Hai Morgenstern

Amit Milstein, Haoran Deng, Guy Revach et al. · eth-zurich

Pairs trading is a family of trading techniques that determine their policies based on monitoring the relationships between pairs of assets. A common pairs trading approach relies on describing the pair-wise relationship as a linear Space State (SS) model with Gaussian noise. This representation facilitates extracting financial indicators with low complexity and latency using a Kalman Filter (KF), that are then processed using classic policies such as Bollinger Bands (BB). However, such SS models are inherently approximated and mismatched, often degrading the revenue. In this work, we propose KalmenNet-aided Bollinger bands Pairs Trading (KBPT), a deep learning aided policy that augments the operation of KF-aided BB trading. KBPT is designed by formulating an extended SS model for pairs trading that approximates their relationship as holding partial co-integration. This SS model is utilized by a trading policy that augments KF-BB trading with a dedicated neural network based on the KalmanNet architecture. The resulting KBPT is trained in a two-stage manner which first tunes the tracking algorithm in an unsupervised manner independently of the trading task, followed by its adaptation to track the financial indicators to maximize revenue while approximating BB with a differentiable mapping. KBPT thus leverages data to overcome the approximated nature of the SS model, converting the KF-BB policy into a trainable model. We empirically demonstrate that our proposed KBPT systematically yields improved revenue compared with model-based and data-driven benchmarks over various different assets.

May Malka, Erez Farhan, Hai Morgenstern et al.

The success of deep neural networks (DNNs) is heavily dependent on computational resources. While DNNs are often employed on cloud servers, there is a growing need to operate DNNs on edge devices. Edge devices are typically limited in their computational resources, yet, often multiple edge devices are deployed in the same environment and can reliably communicate with each other. In this work we propose to facilitate the application of DNNs on the edge by allowing multiple users to collaborate during inference to improve their accuracy. Our mechanism, coined {\em edge ensembles}, is based on having diverse predictors at each device, which form an ensemble of models during inference. To mitigate the communication overhead, the users share quantized features, and we propose a method for aggregating multiple decisions into a single inference rule. We analyze the latency induced by edge ensembles, showing that its performance improvement comes at the cost of a minor additional delay under common assumptions on the communication network. Our experiments demonstrate that collaborative inference via edge ensembles equipped with compact DNNs substantially improves the accuracy over having each user infer locally, and can outperform using a single centralized DNN larger than all the networks in the ensemble together.

Tomer Cohen, Noy Shulman, Hai Morgenstern et al.

As supervised learning still dominates most AI applications, test-time performance is often unexpected. Specifically, a shift of the input covariates, caused by typical nuisances like background-noise, illumination variations or transcription errors, can lead to a significant decrease in prediction accuracy. Recently, it was shown that incorporating self-supervision can significantly improve covariate shift robustness. In this work, we propose Self-Supervised Dynamic Networks (SSDN): an input-dependent mechanism, inspired by dynamic networks, that allows a self-supervised network to predict the weights of the main network, and thus directly handle covariate shifts at test-time. We present the conceptual and empirical advantages of the proposed method on the problem of image classification under different covariate shifts, and show that it significantly outperforms comparable methods.

Lior Madmoni, Hanan Beit-On, Hai Morgenstern et al.

This paper summarizes the methods used to localize the sources recorded for the LOCalization And TrAcking (LOCATA) challenge. The tasks of stationary sources and arrays were considered, i.e., tasks 1 and 2 of the challenge, which were recorded with the Nao robot array, and the Eigenmike array. For both arrays, direction of arrival (DOA) estimation has been performed with measurements in the short time Fourier transform domain, and with direct-path dominance (DPD) based tests, which aim to identify time-frequency (TF) bins dominated by the direct sound. For the recordings with Nao, a DPD test which is applied directly to the microphone signals was used. For the Eigenmike recordings, a DPD based test designed for plane-wave density measurements in the spherical harmonics domain was used. After acquiring DOA estimates with TF bins that passed the DPD tests, a stage of k-means clustering is performed, to assign a final DOA estimate for each speaker.