David Zhao

Benjamin LeRoy, David Zhao

Quantifying uncertainty in model predictions is a common goal for practitioners seeking more than just point predictions. One tool for uncertainty quantification that requires minimal assumptions is conformal inference, which can help create probabilistically valid prediction regions for black box models. Classical conformal prediction only provides marginal validity, whereas in many situations locally valid prediction regions are desirable. Deciding how best to partition the feature space X when applying localized conformal prediction is still an open question. We present MD-split+, a practical local conformal approach that creates X partitions based on localized model performance of conditional density estimation models. Our method handles complex real-world data settings where such models may be misspecified, and scales to high-dimensional inputs. We discuss how our local partitions philosophically align with expected behavior from an unattainable conditional conformal inference approach. We also empirically compare our method against other local conformal approaches.

Joyce Fang, Martin Ellis, Bin Li et al.

Bandwidth estimation and congestion control for real-time communications (i.e., audio and video conferencing) remains a difficult problem, despite many years of research. Achieving high quality of experience (QoE) for end users requires continual updates due to changing network architectures and technologies. In this paper, we apply reinforcement learning for the first time to the problem of real-time communications (RTC), where we seek to optimize user-perceived quality. We present initial proof-of-concept results, where we learn an agent to control sending rate in an RTC system, evaluating using both network simulation and real Internet video calls. We discuss the challenges we observed, particularly in designing realistic reward functions that reflect QoE, and in bridging the gap between the training environment and real-world networks.

David Zhao, Alessandro Rinaldo, Christopher Brookins

Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto assets. Using historical data from July 2015 to November 2019, we develop a large number of technical indicators to capture patterns in the cryptocurrency market. We then test various classification methods to forecast short-term future price movements based on these indicators. On both PPV and NPV metrics, our classifiers do well in identifying up and down market moves over the next 1 hour. Beyond evaluating classification accuracy, we also develop a strategy for translating 1-hour-ahead class predictions into trading decisions, along with a backtester that simulates trading in a realistic environment. We find that support vector machines yield the most profitable trading strategies, which outperform the market on average for Bitcoin, Ethereum and Litecoin over the past 22 months, since January 2018.

Alexander Jordan, François Gauthier, Behnaz Hassanshahi et al.

The popularity of the PDF format and the rich JavaScript environment that PDF viewers offer make PDF documents an attractive attack vector for malware developers. PDF documents present a serious threat to the security of organizations because most users are unsuspecting of them and thus likely to open documents from untrusted sources. We propose to identify malicious PDFs by using conservative abstract interpretation to statically reason about the behavior of the embedded JavaScript code. Currently, state-of-the-art tools either: (1) statically identify PDF malware based on structural similarity to known malicious samples; or (2) dynamically execute the code to detect malicious behavior. These two approaches are subject to evasion attacks that mimic the structure of benign documents or do not exhibit their malicious behavior when being analyzed dynamically. In contrast, abstract interpretation is oblivious to both types of evasions. A comparison with two state-of-the-art PDF malware detection tools shows that our conservative abstract interpretation approach achieves similar accuracy, while being more resilient to evasion attacks.