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Quantifying Outlierness of Funds from their Categories using Supervised Similarity
Aug 14, 2023
Mutual fund categorization has become a standard tool for the investment management industry and is extensively used by allocators for portfolio construction and manager selection, as well as by fund managers for peer analysis and competitive positioning. As a result, a (unintended) miscategorization or lack of precision can significantly impact allocation decisions and investment fund managers. Here, we aim to quantify the effect of miscategorization of funds utilizing a machine learning based approach. We formulate the problem of miscategorization of funds as a distance-based outlier detection problem, where the outliers are the data-points that are far from the rest of the data-points in the given feature space. We implement and employ a Random Forest (RF) based method of distance metric learning, and compute the so-called class-wise outlier measures for each data-point to identify outliers in the data. We test our implementation on various publicly available data sets, and then apply it to mutual fund data. We show that there is a strong relationship between the outlier measures of the funds and their future returns and discuss the implications of our findings.
Best of Both Worlds: Hybrid SNN-ANN Architecture for Event-based Optical Flow Estimation
Jun 05, 2023
Event-based cameras offer a low-power alternative to frame-based cameras for capturing high-speed motion and high dynamic range scenes. They provide asynchronous streams of sparse events. Spiking Neural Networks (SNNs) with their asynchronous event-driven compute, show great potential for extracting the spatio-temporal features from these event streams. In contrast, the standard Analog Neural Networks (ANNs1) fail to process event data effectively. However, training SNNs is difficult due to additional trainable parameters (thresholds and leaks), vanishing spikes at deeper layers, non-differentiable binary activation function etc. Moreover, an additional data structure "membrane potential" responsible for keeping track of temporal information, must be fetched and updated at every timestep in SNNs. To overcome these, we propose a novel SNN-ANN hybrid architecture that combines the strengths of both. Specifically, we leverage the asynchronous compute capabilities of SNN layers to effectively extract the input temporal information. While the ANN layers offer trouble-free training and implementation on standard machine learning hardware such as GPUs. We provide extensive experimental analysis for assigning each layer to be spiking or analog in nature, leading to a network configuration optimized for performance and ease of training. We evaluate our hybrid architectures for optical flow estimation using event-data on DSEC-flow and Mutli-Vehicle Stereo Event-Camera (MVSEC) datasets. The results indicate that our configured hybrid architectures outperform the state-of-the-art ANN-only, SNN-only and past hybrid architectures both in terms of accuracy and efficiency. Specifically, our hybrid architecture exhibit a 31% and 24.8% lower average endpoint error (AEE) at 2.1x and 3.1x lower energy, compared to an SNN-only architecture on DSEC and MVSEC datasets, respectively.