Time series forecasting is important in finance domain. Financial time series (TS) patterns are influenced by both short-term public opinions and medium-/long-term policy and market trends. Hence, processing multi-period inputs becomes crucial for accurate financial time series forecasting (TSF). However, current TSF models either use only single-period input, or lack customized designs for addressing multi-period characteristics. In this paper, we propose a Multi-period Learning Framework (MLF) to enhance financial TSF performance. MLF considers both TSF's accuracy and efficiency requirements. Specifically, we design three new modules to better integrate the multi-period inputs for improving accuracy: (i) Inter-period Redundancy Filtering (IRF), that removes the information redundancy between periods for accurate self-attention modeling, (ii) Learnable Weighted-average Integration (LWI), that effectively integrates multi-period forecasts, (iii) Multi-period self-Adaptive Patching (MAP), that mitigates the bias towards certain periods by setting the same number of patches across all periods. Furthermore, we propose a Patch Squeeze module to reduce the number of patches in self-attention modeling for maximized efficiency. MLF incorporates multiple inputs with varying lengths (periods) to achieve better accuracy and reduces the costs of selecting input lengths during training. The codes and datasets are available at https://github.com/Meteor-Stars/MLF.

The ever-growing collections of data series create a pressing need for efficient similarity search, which serves as the backbone for various analytics pipelines. Recent studies have shown that tree-based series indexes excel in many scenarios. However, we observe a significant waste of effort during search, due to suboptimal pruning. To address this issue, we introduce LeaFi, a novel framework that uses machine learning models to boost pruning effectiveness of tree-based data series indexes. These models act as learned filters, which predict tight node-wise distance lower bounds that are used to make pruning decisions, thus, improving pruning effectiveness. We describe the LeaFi-enhanced index building algorithm, which selects leaf nodes and generates training data to insert and train machine learning models, as well as the LeaFi-enhanced search algorithm, which calibrates learned filters at query time to support the user-defined quality target of each query. Our experimental evaluation, using two different tree-based series indexes and five diverse datasets, demonstrates the advantages of the proposed approach. LeaFi-enhanced data-series indexes improve pruning ratio by up to 20x and search time by up to 32x, while maintaining a target recall of 99%.

Despite the increasing success of Machine Learning (ML) techniques in real-world applications, their maintenance over time remains challenging. In particular, the prediction accuracy of deployed ML models can suffer due to significant changes between training and serving data over time, known as data drift. Traditional data drift solutions primarily focus on detecting drift, and then retraining the ML models, but do not discern whether the detected drift is harmful to model performance. In this paper, we observe that not all data drifts lead to degradation in prediction accuracy. We then introduce a novel approach for identifying portions of data distributions in serving data where drift can be potentially harmful to model performance, which we term Data Distributions with Low Accuracy (DDLA). Our approach, using decision trees, precisely pinpoints low-accuracy zones within ML models, especially Blackbox models. By focusing on these DDLAs, we effectively assess the impact of data drift on model performance and make informed decisions in the ML pipeline. In contrast to existing data drift techniques, we advocate for model retraining only in cases of harmful drifts that detrimentally affect model performance. Through extensive experimental evaluations on various datasets and models, our findings demonstrate that our approach significantly improves cost-efficiency over baselines, while achieving comparable accuracy.

Graph-based indexes have been widely employed to accelerate approximate similarity search of high-dimensional vectors. However, the performance of graph indexes to answer different queries varies vastly, leading to an unstable quality of service for downstream applications. This necessitates an effective measure to test query hardness on graph indexes. Nonetheless, popular distance-based hardness measures like LID lose their effects due to the ignorance of the graph structure. In this paper, we propose Steiner -hardness, a novel connection-based graph-native query hardness measure. Specifically, we first propose a theoretical framework to analyze the minimum query effort on graph indexes and then define Steiner -hardness as the minimum effort on a representative graph. Moreover, we prove that our Steiner -hardness is highly relevant to the classical Directed Steiner Tree (DST) problems. In this case, we design a novel algorithm to reduce our problem to DST problems and then leverage their solvers to help calculate Steiner -hardness efficiently. Compared with LID and other similar measures, Steiner -hardness shows a significantly better correlation with the actual query effort on various datasets. Additionally, an unbiased evaluation designed based on Steiner -hardness reveals new ranking results, indicating a meaningful direction for enhancing the robustness of graph indexes.

Data series indexes are necessary for managing and analyzing the increasing amounts of data series collections that are nowadays available. These indexes support both exact and approximate similarity search, with approximate search providing high-quality results within milliseconds, which makes it very attractive for certain modern applications. Reducing the pre-processing (i.e., index building) time and improving the accuracy of search results are two major challenges. DSTree and the iSAX index family are state-of-the-art solutions for this problem. However, DSTree suffers from long index building times, while iSAX suffers from low search accuracy. In this paper, we identify two problems of the iSAX index family that adversely affect the overall performance. First, we observe the presence of a proximity-compactness trade-off related to the index structure design (i.e., the node fanout degree), significantly limiting the efficiency and accuracy of the resulting index. Second, a skewed data distribution will negatively affect the performance of iSAX. To overcome these problems, we propose Dumpy, an index that employs a novel multi-ary data structure with an adaptive node splitting algorithm and an efficient building workflow. Furthermore, we devise Dumpy-Fuzzy as a variant of Dumpy which further improves search accuracy by proper duplication of series. Experiments with a variety of large, real datasets demonstrate that the Dumpy solutions achieve considerably better efficiency, scalability and search accuracy than its competitors.

A key operation for massive data series collection analysis is similarity search. According to recent studies, SAX-based indexes offer state-of-the-art performance for similarity search tasks. However, their performance lags under high-frequency, weakly correlated, excessively noisy, or other dataset-specific properties. In this work, we propose Deep Embedding Approximation (DEA), a novel family of data series summarization techniques based on deep neural networks. Moreover, we describe SEAnet, a novel architecture especially designed for learning DEA, that introduces the Sum of Squares preservation property into the deep network design. We further enhance SEAnet with SEAtrans encoder. Finally, we propose novel sampling strategies, SEAsam and SEAsamE, that allow SEAnet to effectively train on massive datasets. Comprehensive experiments on 7 diverse synthetic and real datasets verify the advantages of DEA learned using SEAnet in providing high-quality data series summarizations and similarity search results.

Epilepsy is a chronic neurological disease, ranked as the second most burdensome neurological disorder worldwide. Detecting Interictal Epileptiform Discharges (IEDs) is among the most important clinician operations to support epilepsy diagnosis, rendering automatic IED detection based on electroencephalography (EEG) signals an important topic. However, most existing solutions were designed and evaluated upon artificially balanced IED datasets, which do not conform to the real-world highly imbalanced scenarios. In this work, we propose the iEDeaL framework for automatic IED detection in challenging real-world use cases. The main components of iEDeaL are the new SC neural network architecture, to efficiently detect IEDs on raw EEG series instead of extracted features, and SaSu, a novel loss function to train SC by optimizing the F β -score. Experiments on two real-world imbalanced IED datasets verify the advantages of iEDeaL in offering more accurate and efficient IED detection when compared with other state-of-the-art deep learning-based and spectrogram feature-based solutions.

A key operation for the (increasingly large) data series collection analysis is similarity search. According to recent studies, SAX-based indexes offer state-of-the-art performance for similarity search tasks. However, their performance lags under high-frequency, weakly correlated, excessively noisy, or other dataset-specific properties. In this work, we propose Deep Embedding Approximation (DEA), a novel family of data series summarization techniques based on deep neural networks. Moreover, we describe SEAnet, a novel architecture especially designed for learning DEA, that introduces the Sum of Squares preservation property into the deep network design. Finally, we propose a new sampling strategy, SEASam, that allows SEAnet to effectively train on massive datasets. Comprehensive experiments on 7 diverse synthetic and real datasets verify the advantages of DEA learned using SEAnet, when compared to other state-of-the-art traditional and DEA solutions, in providing high-quality data series summarizations and similarity search results.