Kang Li

Peer Nagy, Sascha Frey, Silvia Sapora et al.

Developing a generative model of realistic order flow in financial markets is a challenging open problem, with numerous applications for market participants. Addressing this, we propose the first end-to-end autoregressive generative model that generates tokenized limit order book (LOB) messages. These messages are interpreted by a Jax-LOB simulator, which updates the LOB state. To handle long sequences efficiently, the model employs simplified structured state-space layers to process sequences of order book states and tokenized messages. Using LOBSTER data of NASDAQ equity LOBs, we develop a custom tokenizer for message data, converting groups of successive digits to tokens, similar to tokenization in large language models. Out-of-sample results show promising performance in approximating the data distribution, as evidenced by low model perplexity. Furthermore, the mid-price returns calculated from the generated order flow exhibit a significant correlation with the data, indicating impressive conditional forecast performance. Due to the granularity of generated data, and the accuracy of the model, it offers new application areas for future work beyond forecasting, e.g. acting as a world model in high-frequency financial reinforcement learning applications. Overall, our results invite the use and extension of the model in the direction of autoregressive large financial models for the generation of high-frequency financial data and we commit to open-sourcing our code to facilitate future research.

Peer Nagy, Sascha Frey, Kang Li et al.

While financial data presents one of the most challenging and interesting sequence modelling tasks due to high noise, heavy tails, and strategic interactions, progress in this area has been hindered by the lack of consensus on quantitative evaluation paradigms. To address this, we present LOB-Bench, a benchmark, implemented in python, designed to evaluate the quality and realism of generative message-by-order data for limit order books (LOB) in the LOBSTER format. Our framework measures distributional differences in conditional and unconditional statistics between generated and real LOB data, supporting flexible multivariate statistical evaluation. The benchmark also includes features commonly used LOB statistics such as spread, order book volumes, order imbalance, and message inter-arrival times, along with scores from a trained discriminator network. Lastly, LOB-Bench contains "market impact metrics", i.e. the cross-correlations and price response functions for specific events in the data. We benchmark generative autoregressive state-space models, a (C)GAN, as well as a parametric LOB model and find that the autoregressive GenAI approach beats traditional model classes.

Xin Cao, Haoyu Wang, Yuzhu Mao et al.

Self-supervised learning has emerged as a prominent research direction in point cloud processing. While existing models predominantly concentrate on reconstruction tasks at higher encoder layers, they often neglect the effective utilization of low-level local features, which are typically employed solely for activation computations rather than directly contributing to reconstruction tasks. To overcome this limitation, we introduce PointAMaLR, a novel self-supervised learning framework that enhances feature representation and processing accuracy through attention-guided multi-scale local reconstruction. PointAMaLR implements hierarchical reconstruction across multiple local regions, with lower layers focusing on fine-scale feature restoration while upper layers address coarse-scale feature reconstruction, thereby enabling complex inter-patch interactions. Furthermore, to augment feature representation capabilities, we incorporate a Local Attention (LA) module in the embedding layer to enhance semantic feature understanding. Comprehensive experiments on benchmark datasets ModelNet and ShapeNet demonstrate PointAMaLR's superior accuracy and quality in both classification and reconstruction tasks. Moreover, when evaluated on the real-world dataset ScanObjectNN and the 3D large scene segmentation dataset S3DIS, our model achieves highly competitive performance metrics. These results not only validate PointAMaLR's effectiveness in multi-scale semantic understanding but also underscore its practical applicability in real-world scenarios.

Kang Li, Shujun Wang, Lequan Yu et al.

Medical image annotations are prohibitively time-consuming and expensive to obtain. To alleviate annotation scarcity, many approaches have been developed to efficiently utilize extra information, e.g.,semi-supervised learning further exploring plentiful unlabeled data, domain adaptation including multi-modality learning and unsupervised domain adaptation resorting to the prior knowledge from additional modality. In this paper, we aim to investigate the feasibility of simultaneously leveraging abundant unlabeled data and well-established cross-modality data for annotation-efficient medical image segmentation. To this end, we propose a novel semi-supervised domain adaptation approach, namely Dual-Teacher, where the student model not only learns from labeled target data (e.g., CT), but also explores unlabeled target data and labeled source data (e.g., MR) by two teacher models. Specifically, the student model learns the knowledge of unlabeled target data from intra-domain teacher by encouraging prediction consistency, as well as the shape priors embedded in labeled source data from inter-domain teacher via knowledge distillation. Consequently, the student model can effectively exploit the information from all three data resources and comprehensively integrate them to achieve improved performance. We conduct extensive experiments on MM-WHS 2017 dataset and demonstrate that our approach is able to concurrently utilize unlabeled data and cross-modality data with superior performance, outperforming semi-supervised learning and domain adaptation methods with a large margin.