Quantocracy: This is a curated mashup of quantitative trading links.
AutoGluon-TimeSeries: AutoML for Probabilistic Time Series Forecasting – Oleksandr Shchur, Caner Turkmen, Nick Erickson, Huibin Shen, Alexander Shirkov, Tony Hu, Yuyang Wang
We introduce AutoGluon-TimeSeries – an open-source AutoML library for probabilistic time series forecasting. Focused on ease of use and robustness, AutoGluon-TimeSeries enables users to generate accurate point and quantile forecasts with just 3 lines of Python code. Built on the design philosophy of AutoGluon, AutoGluon-TimeSeries leverages ensembles of diverse forecasting models to deliver high accuracy within a short training time. AutoGluon-TimeSeries combines both conventional statistical models, machine-learning based forecasting approaches, and ensembling techniques. In our evaluation on 29 benchmark datasets, AutoGluon-TimeSeries demonstrates strong empirical performance, outperforming a range of forecasting methods in terms of both point and quantile forecast accuracy, and often even improving upon the best-in-hindsight combination of prior methods.
Accelerated Quality-Diversity through Massive Parallelism – Bryan Lim, Maxime Allard, Luca Grillotti, Antoine Cully
Quality-Diversity (QD) optimization algorithms are a well-known approach to generate large collections of diverse and high-quality solutions. However, derived from evolutionary computation, QD algorithms are population-based methods which are known to be data-inefficient and requires large amounts of computational resources. This makes QD algorithms slow when used in applications where solution evaluations are computationally costly. A common approach to speed up QD algorithms is to evaluate solutions in parallel, for instance by using physical simulators in robotics. Yet, this approach is limited to several dozen of parallel evaluations as most physics simulators can only be parallelized more with a greater number of CPUs. With recent advances in simulators that run on accelerators, thousands of evaluations can now be performed in parallel on single GPU/TPU. In this paper, we present QDax, an accelerated implementation of MAP-Elites which leverages massive parallelism on accelerators to make QD algorithms more accessible. We show that QD algorithms are ideal candidates to take advantage of progress in hardware acceleration. We demonstrate that QD algorithms can scale with massive parallelism to be run at interactive timescales without any significant effect on the performance. Results across standard optimization functions and four neuroevolution benchmark environments shows that experiment runtimes are reduced by two factors of magnitudes, turning days of computation into minutes. More surprising, we observe that reducing the number of generations by two orders of magnitude, and thus having significantly shorter lineage does not impact the performance of QD algorithms. These results show that QD can now benefit from hardware acceleration, which contributed significantly to the bloom of deep learning.
Correlation-diversified portfolio construction by finding maximum independent set in large-scale market graph – Ryo Hidaka, Yohei Hamakawa, Jun Nakayama, Kosuke Tatsumura
Correlation-diversified portfolios can be constructed by finding the maximum independent sets (MISs) in market graphs with edges corresponding to correlations between two stocks. The computational complexity to find the MIS increases exponentially as the size of the market graph increases, making the MIS selection in a large-scale market graph difficult. Here we construct a diversified portfolio by solving the MIS problem for a large-scale market graph with a combinatorial optimization solver (an Ising machine) based on a quantum-inspired algorithm called simulated bifurcation (SB) and investigate the investment performance of the constructed portfolio using long-term historical market data. Comparisons using stock universes of various sizes [TOPIX 100, Nikkei 225, TOPIX 1000, and TOPIX (including approximately 2,000 constituents)] show that the SB-based solver outperforms conventional MIS solvers in terms of computation-time and solution-accuracy. By using the SB-based solver, we optimized the parameters of a MIS portfolio strategy through iteration of the backcast simulation that calculates the performance of the MIS portfolio strategy based on a large-scale universe covering more than 1,700 Japanese stocks for a long period of 10 years. It has been found that the best MIS portfolio strategy (Sharpe ratio = 1.16, annualized return/risk = 16.3%/14.0%) outperforms the major indices such as TOPIX (0.66, 10.0%/15.2%) and MSCI Japan Minimum Volatility Index (0.64, 7.7%/12.1%) for the period from 2013 to 2023.
Analyzing and controlling diversity in quantum-behaved particle swarm optimization – Li-Wei Li, Jun Sun, Chao Li, Wei Fang, Vasile Palade, Xiao-Jun Wu
This paper addresses the issues of controlling and analyzing the population diversity in quantum-behaved particle swarm optimization (QPSO), which is an optimization approach motivated by concepts in quantum mechanics and PSO. In order to gain an in-depth understanding of the role the diversity plays in the evolving process, we first define the genotype diversity by the distance to the average point of the particles’ positions and the phenotype diversity by the fitness values for the QPSO. Then, the correlations between the two types of diversities and the search performance are tested and analyzed on several benchmark functions, and the distance-to-average-point diversity is showed to have stronger association with the search performance during the evolving processes. Finally, in the light of the performed diversity analyses, two strategies for controlling the distance-to-average-point diversities are proposed for the purpose of improving the search ability of the QPSO algorithm. Empirical studies on the QPSO with the introduced diversity control methods are performed on a set of benchmark functions from the CEC 2005 benchmark suite. The performance of the proposed methods are evaluated and compared with the original QPSO and other PSO variants.
evosax: JAX-based Evolution Strategies – Robert Tjarko Lange
The deep learning revolution has greatly been accelerated by the ‘hardware lottery’: Recent advances in modern hardware accelerators and compilers paved the way for large-scale batch gradient optimization. Evolutionary optimization, on the other hand, has mainly relied on CPU-parallelism, e.g. using Dask scheduling and distributed multi-host infrastructure. Here we argue that also modern evolutionary computation can significantly benefit from the massive computational throughput provided by GPUs and TPUs. In order to better harness these resources and to enable the next generation of black-box optimization algorithms, we release evosax: A JAX-based library of evolution strategies which allows researchers to leverage powerful function transformations such as just-in-time compilation, automatic vectorization and hardware parallelization. evosax implements 30 evolutionary optimization algorithms including finite-difference-based, estimation-of-distribution evolution strategies and various genetic algorithms. Every single algorithm can directly be executed on hardware accelerators and automatically vectorized or parallelized across devices using a single line of code. It is designed in a modular fashion and allows for flexible usage via a simple ask-evaluate-tell API. We thereby hope to facilitate a new wave of scalable evolutionary optimization algorithms.