Xianfeng Jiao

Xianfeng Jiao, Zizhong Li, Chang Xu et al.

High-frequency quantitative investment is a crucial aspect of stock investment. Notably, order flow data plays a critical role as it provides the most detailed level of information among high-frequency trading data, including comprehensive data from the order book and transaction records at the tick level. The order flow data is extremely valuable for market analysis as it equips traders with essential insights for making informed decisions. However, extracting and effectively utilizing order flow data present challenges due to the large volume of data involved and the limitations of traditional factor mining techniques, which are primarily designed for coarser-level stock data. To address these challenges, we propose a novel framework that aims to effectively extract essential factors from order flow data for diverse downstream tasks across different granularities and scenarios. Our method consists of a Context Encoder and an Factor Extractor. The Context Encoder learns an embedding for the current order flow data segment's context by considering both the expected and actual market state. In addition, the Factor Extractor uses unsupervised learning methods to select such important signals that are most distinct from the majority within the given context. The extracted factors are then utilized for downstream tasks. In empirical studies, our proposed framework efficiently handles an entire year of stock order flow data across diverse scenarios, offering a broader range of applications compared to existing tick-level approaches that are limited to only a few days of stock data. We demonstrate that our method extracts superior factors from order flow data, enabling significant improvement for stock trend prediction and order execution tasks at the second and minute level.

Liantao Ma, Xinyu Ma, Junyi Gao et al.

Due to the characteristics of COVID-19, the epidemic develops rapidly and overwhelms health service systems worldwide. Many patients suffer from systemic life-threatening problems and need to be carefully monitored in ICUs. Thus the intelligent prognosis is in an urgent need to assist physicians to take an early intervention, prevent the adverse outcome, and optimize the medical resource allocation. However, in the early stage of the epidemic outbreak, the data available for analysis is limited due to the lack of effective diagnostic mechanisms, rarity of the cases, and privacy concerns. In this paper, we propose a deep-learning-based approach, CovidCare, which leverages the existing electronic medical records to enhance the prognosis for inpatients with emerging infectious diseases. It learns to embed the COVID-19-related medical features based on massive existing EMR data via transfer learning. The transferred parameters are further trained to imitate the teacher model's representation behavior based on knowledge distillation, which embeds the health status more comprehensively in the source dataset. We conduct the length of stay prediction experiments for patients on a real-world COVID-19 dataset. The experiment results indicate that our proposed model consistently outperforms the comparative baseline methods. CovidCare also reveals that, 1) hs-cTnI, hs-CRP and Platelet Counts are the most fatal biomarkers, whose abnormal values usually indicate emergency adverse outcome. 2) Normal values of gamma-GT, AP and eGFR indicate the overall improvement of health. The medical findings extracted by CovidCare are empirically confirmed by human experts and medical literatures.