Amit Milstein

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.

Amit Milstein, Nir Shlezinger, Boaz Rafaely

Spatial audio enhances immersion by reproducing 3D sound fields, with Ambisonics offering a scalable format for this purpose. While first-order Ambisonics (FOA) notably facilitates hardware-efficient acquisition and storage of sound fields as compared to high-order Ambisonics (HOA), its low spatial resolution limits realism, highlighting the need for Ambisonics upscaling (AU) as an approach for increasing the order of Ambisonics signals. In this work we propose DiffAU, a cascaded AU method that leverages recent developments in diffusion models combined with novel adaptation to spatial audio to generate 3rd order Ambisonics from FOA. By learning data distributions, DiffAU provides a principled approach that rapidly and reliably reproduces HOA in various settings. Experiments in anechoic conditions with multiple speakers, show strong objective and perceptual performance.

Amit Milstein, Tzvi Ganel, Sigal Berman et al.

We investigate grasping of rigid objects in unilateral robot-assisted minimally invasive surgery (RAMIS) in this paper. We define a human-centered transparency that quantifies natural action and perception in RAMIS. We demonstrate this human-centered transparency analysis for different values of gripper scaling - the scaling between the grasp aperture of the surgeon-side manipulator and the aperture of the surgical instrument grasper. Thirty-one participants performed teleoperated grasping and perceptual assessment of rigid objects in one of three gripper scaling conditions (fine, normal, and quick, trading off precision and responsiveness). Psychophysical analysis of the variability of maximal grasping aperture during prehension and of the reported size of the object revealed that in normal and quick (but not in the fine) gripper scaling conditions, teleoperated grasping with our system was similar to natural grasping, and therefore, human-centered transparent. We anticipate that using motor control and psychophysics for human-centered optimizing of teleoperation control will eventually improve the usability of RAMIS.