arXiv subjects

Bin Li

Publications and source records attributed to Bin Li.

720 records · Page 40Linked to original sources

arXiv2013

Online Portfolio Selection: A Survey

Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining, etc. This article aims to provide a comprehensive survey and a structural understanding of published online portfolio selection techniques. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, "Follow-the-Winner" approaches, "Follow-the-Loser" approaches, "Pattern-Matching" based approaches, and "Meta-Learning Algorithms". In addition to the problem formulation and related algorithms, we also discuss the relationship of these algorithms with the Capital Growth theory in order to better understand the similarities and differences of their underlying trading ideas. This article aims to provide a timely and comprehensive survey for both machine learning and data mining researchers in academia and quantitative portfolio managers in the financial industry to help them understand the state-of-the-art and facilitate their research and practical applications. We also discuss some open issues and evaluate some emerging new trends for future research directions.

q-fin.CP↗

arXiv2013

Crystal Structure on the Category of Modules over Colored Planar Rook Algebra

Colored planar rook algebra is a semigroup algebra in which the basis element has a diagrammatic description. The category of finite dimensional modules over this algebra is completely reducible and suitable functors are defined on this category so that it admits a crystal structure in the sense of Kashiwara. We show that the category and functors categorify the crystal bases for the polynomial representations of quantized enveloping algebra $U_q(gl_{n+1})$.

math.RT↗

arXiv2012

A Cartesian Quasi-classical Model to Nonequilibrium Quantum Transport: The Anderson Impurity Model

We apply the recently proposed quasi-classical approach for a second quantized many-electron Hamiltonian in Cartesian coordinates [J. Chem. Phys. 137, 154107 (2012)] to correlated nonequilibrium quantum transport. The approach provides accurate results for the resonant level model for a wide range of temperatures, bias and gate voltages, correcting for the flaws of our recently proposed mapping using action-angle variables. When electron-electron interactions are included, higher order schemes are required to map the two-electron integrals, leading to semi-quantitative results for the Anderson impurity model. In particular, we show that the current mapping is capable of capturing qualitatively the Coulomb blockade effect.

cond-mat.mes-hall↗

arXiv2012

An Adaptive Successive Cancellation List Decoder for Polar Codes with Cyclic Redundancy Check

In this letter, we propose an adaptive SC (Successive Cancellation)-List decoder for polar codes with CRC. This adaptive SC-List decoder iteratively increases the list size until the decoder outputs contain at least one survival path which can pass CRC. Simulation shows that the adaptive SC-List decoder provides significant complexity reduction. We also demonstrate that polar code (2048, 1024) with 24-bit CRC decoded by our proposed adaptive SC-List decoder with very large list size can achieve a frame error rate FER=0.001 at Eb/No=1.1dB, which is about 0.2dB from the information theoretic limit at this block length.

cs.IT↗

arXiv2012

Carrier dependent ferromagnetism in chromium doped topological insulator $Cr_{0.2}Bi_xSb_{1.8-x}Te_3$

Carrier-independent ferromagnetism of chromium doped topological insulator $Bi_xSb_{2-x}Te_3$ thin films,which cannot be explained by current theory of dilute magnetic semiconductor, has been reported recently. To study if it is related to the distinctive surface state of topological insulator, we studied the structural, magnetic and transport characters of $Cr_{0.2}Bi_xSb_{1.8-x}Te_3$ single crystals. The Curie temperature $T_c$, which is determined from magnetization and anomalous Hall effect measurements by Arrott plots, is found to be proportional to $p^{1/3}$, where p is the hole density. This fact supports a scenario of RKKY interaction with mean-field approximation. This carrier density dependent nature enables tuning and controlling of the magnetic properties by applying a gate voltage in the future science researches and spintronics applications.

cond-mat.mtrl-sci↗

arXiv2012

On-Line Portfolio Selection with Moving Average Reversion

On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a new on-line portfolio selection strategy named "On-Line Moving Average Reversion" (OLMAR), which exploits MAR by applying powerful online learning techniques. From our empirical results, we found that OLMAR can overcome the drawback of existing mean reversion algorithms and achieve significantly better results, especially on the datasets where the existing mean reversion algorithms failed. In addition to superior trading performance, OLMAR also runs extremely fast, further supporting its practical applicability to a wide range of applications.

cs.CE↗

arXiv2012

Groupwise Constrained Reconstruction for Subspace Clustering

Reconstruction based subspace clustering methods compute a self reconstruction matrix over the samples and use it for spectral clustering to obtain the final clustering result. Their success largely relies on the assumption that the underlying subspaces are independent, which, however, does not always hold in the applications with increasing number of subspaces. In this paper, we propose a novel reconstruction based subspace clustering model without making the subspace independence assumption. In our model, certain properties of the reconstruction matrix are explicitly characterized using the latent cluster indicators, and the affinity matrix used for spectral clustering can be directly built from the posterior of the latent cluster indicators instead of the reconstruction matrix. Experimental results on both synthetic and real-world datasets show that the proposed model can outperform the state-of-the-art methods.

cs.LG↗

arXiv2012

Controllable spin singlet - spin triplet transition in three concentric quantum rings through magnetic field and confinement potential

We present a theoretical study of the spectrum of electrons confined in triple concentric rings. An unusual ordering and rich variety of angular momentum transitions are found that depend on the coupling between the rings and the confinement potential of the rings. Using the Configuration Interaction (CI) method, we calculated the two electron energy spectrum. Spin singlet to spin triplet transitions of the electron ground state are predicted and a fractional Aharonov-Bohm effect is found. We show that both the period and amplitude of the spin singlet - triplet energy gap depend strongly on the confinement potential and the external magnetic field. The spin singlet - triplet transition is found to depend on the spin Zeeman energy, especially for rings with weak confinement and in the presence of large magnetic field. The amplitude of the spin singlet - triplet energy gap depends on the Landé $g$-factor but the period of the transitions is independent of $g$.

cond-mat.mes-hall↗

arXiv2012

Tunable optical Aharonov-Bohm effect in a semiconductor quantum ring

By applying an electric field perpendicular to a semiconductor quantum ring we show that it is possible to modify the single particle wave function between quantum dot (QD)-like to ring-like. The constraints on the geometrical parameters of the quantum ring to realize such a transition are derived. With such a perpendicular electric field we are able to tune the Aharanov-Bohm (AB) effect for both single particles and for excitons. The tunability is in both the strength of the AB-effect as well as in its periodicity. We also investigate the strain induce potential inside the self assembled quantum ring and the effect of the strain on the AB effect.

cond-mat.mes-hall↗

arXiv2012

A Fast-CSMA Algorithm for Deadline-Constrained Scheduling over Wireless Fading Channels

Recently, low-complexity and distributed Carrier Sense Multiple Access (CSMA)-based scheduling algorithms have attracted extensive interest due to their throughput-optimal characteristics in general network topologies. However, these algorithms are not well-suited for serving real-time traffic under time-varying channel conditions for two reasons: (1) the mixing time of the underlying CSMA Markov Chain grows with the size of the network, which, for large networks, generates unacceptable delay for deadline-constrained traffic; (2) since the dynamic CSMA parameters are influenced by the arrival and channel state processes, the underlying CSMA Markov Chain may not converge to a steady-state under strict deadline constraints and fading channel conditions. In this paper, we attack the problem of distributed scheduling for serving real-time traffic over time-varying channels. Specifically, we consider fully-connected topologies with independently fading channels (which can model cellular networks) in which flows with short-term deadline constraints and long-term drop rate requirements are served. To that end, we first characterize the maximal set of satisfiable arrival processes for this system and, then, propose a Fast-CSMA (FCSMA) policy that is shown to be optimal in supporting any real-time traffic that is within the maximal satisfiable set. These theoretical results are further validated through simulations to demonstrate the relative efficiency of the FCSMA policy compared to some of the existing CSMA-based algorithms.

cs.NI↗

arXiv2012

Decomposition of the Symmetric Powers

A decomposition of any symmetric power of $\Bbb C^2\otimes\Bbb C^2\otimes\Bbb C^2$ into irreducible $sl_2(\Bbb C)\oplus sl_2(\Bbb C)\oplus sl_2(\Bbb C)$-submodules are presented. Namely, the multiplicities of irreducible summands in the symmetric power are determined.

math.RA↗

arXiv2010

Optimization Framework and Graph-Based Approach for Relay-Assisted Bidirectional OFDMA Cellular Networks

This paper considers a relay-assisted bidirectional cellular network where the base station (BS) communicates with each mobile station (MS) using OFDMA for both uplink and downlink. The goal is to improve the overall system performance by exploring the full potential of the network in various dimensions including user, subcarrier, relay, and bidirectional traffic. In this work, we first introduce a novel three-time-slot time-division duplexing (TDD) transmission protocol. This protocol unifies direct transmission, one-way relaying and network-coded two-way relaying between the BS and each MS. Using the proposed three-time-slot TDD protocol, we then propose an optimization framework for resource allocation to achieve the following gains: cooperative diversity (via relay selection), network coding gain (via bidirectional transmission mode selection), and multiuser diversity (via subcarrier assignment). We formulate the problem as a combinatorial optimization problem, which is NP-complete. To make it more tractable, we adopt a graph-based approach. We first establish the equivalence between the original problem and a maximum weighted clique problem in graph theory. A metaheuristic algorithm based on any colony optimization (ACO) is then employed to find the solution in polynomial time. Simulation results demonstrate that the proposed protocol together with the ACO algorithm significantly enhances the system total throughput.

cs.IT↗

arXiv2010

Composition Series of Tensor Product

Given a quantized enveloping algebra $U_q(\mathfrak g)$ and a pair of dominant weights ($λ$, $μ$), we extend a conjecture raised by Lusztig in \cite{Lusztig:1992}to a more general form and then prove this extended Lusztig's conjecture. Namely we prove that for any symmetrizable Kac-Moody algebra $\mathfrak g$, there is a composition series of the $U_q(\mathfrak g)$-module $V(λ)\otimes V(μ)$ compatible with the canonical basis. As a byproduct, the celebrated Littlewood-Richardson rule is derived and we also construct, in the same manner, a composition series of $V(λ)\otimes V(-μ)$ compatible with the canonical basis when $\mathfrak g$ is of affine type and the level of $λ-μ$ is nonzero.

math.QA↗

arXiv2010

Canonical bases and quantum coordinate ring

Some filtrations of the tensor product of a highest weight module and a lowest weight module over quantum group $U_q(\mathfrak g)$ are constructed in \cite{LZ:2009} and one can use them to define some ideals of the modified quantized enveloping algebra. It is shown that the quotient algebras inherit canonical bases from the modified quantized enveloping algebra and are dual to the quantum coordinate ring defined by Kashiwara for symmetrizable Kac-Moody algebra $\mathfrak g$.

math.QA↗

arXiv2008

Bayesian models to adjust for response bias in survey data for estimating rape and domestic violence rates from the NCVS

It is difficult to accurately estimate the rates of rape and domestic violence due to the sensitive nature of these crimes. There is evidence that bias in estimating the crime rates from survey data may arise because some women respondents are "gagged" in reporting some types of crimes by the use of a telephone rather than a personal interview, and by the presence of a spouse during the interview. On the other hand, as data on these crimes are collected every year, it would be more efficient in data analysis if we could identify and make use of information from previous data. In this paper we propose a model to adjust the estimates of the rates of rape and domestic violence to account for the response bias due to the "gag" factors. To estimate parameters in the model, we identify the information that is not sensitive to time and incorporate this into prior distributions. The strength of Bayesian estimators is their ability to combine information from long observational records in a sensible way. Within a Bayesian framework, we develop an Expectation-Maximization-Bayesian (EMB) algorithm for computation in analyzing contingency table and we apply the jackknife to estimate the accuracy of the estimates. Our approach is illustrated using the yearly crime data from the National Crime Victimization Survey. The illustration shows that compared with the classical method, our model leads to more efficient estimation but does not require more complicated computation.

stat.ME↗

arXiv2008

Hierarchical Additive Modeling of Nonlinear Association with Spatial Correlations-An Application to Relate Alcohol Outlet Density and Neighborhood Assault Rates

Previous studies have suggested a link between alcohol outlets and assaultive violence. In this paper, we explore the effects of alcohol availability on assault crimes at the census tract level over time. The statistical analysis is challenged by several features of the data: (1) the effects of possible covariates (for example, the alcohol outlet density of each census tract) on the assaultive crime rates may be complex; (2) the covariates may be highly correlated with each other; (3) there are a lot of missing inputs in the data; and (4) spatial correlations exist in the outcome assaultive crime rates. We propose a hierarchical additive model, where the nonlinear correlations and the complex interaction effects are modeled using the multiple additive regression trees (MART) and the spatial variances in the assaultive rates that cannot be explained by the specified covariates are smoothed trough the Conditional Autoregressive (CAR) model. We develop a two-stage algorithm that connect the non-parametric trees with CAR to look for important variables covariates associated with the assaultive crime rates, while taking account of the spatial correlations among adjacent census tracts. The proposed methods are applied to the Los Angeles assaultive data (1990-1999) and compared with traditional method.

stat.AP↗

arXiv2005

Shape complexity and fractality of fracture surfaces of swelled isotactic polypropylene with supercritical carbon dioxide

We have investigated the fractal characteristics and shape complexity of the fracture surfaces of swelled isotactic polypropylene Y1600 in supercritical carbon dioxide fluid through the consideration of the statistics of the islands in binary SEM images. The distributions of area $A$, perimeter $L$, and shape complexity $C$ follow power laws $p(A)\sim A^{-(μ_A+1)}$, $p(L)\sim L^{-(μ_L+1)}$, and $p(C)\sim C^{-(ν+1)}$, with the scaling ranges spanning over two decades. The perimeter and shape complexity scale respectively as $L\sim A^{D/2}$ and $C\sim A^q$ in two scaling regions delimited by $A\approx 10^3$. The fractal dimension and shape complexity increase when the temperature decreases. In addition, the relationships among different power-law scaling exponents $μ_A$, $μ_B$, $ν$, $D$, and $q$ have been derived analytically, assuming that $A$, $L$, and $C$ follow power-law distributions.

cond-mat.stat-mech↗

arXiv1994

Critical Exponents, Hyperscaling and Universal Amplitude Ratios for Two- and Three-Dimensional Self-Avoiding Walks

We make a high-precision Monte Carlo study of two- and three-dimensional self-avoiding walks (SAWs) of length up to 80000 steps, using the pivot algorithm and the Karp-Luby algorithm. We study the critical exponents $ν$ and $2Δ_4 -γ$ as well as several universal amplitude ratios; in particular, we make an extremely sensitive test of the hyperscaling relation $dν= 2Δ_4 -γ$. In two dimensions, we confirm the predicted exponent $ν= 3/4$ and the hyperscaling relation; we estimate the universal ratios $\ / \ = 0.14026 \pm 0.00007$, $\ / \ = 0.43961 \pm 0.00034$ and $Ψ^* = 0.66296 \pm 0.00043$ (68\% confidence limits). In three dimensions, we estimate $ν= 0.5877 \pm 0.0006$ with a correction-to-scaling exponent $Δ_1 = 0.56 \pm 0.03$ (subjective 68\% confidence limits). This value for $ν$ agrees excellently with the field-theoretic renormalization-group prediction, but there is some discrepancy for $Δ_1$. Earlier Monte Carlo estimates of $ν$, which were $\approx\! 0.592$, are now seen to be biased by corrections to scaling. We estimate the universal ratios $\ / \ = 0.1599 \pm 0.0002$ and $Ψ^* = 0.2471 \pm 0.0003$; since $Ψ^* > 0$, hyperscaling holds. The approach to $Ψ^*$ is from above, contrary to the prediction of the two-parameter renormalization-group theory. We critically reexamine this theory, and explain where the error lies.

hep-lat↗