Generative modeling has transformed many fields, such as language and visual modeling, while its application in financial markets remains under-explored. As the minimal unit within a financial market is an order, order-flow modeling represents a fundamental generative financial task. However, current approaches often yield unsatisfactory fidelity in generating order flow, and their generation lacks controllability, thereby limiting their practical applications. In this paper, we formulate the challenge of controllable financial market generation, and propose a Diffusion Guided Meta Agent (DigMA) model to address it. Specifically, we employ a conditional diffusion model to capture the dynamics of the market state represented by time-evolving distribution parameters of the mid-price return rate and the order arrival rate, and we define a meta agent with financial economic priors to generate orders from the corresponding distributions. Extensive experimental results show that DigMA achieves superior controllability and generation fidelity. Moreover, we validate its effectiveness as a generative environment for downstream high-frequency trading tasks and its computational efficiency.

Recent advancements in latent diffusion models (LDMs) have markedly enhanced text-to-audio generation, yet their iterative sampling processes impose substantial computational demands, limiting practical deployment. While recent methods utilizing consistency-based distillation aim to achieve few-step or single-step inference, their one-step performance is constrained by curved trajectories, preventing them from surpassing traditional diffusion models. In this work, we introduce FlashAudio with rectified flows to learn straight flow for fast simulation. To alleviate the inefficient timesteps allocation and suboptimal distribution of noise, FlashAudio optimizes the time distribution of rectified flow with Bifocal Samplers and proposes immiscible flow to minimize the total distance of data-noise pairs in a batch vias assignment. Furthermore, to address the amplified accumulation error caused by the classifier-free guidance (CFG), we propose Anchored Optimization, which refines the guidance scale by anchoring it to a reference trajectory. Experimental results on text-to-audio generation demonstrate that FlashAudio’s one-step generation performance surpasses the diffusion-based models with hundreds of sampling steps on audio quality and enables a sampling speed of 400x faster than real-time on a single NVIDIA 4090Ti GPU. Code will be available at https://github.com/liuhuadai/FlashAudio. Audio Samples are available at https://FlashAudio-TTA.github.io/.

Generative models aim to simulate realistic effects of various actions across different contexts, from text generation to visual effects. Despite significant efforts to build real-world simulators, the application of generative models to virtual worlds, like financial markets, remains under-explored. In financial markets, generative models can simulate complex market effects of participants with various behaviors, enabling interaction under different market conditions, and training strategies without financial risk. This simulation relies on the finest structured data in financial market like orders thus building the finest realistic simulation. We propose Large Market Model (LMM), an order-level generative foundation model, for financial market simulation, akin to language modeling in the digital world. Our financial Market Simulation engine (MarS), powered by LMM, addresses the domain-specific need for realistic, interactive and controllable order generation. Key observations include LMM's strong scalability across data size and model complexity, and MarS's robust and practicable realism in controlled generation with market impact. We showcase MarS as a forecast tool, detection system, analysis platform, and agent training environment, thus demonstrating MarS's ``paradigm shift'' potential for a variety of financial applications. We release the code of MarS at https://github.com/microsoft/MarS/.

Modeling and reconstructing multidimensional physical dynamics from sparse and off-grid observations presents a fundamental challenge in scientific research. Recently, diffusion-based generative modeling shows promising potential for physical simulation. However, current approaches typically operate on on-grid data with preset spatiotemporal resolution, but struggle with the sparsely observed and continuous nature of real-world physical dynamics. To fill the gaps, we present SDIFT, Sequential DIffusion in Functional Tucker space, a novel framework that generates full-field evolution of physical dynamics from irregular sparse observations. SDIFT leverages the functional Tucker model as the latent space representer with proven universal approximation property, and represents sparse observations as latent functions and Tucker core sequences. We then construct a sequential diffusion model with temporally augmented UNet in the functional Tucker space, denoising noise drawn from a Gaussian process to generate the sequence of core tensors. At the posterior sampling stage, we propose a Message-Passing Posterior Sampling mechanism, enabling conditional generation of the entire sequence guided by observations at limited time steps. We validate SDIFT on three physical systems spanning astronomical (supernova explosions, light-year scale), environmental (ocean sound speed fields, kilometer scale), and molecular (organic liquid, millimeter scale) domains, demonstrating significant improvements in both reconstruction accuracy and computational efficiency compared to state-of-the-art approaches.

People with Dementia (PwD) suffer from a high risk of getting lost due to their cognitive deterioration, leading to potential safety hazards and significant search efforts. In this paper, we propose DEmentia Caring System (DECS), an effective crowdsourcing platform to search for missing PwD. Specifically, PwD carry our customized Bluetooth Low Energy (BLE) tags that broadcast BLE packets, which are detected and then uploaded by mobile volunteers via their smartphones. To further enhance search efficiency, DECS deploys BLE gateways as its infrastructure and analyzes PwD's daily spatial-temporal mobility patterns. DECS has been deployed in Hong Kong since 2019, supporting 3,100+ PwD's families with over 45,000 app downloads by volunteers. More importantly, it has successfully served the search for 254 missing cases. This paper reports the unique lessons and experiences learned through our 4-year citywide deployment of DECS.

Time series data, including univariate and multivariate ones, are characterized by unique composition and complex multi-scale temporal variations. They often require special consideration of decomposition and multi-scale modeling to analyze. Existing deep learning methods on this best fit to univariate time series only, and have not sufficiently considered sub-series modeling and decomposition completeness. To address these challenges, we propose MSD-Mixer, a M ulti- S cale D ecomposition MLP- Mixer , which learns to explicitly decompose and represent the input time series in its different layers. To handle the multi-scale temporal patterns and multivariate dependencies, we propose a novel temporal patching approach to model the time series as multi-scale patches, and employ MLPs to capture intra- and inter-patch variations and channel-wise correlations. In addition, we propose a novel loss function to constrain both the mean and the autocorrelation of the decomposition residual for better decomposition completeness. Through extensive experiments on various real-world datasets for five common time series analysis tasks, we demonstrate that MSD-Mixer consistently and significantly outperforms other state-of-the-art algorithms with better efficiency.

Recent years have witnessed increasing attention being paid to AI-based quantitative investment. Compared to traditional low-frequency data (e.g., daily, weekly), high-frequency data (e.g., minute-level) is often underutilized for low-frequency stock trend prediction, leaving the vast potential for improvement. However, valuable and noisy information coexist in high-frequency data. The learning process of high-frequency factor extractors can easily be overwhelmed by noise, leading to overfitting. Moreover, common techniques used to prevent overfitting often result in poor performance on this task since they usually roughly restrict the model’s capacity, making it challenging to model complex trading signals in high-frequency data. When designing high-frequency factor extractors, we face a tough dilemma. A high-capacity model may easily overfit to noise, while a simple but robust model may not capture complex high-frequency patterns. To address these problems, we propose maintaining model capacity while preventing overfitting by constructing two components that balance information and noise through interactions between them. Specifically, we propose a novel learning framework calledDigger-Guiderto extract informative stock representations from noisy high-frequency data. We develop a high-capacity model calledDiggerto extract local and detailed features from the high-frequency data, and we design a robust model calledGuiderto capture global tendency features and help the Digger overcome the noise. The Digger and Guider enhance each other through mutual distillation during training, serving as data-driven regularizations that work well on this task. Extensive experiments on real-world datasets demonstrate that our framework can produce powerful high-frequency stock factors that significantly improve stock trend prediction performance and our understanding of the finance market.

We study the forecasting problem for traffic with dynamic, possibly periodical, and joint spatial-temporal dependency between regions. Given the aggregated inflow and outflow traffic of regions in a city from time slots 0 to$t - 1$, we predict the traffic at time$t$for any region. Prior arts in the area often considered the spatial and temporal dependencies in a decoupled manner, or were rather computationally intensive in training with a large number of hyper-parameters which needed tuning. We propose ST-TIS, a novel, lightweight and accurateSpatial-TemporalTransformer withinformation fusion and regionsampling for traffic forecasting. ST-TIS extends the canonical Transformer with information fusion and region sampling. The information fusion module captures the complex spatial-temporal dependency between regions. The region sampling module is to improve the efficiency and prediction accuracy, cutting the computation complexity for dependency learning from$O(n^{2})$to$O(n\sqrt{n})$, where$n$is the number of regions. With far fewer parameters than state-of-the-art deep learning models, ST-TIS's offline training is significantly faster in terms of tuning and computation (with a reduction of up to$90\%$on training time and network parameters). Notwithstanding such training efficiency, extensive experiments show that ST-TIS is substantially more accurate in online prediction than state-of-the-art approaches (with an average improvement of$9.5\%$on RMSE, and$12.4\%$on MAPE compared to STDN and DSAN).

Modeling sequential patterns from data is at the core of various time series forecasting tasks. Deep learning models have greatly outperformed many traditional models, but these black-box models generally lack explainability in prediction and decision making. To reveal the underlying trend with understandable mathematical expressions, scientists and economists tend to use partial differential equations (PDEs) to explain the highly nonlinear dynamics of sequential patterns. However, it usually requires domain expert knowledge and a series of simplified assumptions, which is not always practical and can deviate from the ever-changing world. Is it possible to learn the differential relations from data dynamically to explain the time-evolving dynamics? In this work, we propose an learning framework that can automatically obtain interpretable PDE models from sequential data. Particularly, this framework is comprised of learnable differential blocks, named P-blocks, which is proved to be able to approximate any time-evolving complex continuous functions in theory. Moreover, to capture the dynamics shift, this framework introduces a meta-learning controller to dynamically optimize the hyper-parameters of a hybrid PDE model. Extensive experiments on times series forecasting of financial, engineering, and health data show that our model can provide valuable interpretability and achieve comparable performance to state-of-the-art models. From empirical studies, we find that learning a few differential operators may capture the major trend of sequential dynamics without massive computational complexity.

Time-series prediction is of high practical value in a wide range of applications such as econometrics and meteorology, where the data are commonly formed by temporal patterns. Most prior works ignore the diversity of dynamic pattern frequency, i.e., different granularities, suffering from insufficient information exploitation. Thus, multi-granularity learning is still under-explored for time-series prediction. In this paper, we propose a Multi-granularity Residual Learning Framework (MRLF) for more effective time series prediction. For a given time series, intuitively, there are more or less semantic overlaps and validity differences among its representations of different granularities. Due to the information redundancy, straightforward methods that leverage multi-granularity data, such as concatenation or ensemble, can easily lead to the model being dominated by the redundant coarse-grained trend information. Therefore, we design a novel residual learning net to model the prior knowledge of the fine-grained data’s distribution through the coarse-grained one. Then, by calculating the residual between multi-granularity data, the redundant information be removed. Furthermore, to alleviate the side effect of validity differences, we introduce a self-supervised objective for confidence estimation, which delivers more effective optimization without the requirement of additional annotation efforts. Extensive experiments on the real-world datasets indicate that multi-granular information significantly improves the time series prediction performance, and our model is superior in capturing such information.

Stock trend prediction plays a crucial role in quantitative investing. Given the prediction task on a certain granularity (e.g., daily trend), a large portion of existing studies merely leverage market data of the same granularity (e.g., daily market data). In financial investment scenarios, however, there exist amounts of finer-grained information (e.g., high-frequency data) that contain more detailed investment signals beyond the original granularity data. This motivates us to investigate how to leverage multi-granularity market data to enhance the accuracy of stock trend prediction. Some straightforward methods, such as concatenating finer-grained data as features or fusing with a model based on finer-grained features, may not lead to more precise stock trend prediction due to some unique challenges. First, the inconsistency of granularity between the target trend and finer-grained data could substantially increase optimization difficulty, such as the relative sparsity of the target trend compared with higher dimensions of finer-grained features. Moreover, the continuously changing financial market state could result in varying efficacy of heterogeneous multi-granularity information, which consequently requires a dynamic approach for proper fusion among them. In this paper, we propose the Contrastive Multi-Granularity Learning Framework (CMLF) to address these challenges. Particularly, we first design two novel contrastive learning objectives at the pre-training stage to address the inconsistency issue by constructing additional self-supervised signals relying on the inherent character of stock data. We also design a gate mechanism based on market-aware technical indicators to fuse the multi-granularity features at each time step adaptively. Extensive experiments on three real-world datasets show significant improvements of our approach over the state-of-the-art baselines on stock trend prediction and profitability in real investing scenarios.

In recent years, considerable efforts have been devoted to developing AI techniques for finance research and applications. For instance, AI techniques (e.g., machine learning) can help traders in quantitative trading (QT) by automating two tasks: market condition recognition and trading strategies execution. However, existing methods in QT face challenges such as representing noisy high-frequent financial data and finding the balance between exploration and exploitation of the trading agent with AI techniques. To address the challenges, we propose an adaptive trading model, namely iRDPG, to automatically develop QT strategies by an intelligent trading agent. Our model is enhanced by deep reinforcement learning (DRL) and imitation learning techniques. Specifically, considering the noisy financial data, we formulate the QT process as a Partially Observable Markov Decision Process (POMDP). Also, we introduce imitation learning to leverage classical trading strategies useful to balance between exploration and exploitation. For better simulation, we train our trading agent in the real financial market using minute-frequent data. Experimental results demonstrate that our model can extract robust market features and be adaptive in different markets.

Hierarchical multi-label text classification (HMTC) is a fundamental but challenging task of numerous applications (e.g., patent annotation), where documents are assigned to multiple categories stored in a hierarchical structure. Categories at different levels of a document tend to have dependencies. However, the majority of prior studies for the HMTC task employ classifiers to either deal with all categories simultaneously or decompose the original problem into a set of flat multi-label classification subproblems, ignoring the associations between texts and the hierarchical structure and the dependencies among different levels of the hierarchical structure. To that end, in this paper, we propose a novel framework called Hierarchical Attention-based Recurrent Neural Network (HARNN) for classifying documents into the most relevant categories level by level via integrating texts and the hierarchical category structure. Specifically, we first apply a documentation representing layer for obtaining the representation of texts and the hierarchical structure. Then, we develop an hierarchical attention-based recurrent layer to model the dependencies among different levels of the hierarchical structure in a top-down fashion. Here, a hierarchical attention strategy is proposed to capture the associations between texts and the hierarchical structure. Finally, we design a hybrid method which is capable of predicting the categories of each level while classifying all categories in the entire hierarchical structure precisely. Extensive experimental results on two real-world datasets demonstrate the effectiveness and explanatory power of HARNN.