Lifan Zhao

Lifan Zhao, Shuming Kong, Yanyan Shen

Stock trend forecasting is a fundamental task of quantitative investment where precise predictions of price trends are indispensable. As an online service, stock data continuously arrive over time. It is practical and efficient to incrementally update the forecast model with the latest data which may reveal some new patterns recurring in the future stock market. However, incremental learning for stock trend forecasting still remains under-explored due to the challenge of distribution shifts (a.k.a. concept drifts). With the stock market dynamically evolving, the distribution of future data can slightly or significantly differ from incremental data, hindering the effectiveness of incremental updates. To address this challenge, we propose DoubleAdapt, an end-to-end framework with two adapters, which can effectively adapt the data and the model to mitigate the effects of distribution shifts. Our key insight is to automatically learn how to adapt stock data into a locally stationary distribution in favor of profitable updates. Complemented by data adaptation, we can confidently adapt the model parameters under mitigated distribution shifts. We cast each incremental learning task as a meta-learning task and automatically optimize the adapters for desirable data adaptation and parameter initialization. Experiments on real-world stock datasets demonstrate that DoubleAdapt achieves state-of-the-art predictive performance and shows considerable efficiency.

Yanyan Shen, Lifan Zhao, Weiyu Cheng et al.

Click-Through Rate (CTR) prediction on cold users is a challenging task in recommender systems. Recent researches have resorted to meta-learning to tackle the cold-user challenge, which either perform few-shot user representation learning or adopt optimization-based meta-learning. However, existing methods suffer from information loss or inefficient optimization process, and they fail to explicitly model global user preference knowledge which is crucial to complement the sparse and insufficient preference information of cold users. In this paper, we propose a novel and efficient approach named RESUS, which decouples the learning of global preference knowledge contributed by collective users from the learning of residual preferences for individual users. Specifically, we employ a shared predictor to infer basis user preferences, which acquires global preference knowledge from the interactions of different users. Meanwhile, we develop two efficient algorithms based on the nearest neighbor and ridge regression predictors, which infer residual user preferences via learning quickly from a few user-specific interactions. Extensive experiments on three public datasets demonstrate that our RESUS approach is efficient and effective in improving CTR prediction accuracy on cold users, compared with various state-of-the-art methods.

Liping Wang, Jiawei Li, Lifan Zhao et al.

Predicting stock prices presents a challenging research problem due to the inherent volatility and non-linear nature of the stock market. In recent years, knowledge-enhanced stock price prediction methods have shown groundbreaking results by utilizing external knowledge to understand the stock market. Despite the importance of these methods, there is a scarcity of scholarly works that systematically synthesize previous studies from the perspective of external knowledge types. Specifically, the external knowledge can be modeled in different data structures, which we group into non-graph-based formats and graph-based formats: 1) non-graph-based knowledge captures contextual information and multimedia descriptions specifically associated with an individual stock; 2) graph-based knowledge captures interconnected and interdependent information in the stock market. This survey paper aims to provide a systematic and comprehensive description of methods for acquiring external knowledge from various unstructured data sources and then incorporating it into stock price prediction models. We also explore fusion methods for combining external knowledge with historical price features. Moreover, this paper includes a compilation of relevant datasets and delves into potential future research directions in this domain.

Lifan Zhao, Yanyan Shen

Recently, channel-independent methods have achieved state-of-the-art performance in multivariate time series (MTS) forecasting. Despite reducing overfitting risks, these methods miss potential opportunities in utilizing channel dependence for accurate predictions. We argue that there exist locally stationary lead-lag relationships between variates, i.e., some lagged variates may follow the leading indicators within a short time period. Exploiting such channel dependence is beneficial since leading indicators offer advance information that can be used to reduce the forecasting difficulty of the lagged variates. In this paper, we propose a new method named LIFT that first efficiently estimates leading indicators and their leading steps at each time step and then judiciously allows the lagged variates to utilize the advance information from leading indicators. LIFT plays as a plugin that can be seamlessly collaborated with arbitrary time series forecasting methods. Extensive experiments on six real-world datasets demonstrate that LIFT improves the state-of-the-art methods by 5.5% in average forecasting performance. Our code is available at https://github.com/SJTU-Quant/LIFT.

Lifan Zhao, Yanyan Shen

Time series forecasting always faces the challenge of concept drift, where data distributions evolve over time, leading to a decline in forecast model performance. Existing solutions are based on online learning, which continually organize recent time series observations as new training samples and update model parameters according to the forecasting feedback on recent data. However, they overlook a critical issue: obtaining ground-truth future values of each sample should be delayed until after the forecast horizon. This delay creates a temporal gap between the training samples and the test sample. Our empirical analysis reveals that the gap can introduce concept drift, causing forecast models to adapt to outdated concepts. In this paper, we present Proceed, a novel proactive model adaptation framework for online time series forecasting. Proceed first estimates the concept drift between the recently used training samples and the current test sample. It then employs an adaptation generator to efficiently translate the estimated drift into parameter adjustments, proactively adapting the model to the test sample. To enhance the generalization capability of the framework, Proceed is trained on synthetic diverse concept drifts. Extensive experiments on five real-world datasets across various forecast models demonstrate that Proceed brings more performance improvements than the state-of-the-art online learning methods, significantly facilitating forecast models' resilience against concept drifts. Code is available at https://github.com/SJTU-DMTai/OnlineTSF.

Muyang Ma, Pengjie Ren, Zhumin Chen et al.

Cross-domain sequential recommendation is the task of predict the next item that the user is most likely to interact with based on past sequential behavior from multiple domains. One of the key challenges in cross-domain sequential recommendation is to grasp and transfer the flow of information from multiple domains so as to promote recommendations in all domains. Previous studies have investigated the flow of behavioral information by exploring the connection between items from different domains. The flow of knowledge (i.e., the connection between knowledge from different domains) has so far been neglected. In this paper, we propose a mixed information flow network for cross-domain sequential recommendation to consider both the flow of behavioral information and the flow of knowledge by incorporating a behavior transfer unit and a knowledge transfer unit. The proposed mixed information flow network is able to decide when cross-domain information should be used and, if so, which cross-domain information should be used to enrich the sequence representation according to users' current preferences. Extensive experiments conducted on four e-commerce datasets demonstrate that mixed information flow network is able to further improve recommendation performance in different domains by modeling mixed information flow.