN on a large-scale external dataset (e.g., ImageNet) and fine-tune on the small-scale target data to fit the specific classification task. In this paper, beyond the fine-tuning strategy, we propose a systematic framework of learning a deep CNN that addresses the challenges from two new perspectives: (i) identifying easily annotated hyper-classes inherent in the fine-grained data and acquiring a large number of hyper-class-labeled images from readily available external sources (e.g., image search engines), and formulating the problem into multitask learning; (ii) a novel learning model by exploiting a regularization between the fine-grained recognition model and the hyper-class recognition model. We demonstrate the success of the proposed framework on two small-scale fine-grained datasets (Stanford Dogs and Stanford Cars) and on a large-scale car dataset that we collected. Most convolutional neural networks (CNNs) lack midlevel layers that model semantic parts of objects. This limits CNN-based methods from reaching their full potential in detecting and utilizing small semantic parts in recognition. Introducing such mid-level layers can facilitate the extraction of part-specific features which can be utilized for better recognition performance. This is particularly important in the domain of fine-grained recognition. In this paper, we propose a new CNN architecture that integrates semantic part detection and abstraction (SPDACNN) for fine-grained classification. The proposed network has two sub-networks: one for detection and one for recognition. The detection sub-network has a novel top-down proposal method to generate small semantic part candidates for detection. The classification sub-network introduces novel part layers that extract features from parts detected by the detection sub-network, and combine them for recognition. As a result, the proposed architecture provides an end-to-end network that performs detection, localization of multiple semantic parts, and whole object recognition within one framework that shares the computation of convolutional filters. Our method outperforms state-of-theart methods with a large margin for small parts detection (e.g. our precision of 93.40 vs the best previous precision of 74.00 for detecting the head on CUB-2011). It also compares favorably to the existing state-of-the-art on finegrained classification, e.g. it achieves 85.14 accuracy on CUB-2011. Recently there has been a lot of work on pruning filters from deep convolutional neural networks (CNNs) with the intention of reducing computations. The key idea is to rank the filters based on a certain criterion (say, l1-norm, average percentage of zeros, etc) and retain only the top ranked filters. Once the low scoring filters are pruned away the remainder of the network is fine tuned and is shown to give performance comparable to the original unpruned network. In this work, we report experiments which suggest that the comparable performance of the pruned network is not due to the specific criterion chosen but due to the inherent plasticity of deep neural networks which allows them to recover from the loss of pruned filters once the rest of the filters are fine-tuned. Specifically, we show counter-intuitive results wherein by randomly pruning 25-50 filters from deep CNNs we are able to obtain the same performance as obtained by using state of the art pruning methods. We empirically validate our claims by doing an exhaustive evaluation with VGG-16 and ResNet-50. Further, we also evaluate a real world scenario where a CNN trained on all 1000 ImageNet classes needs to be tested on only a small set of classes at test time (say, only animals). We create a new benchmark dataset from ImageNet to evaluate such class specific pruning and show that even here a random pruning strategy gives close to state of the art performance. Lastly, unlike existing approaches which mainly focus on the task of image classification, in this work we also report results on object detection. We show that using a simple random pruning strategy we can achieve significant speed up in object detection (74 improvement in fps) while retaining the same accuracy as that of the original Faster RCNN model.