Yuntao Wu

Yuntao Wu, Jiayuan Guo, Goutham Gopalakrishna et al.

In this paper, we present Deep-MacroFin, a comprehensive framework designed to solve partial differential equations, with a particular focus on models in continuous time economics. This framework leverages deep learning methodologies, including Multi-Layer Perceptrons and the newly developed Kolmogorov-Arnold Networks. It is optimized using economic information encapsulated by Hamilton-Jacobi-Bellman (HJB) equations and coupled algebraic equations. The application of neural networks holds the promise of accurately resolving high-dimensional problems with fewer computational demands and limitations compared to other numerical methods. This framework can be readily adapted for systems of partial differential equations in high dimensions. Importantly, it offers a more efficient (5$\times$ less CUDA memory and 40$\times$ fewer FLOPs in 100D problems) and user-friendly implementation than existing libraries. We also incorporate a time-stepping scheme to enhance training stability for nonlinear HJB equations, enabling the solution of 50D economic models.

Yuntao Wu, Lynn Tao, Ing-Haw Cheng et al.

News spreads rapidly across languages and regions, but translations may lose subtle nuances. We propose a method to align sentences in multilingual news articles using optimal transport, identifying semantically similar content across languages. We apply this method to align more than 140,000 pairs of Bloomberg English and Japanese news articles covering around 3500 stocks in Tokyo exchange over 2012-2024. Aligned sentences are sparser, more interpretable, and exhibit higher semantic similarity. Return scores constructed from aligned sentences show stronger correlations with realized stock returns, and long-short trading strategies based on these alignments achieve 10\% higher Sharpe ratios than analyzing the full text sample.

Yuntao Wu, Ege Mert Akin, Charles Martineau et al.

We examine how textual features in earnings press releases predict stock returns on earnings announcement days. Using over 138,000 press releases from 2005 to 2023, we compare traditional bag-of-words and BERT-based embeddings. We find that press release content (soft information) is as informative as earnings surprise (hard information), with FinBERT yielding the highest predictive power. Combining models enhances explanatory strength and interpretability of the content of press releases. Stock prices fully reflect the content of press releases at market open. If press releases are leaked, it offers predictive advantage. Topic analysis reveals self-serving bias in managerial narratives. Our framework supports real-time return prediction through the integration of online learning, provides interpretability and reveals the nuanced role of language in price formation.

Yuanzhi Wang, Tao Lu, Yanduo Zhang et al.

Image light source transfer (LLST), as the most challenging task in the domain of image relighting, has attracted extensive attention in recent years. In the latest research, LLST is decomposed three sub-tasks: scene reconversion, shadow estimation, and image re-rendering, which provides a new paradigm for image relighting. However, many problems for scene reconversion and shadow estimation tasks, including uncalibrated feature information and poor semantic information, are still unresolved, thereby resulting in insufficient feature representation. In this paper, we propose novel down-sampling feature self-calibrated block (DFSB) and up-sampling feature self-calibrated block (UFSB) as the basic blocks of feature encoder and decoder to calibrate feature representation iteratively because the LLST is similar to the recalibration of image light source. In addition, we fuse the multi-scale features of the decoder in scene reconversion task to further explore and exploit more semantic information, thereby providing more accurate primary scene structure for image re-rendering. Experimental results in the VIDIT dataset show that the proposed approach significantly improves the performance for LLST.