Emmanuel Bacry

Xavier Tannier, Salam Abbara, Rémi Flicoteaux et al.

The development of clinical natural language processing (NLP) systems is severely hampered by the sensitive nature of medical records, which restricts data sharing under stringent privacy regulations, particularly in France and the broader European Union. To address this gap, we introduce PARHAF, a large open-source corpus of clinical documents in French. PARHAF comprises expert-authored clinical reports describing realistic yet entirely fictitious patient cases, making it anonymous and freely shareable by design. The corpus was developed using a structured protocol that combined clinician expertise with epidemiological guidance from the French National Health Data System (SNDS), ensuring broad clinical coverage. A total of 104 medical residents across 18 specialties authored and peer-reviewed the reports following predefined clinical scenarios and document templates. The corpus contains 7394 clinical reports covering 5009 patient cases across a wide range of medical and surgical specialties. It includes a general-purpose component designed to approximate real-world hospitalization distributions, and four specialized subsets that support information-extraction use cases in oncology, infectious diseases, and diagnostic coding. Documents are released under a CC-BY open license, with a portion temporarily embargoed to enable future benchmarking under controlled conditions. PARHAF provides a valuable resource for training and evaluating French clinical language models in a fully privacy-preserving setting, and establishes a replicable methodology for building shareable synthetic clinical corpora in other languages and health systems.

Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas et al.

Tick is a statistical learning library for Python~3, with a particular emphasis on time-dependent models, such as point processes, and tools for generalized linear models and survival analysis. The core of the library is an optimization module providing model computational classes, solvers and proximal operators for regularization. tick relies on a C++ implementation and state-of-the-art optimization algorithms to provide very fast computations in a single node multi-core setting. Source code and documentation can be downloaded from https://github.com/X-DataInitiative/tick

Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy

Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents' behaviors in the market based on their placed orders. In this study, we construct a self-supervised learning model using triplet loss to effectively learn the representation of agent market orders. By acquiring this learned representation, various downstream tasks become feasible. In this work, we utilize the K-means clustering algorithm on the learned representation vectors of agent orders to identify distinct behavior types within each cluster.

Jinfeng Zhong, Emmanuel Bacry, Agathe Guilloux et al.

This paper introduces KANFormer, a novel deep-learning-based model for predicting the time-to-fill of limit orders by leveraging both market- and agent-level information. KANFormer combines a Dilated Causal Convolutional network with a Transformer encoder, enhanced by Kolmogorov-Arnold Networks (KANs), which improve nonlinear approximation. Unlike existing models that rely solely on a series of snapshots of the limit order book, KANFormer integrates the actions of agents related to LOB dynamics and the position of the order in the queue to more effectively capture patterns related to execution likelihood. We evaluate the model using CAC 40 index futures data with labeled orders. The results show that KANFormer outperforms existing works in both calibration (Right-Censored Log-Likelihood, Integrated Brier Score) and discrimination (C-index, time-dependent AUC). We further analyze feature importance over time using SHAP (SHapley Additive exPlanations). Our results highlight the benefits of combining rich market signals with expressive neural architectures to achieve accurate and interpretabl predictions of fill probabilities.

Justine Frija, Juliette Millet, Emilie Bequignon et al.

Obstructive sleep apnea (OSA) is frequent and responsible for cardiovascular complications and excessive daytime sleepiness. It is underdiagnosed due to the difficulty to access the gold standard for diagnosis, polysomnography (PSG). Alternative methods using smartphone sensors could be useful to increase diagnosis. The objective is to assess the performances of Apneal, an application that records the sound using a smartphone's microphone and movements thanks to a smartphone's accelerometer and gyroscope, to estimate patients' AHI. In this article, we perform a monocentric proof-of-concept study with a first manual scoring step, and then an automatic detection of respiratory events from the recorded signals using a sequential deep-learning model which was released internally at Apneal at the end of 2022 (version 0.1 of Apneal automatic scoring of respiratory events), in adult patients during in-hospital polysomnography.46 patients (women 34 per cent, mean BMI 28.7 kg per m2) were included. For AHI superior to 15, sensitivity of manual scoring was 0.91, and positive predictive value (PPV) 0.89. For AHI superior to 30, sensitivity was 0.85, PPV 0.94. We obtained an AUC-ROC of 0.85 and an AUC-PR of 0.94 for the identification of AHI superior to 15, and AUC-ROC of 0.95 and AUC-PR of 0.93 for AHI superior to 30. Promising results are obtained for the automatic annotations of events.This article shows that manual scoring of smartphone-based signals is possible and accurate compared to PSG-based scorings. Automatic scoring method based on a deep learning model provides promising results. A larger multicentric validation study, involving subjects with different SAHS severity is required to confirm these results.

Daniel de Barros Soares, François Andrieux, Bastien Hell et al.

Estimating the amount of electricity that can be produced by rooftop photovoltaic systems is a time-consuming process that requires on-site measurements, a difficult task to achieve on a large scale. In this paper, we present an approach to estimate the solar potential of rooftops based on their location and architectural characteristics, as well as the amount of solar radiation they receive annually. Our technique uses computer vision to achieve semantic segmentation of roof sections and roof objects on the one hand, and a machine learning model based on structured building features to predict roof pitch on the other hand. We then compute the azimuth and maximum number of solar panels that can be installed on a rooftop with geometric approaches. Finally, we compute precise shading masks and combine them with solar irradiation data that enables us to estimate the yearly solar potential of a rooftop.

Ibrahim Merad, Yiyang Yu, Emmanuel Bacry et al.

Contrastive representation learning has been recently proved to be very efficient for self-supervised training. These methods have been successfully used to train encoders which perform comparably to supervised training on downstream classification tasks. A few works have started to build a theoretical framework around contrastive learning in which guarantees for its performance can be proven. We provide extensions of these results to training with multiple negative samples and for multiway classification. Furthermore, we provide convergence guarantees for the minimization of the contrastive training error with gradient descent of an overparametrized deep neural encoder, and provide some numerical experiments that complement our theoretical findings

Anastasiia Kabeshova, Yiyang Yu, Bertrand Lukacs et al.

This paper considers the problems of modeling and predicting a long-term and ``blurry'' relapse that occurs after a medical act, such as a surgery. The relapse is observed only indirectly, in a ``blurry'' fashion, through longitudinal prescriptions of drugs over a long period of time after the medical act. We introduce a new model, called ZiMM (Zero-inflated Mixture of Multinomial distributions) in order to capture long-term and blurry relapses. On top of it, we build an end-to-end deep-learning architecture called ZiMM Encoder-Decoder (ZiMM ED) that can learn from the complex, irregular, highly heterogeneous and sparse patterns of health events that are observed through a claims-only database. ZiMM ED is applied on a ``non-clinical'' claims database, that contains only timestamped reimbursement codes for drug purchases, medical procedures and hospital diagnoses, the only available clinical feature being the age of the patient. This setting is more challenging than a setting where bedside clinical signals are available. Our motivation for using such a non-clinical claims database is its exhaustivity population-wise, compared to clinical electronic health records coming from a single or a small set of hospitals. Indeed, we consider a dataset containing the claims of almost \emph{all French citizens} who had surgery for prostatic problems, with a history between 1.5 and 5 years. We consider a long-term (18 months) relapse (urination problems still occur despite surgery), which is blurry since it is observed only through the reimbursement of a specific set of drugs for urination problems. Our experiments show that ZiMM ED improves several baselines, including non-deep learning and deep-learning approaches, and that it allows working on such a dataset with minimal preprocessing work.

Martin Bompaire, Emmanuel Bacry, Stéphane Gaïffas

The minimization of convex objectives coming from linear supervised learning problems, such as penalized generalized linear models, can be formulated as finite sums of convex functions. For such problems, a large set of stochastic first-order solvers based on the idea of variance reduction are available and combine both computational efficiency and sound theoretical guarantees (linear convergence rates). Such rates are obtained under both gradient-Lipschitz and strong convexity assumptions. Motivated by learning problems that do not meet the gradient-Lipschitz assumption, such as linear Poisson regression, we work under another smoothness assumption, and obtain a linear convergence rate for a shifted version of Stochastic Dual Coordinate Ascent (SDCA) that improves the current state-of-the-art. Our motivation for considering a solver working on the Fenchel-dual problem comes from the fact that such objectives include many linear constraints, that are easier to deal with in the dual. Our approach and theoretical findings are validated on several datasets, for Poisson regression and another objective coming from the negative log-likelihood of the Hawkes process, which is a family of models which proves extremely useful for the modeling of information propagation in social networks and causality inference.

Maryan Morel, Emmanuel Bacry, Stéphane Gaïffas et al.

With the increased availability of large databases of electronic health records (EHRs) comes the chance of enhancing health risks screening. Most post-marketing detections of adverse drug reaction (ADR) rely on physicians' spontaneous reports, leading to under reporting. To take up this challenge, we develop a scalable model to estimate the effect of multiple longitudinal features (drug exposures) on a rare longitudinal outcome. Our procedure is based on a conditional Poisson model also known as self-controlled case series (SCCS). We model the intensity of outcomes using a convolution between exposures and step functions, that are penalized using a combination of group-Lasso and total-variation. This approach does not require the specification of precise risk periods, and allows to study in the same model several exposures at the same time. We illustrate the fact that this approach improves the state-of-the-art for the estimation of the relative risks both on simulations and on a cohort of diabetic patients, extracted from the large French national health insurance database (SNIIRAM), a SQL database built around medical reimbursements of more than 65 million people. This work has been done in the context of a research partnership between Ecole Polytechnique and CNAMTS (in charge of SNIIRAM).

Massil Achab, Emmanuel Bacry, Stéphane Gaïffas et al.

We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influences of each nodes of the process, but also disentangles the causality relationships between them. Our approach is the first that leads to an estimation of this matrix without any parametric modeling and estimation of the kernels themselves. A consequence is that it can give an estimation of causality relationships between nodes (or users), based on their activity timestamps (on a social network for instance), without knowing or estimating the shape of the activities lifetime. For that purpose, we introduce a moment matching method that fits the third-order integrated cumulants of the process. We show on numerical experiments that our approach is indeed very robust to the shape of the kernels, and gives appealing results on the MemeTracker database.

Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo et al.

We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations. We exploit a mean-field approximation that is valid when the fluctuations of the stochastic intensity are small. We show that this is notably the case in situations when interactions are sufficiently weak, when the dimension of the system is high or when the fluctuations are self-averaging due to the large number of past events they involve. In such a regime the estimation of a Hawkes process can be mapped on a least-squares problem for which we provide an analytic solution. Though this estimator is biased, we show that its precision can be comparable to the one of the Maximum Likelihood Estimator while its computation speed is shown to be improved considerably. We give a theoretical control on the accuracy of our new approach and illustrate its efficiency using synthetic datasets, in order to assess the statistical estimation error of the parameters.

Massil Achab, Agathe Guilloux, Stéphane Gaïffas et al.

We introduce a doubly stochastic proximal gradient algorithm for optimizing a finite average of smooth convex functions, whose gradients depend on numerically expensive expectations. Our main motivation is the acceleration of the optimization of the regularized Cox partial-likelihood (the core model used in survival analysis), but our algorithm can be used in different settings as well. The proposed algorithm is doubly stochastic in the sense that gradient steps are done using stochastic gradient descent (SGD) with variance reduction, where the inner expectations are approximated by a Monte-Carlo Markov-Chain (MCMC) algorithm. We derive conditions on the MCMC number of iterations guaranteeing convergence, and obtain a linear rate of convergence under strong convexity and a sublinear rate without this assumption. We illustrate the fact that our algorithm improves the state-of-the-art solver for regularized Cox partial-likelihood on several datasets from survival analysis.

Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas et al.

We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. Our inference is based on the minimization of the least-squares loss associated with a multivariate Hawkes model, penalized by $\ell_1$ and trace norm of the interaction tensor. We provide a first theoretical analysis for this problem, that includes sparsity and low-rank inducing penalizations. This result involves a new data-driven concentration inequality for matrix martingales in continuous time with observable variance, which is a result of independent interest and a broad range of possible applications since it extends to matrix martingales former results restricted to the scalar case. A consequence of our analysis is the construction of sharply tuned $\ell_1$ and trace-norm penalizations, that leads to a data-driven scaling of the variability of information available for each users. Numerical experiments illustrate the significant improvements achieved by the use of such data-driven penalizations.

Emmanuel Bacry, Stéphane Gaïffas, Jean-François Muzy

This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time. These results extend previously established Freedman and Bernstein inequalities for series of random matrices to the class of continuous time processes. Our analysis relies on a new supermartingale property of the trace exponential proved within the framework of stochastic calculus. We provide also several examples that illustrate the fact that our results allow us to recover easily several formerly obtained sharp bounds for discrete time matrix martingales.