Juho Kanniainen

Anubha Goel, Juho Kanniainen

Graph neural networks have achieved strong performance on graph-structured data, but their effectiveness depends heavily on the quality of the observed graph. In real applications, graph topology is often imperfect: noisy edges may connect unrelated nodes, while missing edges may prevent useful information from being propagated. Existing robust graph learning methods mainly address this problem by removing suspicious edges or by learning a new graph structure during training. However, edge removal alone cannot recover missing connections, and graph structure learning may introduce additional optimization complexity. In this paper, we propose Topology-Aware Gaussian Repair (TAGR), a simple graph repair framework for robust message passing in graph neural networks. Instead of learning a dense adjacency matrix, TAGR constructs a sparse feature-neighborhood graph using an adaptive Gaussian kernel and combines it with a topology-aware residual correction of the observed graph. The Gaussian repair component introduces auxiliary edges between feature-similar nodes, while the residual correction preserves and reweights the original topology according to local feature and structural consistency. The repaired graph can be used directly with standard graph neural networks without changing their architectures. Extensive experiments on benchmark citation networks show that TAGR improves the robustness of GNNs under both noisy-edge and missing-edge settings. The analysis further show that Gaussian feature-neighborhood repair provides the main robustness gain, while topology-aware residual correction improves stability when the observed graph is incomplete. These results suggest that effective graph robustness can be achieved through lightweight sparse graph repair rather than dense graph structure learning.

Zaffar Zaffar, Fahad Sohrab, Juho Kanniainen et al.

In an increasingly digitalized commerce landscape, the proliferation of credit card fraud and the evolution of sophisticated fraudulent techniques have led to substantial financial losses. Automating credit card fraud detection is a viable way to accelerate detection, reducing response times and minimizing potential financial losses. However, addressing this challenge is complicated by the highly imbalanced nature of the datasets, where genuine transactions vastly outnumber fraudulent ones. Furthermore, the high number of dimensions within the feature set gives rise to the ``curse of dimensionality". In this paper, we investigate subspace learning-based approaches centered on One-Class Classification (OCC) algorithms, which excel in handling imbalanced data distributions and possess the capability to anticipate and counter the transactions carried out by yet-to-be-invented fraud techniques. The study highlights the potential of subspace learning-based OCC algorithms by investigating the limitations of current fraud detection strategies and the specific challenges of credit card fraud detection. These algorithms integrate subspace learning into the data description; hence, the models transform the data into a lower-dimensional subspace optimized for OCC. Through rigorous experimentation and analysis, the study validated that the proposed approach helps tackle the curse of dimensionality and the imbalanced nature of credit card data for automatic fraud detection to mitigate financial losses caused by fraudulent activities.

Mostafa Shabani, Dat Thanh Tran, Juho Kanniainen et al.

Deep Learning models have become dominant in tackling financial time-series analysis problems, overturning conventional machine learning and statistical methods. Most often, a model trained for one market or security cannot be directly applied to another market or security due to differences inherent in the market conditions. In addition, as the market evolves through time, it is necessary to update the existing models or train new ones when new data is made available. This scenario, which is inherent in most financial forecasting applications, naturally raises the following research question: How to efficiently adapt a pre-trained model to a new set of data while retaining performance on the old data, especially when the old data is not accessible? In this paper, we propose a method to efficiently retain the knowledge available in a neural network pre-trained on a set of securities and adapt it to achieve high performance in new ones. In our method, the prior knowledge encoded in a pre-trained neural network is maintained by keeping existing connections fixed, and this knowledge is adjusted for the new securities by a set of augmented connections, which are optimized using the new data. The auxiliary connections are constrained to be of low rank. This not only allows us to rapidly optimize for the new task but also reduces the storage and run-time complexity during the deployment phase. The efficiency of our approach is empirically validated in the stock mid-price movement prediction problem using a large-scale limit order book dataset. Experimental results show that our approach enhances prediction performance as well as reduces the overall number of network parameters.

Adamantios Ntakaris, Moncef Gabbouj, Juho Kanniainen

High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and time-independent signals due to the time irregularities that are inherent in high-frequency trading. A well-documented and tested method that considers these time-irregularities is a type of recurrent neural network, named long short-term memory neural network. This type of neural network is formed based on cells that perform sequential and stale calculations via gates and states without knowing whether their order, within the cell, is optimal. In this paper, we propose a revised and real-time adjusted long short-term memory cell that selects the best gate or state as its final output. Our cell is running under a shallow topology, has a minimal look-back period, and is trained online. This revised cell achieves lower forecasting error compared to other recurrent neural networks for online high-frequency trading forecasting tasks such as the limit order book mid-price prediction as it has been tested on two high-liquid US and two less-liquid Nordic stocks.

Jalmari Tuominen, Eetu Pulkkinen, Jaakko Peltonen et al.

Emergency department (ED) crowding is a significant threat to patient safety and it has been repeatedly associated with increased mortality. Forecasting future service demand has the potential patient outcomes. Despite active research on the subject, several gaps remain: 1) proposed forecasting models have become outdated due to quick influx of advanced machine learning models (ML), 2) amount of multivariable input data has been limited and 3) discrete performance metrics have been rarely reported. In this study, we document the performance of a set of advanced ML models in forecasting ED occupancy 24 hours ahead. We use electronic health record data from a large, combined ED with an extensive set of explanatory variables, including the availability of beds in catchment area hospitals, traffic data from local observation stations, weather variables, etc. We show that N-BEATS and LightGBM outpeform benchmarks with 11 % and 9 % respective improvements and that DeepAR predicts next day crowding with an AUC of 0.76 (95 % CI 0.69-0.84). To the best of our knowledge, this is the first study to document the superiority of LightGBM and N-BEATS over statistical benchmarks in the context of ED forecasting.

Quoc Minh Nguyen, Dat Thanh Tran, Juho Kanniainen et al.

Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment products. The proposed algorithm constructs a portfolio that contains a pair of negatively correlated assets. A deep neural network, which outputs the allocation weight of each asset at a time interval, is trained to maximize the Sharpe ratio. A novel loss term is proposed to regulate the network's bias towards a specific asset, thus enforcing the network to learn an allocation strategy that is close to a minimum variance strategy. Extensive experiments were conducted using data collected from Binance spanning 19 months to evaluate the effectiveness of our approach. The backtest results show that the proposed algorithm can produce neural networks that are able to make profits in different market situations.

Anubha Goel, Puneet Pasricha, Juho Kanniainen

This study is the first to analyze the performance of a time-series foundation AI model for Value-at-Risk (VaR), which essentially forecasts the left-tail quantiles of returns. Foundation models, pre-trained on diverse datasets, can be applied in a zero-shot setting with minimal data or further improved through finetuning. We compare Google's TimesFM model to conventional parametric and non-parametric models, including GARCH and Generalized Autoregressive Score (GAS), using 19 years of daily returns from the SP 100 index and its constituents. Backtesting with over 8.5 years of out-of-sample data shows that the fine-tuned foundation model consistently outperforms traditional methods in actual-over-expected ratios. For the quantile score loss function, it performs comparably to the best econometric model, GAS. Overall, the foundation model ranks as the best or among the top performers across the 0.01, 0.025, 0.05, and 0.1 quantile forecasting. Fine-tuning significantly improves accuracy, showing that zero-shot use is not optimal for VaR.

Eljas Linna, Kestutis Baltakys, Alexandros Iosifidis et al.

Modeling the dynamics of financial Limit Order Books (LOB) at the message level is challenging due to irregular event timing, rapid regime shifts, and the reactions of high-frequency traders to visible order flow. Previous LOB models require cumbersome data representations and lack adaptability outside their original tasks, leading us to introduce LOBERT, a general-purpose encoder-only foundation model for LOB data suitable for downstream fine-tuning. LOBERT adapts the original BERT architecture for LOB data by using a novel tokenization scheme that treats complete multi-dimensional messages as single tokens while retaining continuous representations of price, volume, and time. With these methods, LOBERT achieves leading performance in tasks such as predicting mid-price movements and next messages, while reducing the required context length compared to previous methods.

Illia Oleksiienko, Juho Kanniainen, Alexandros Iosifidis

Estimation of model uncertainty can help improve the explainability of Graph Convolutional Networks and the accuracy of the models at the same time. Uncertainty can also be used in critical applications to verify the results of the model by an expert or additional models. In this paper, we propose Variational Neural Network versions of spatial and spatio-temporal Graph Convolutional Networks. We estimate uncertainty in both outputs and layer-wise attentions of the models, which has the potential for improving model explainability. We showcase the benefits of these models in the social trading analysis and the skeleton-based human action recognition tasks on the Finnish board membership, NTU-60, NTU-120 and Kinetics datasets, where we show improvement in model accuracy in addition to estimated model uncertainties.

Mostafa Shabani, Dat Thanh Tran, Martin Magris et al.

Financial time-series forecasting is one of the most challenging domains in the field of time-series analysis. This is mostly due to the highly non-stationary and noisy nature of financial time-series data. With progressive efforts of the community to design specialized neural networks incorporating prior domain knowledge, many financial analysis and forecasting problems have been successfully tackled. The temporal attention mechanism is a neural layer design that recently gained popularity due to its ability to focus on important temporal events. In this paper, we propose a neural layer based on the ideas of temporal attention and multi-head attention to extend the capability of the underlying neural network in focusing simultaneously on multiple temporal instances. The effectiveness of our approach is validated using large-scale limit-order book market data to forecast the direction of mid-price movements. Our experiments show that the use of multi-head temporal attention modules leads to enhanced prediction performances compared to baseline models.

Dat Thanh Tran, Juho Kanniainen, Moncef Gabbouj et al.

Data normalization is one of the most important preprocessing steps when building a machine learning model, especially when the model of interest is a deep neural network. This is because deep neural network optimized with stochastic gradient descent is sensitive to the input variable range and prone to numerical issues. Different than other types of signals, financial time-series often exhibit unique characteristics such as high volatility, non-stationarity and multi-modality that make them challenging to work with, often requiring expert domain knowledge for devising a suitable processing pipeline. In this paper, we propose a novel data-driven normalization method for deep neural networks that handle high-frequency financial time-series. The proposed normalization scheme, which takes into account the bimodal characteristic of financial multivariate time-series, requires no expert knowledge to preprocess a financial time-series since this step is formulated as part of the end-to-end optimization process. Our experiments, conducted with state-of-the-arts neural networks and high-frequency data from two large-scale limit order books coming from the Nordic and US markets, show significant improvements over other normalization techniques in forecasting future stock price dynamics.

Adamantios Ntakaris, Juho Kanniainen, Moncef Gabbouj et al.

Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors) inspired by technical and quantitative analysis and tested their validity on short-term mid-price movement prediction. We focus on a wrapper feature selection method using entropy, least-mean squares, and linear discriminant analysis. We also build a new quantitative feature based on adaptive logistic regression for online learning, which is constantly selected first among the majority of the proposed feature selection methods. This study examines the best combination of features using high frequency limit order book data from Nasdaq Nordic. Our results suggest that sorting methods and classifiers can be used in such a way that one can reach the best performance with a combination of only very few advanced hand-crafted features.

Adamantios Ntakaris, Giorgio Mirone, Juho Kanniainen et al.

Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempts for extracting relevant features based on LOB data. In this paper, we address this problem by designing a new set of handcrafted features and performing an extensive experimental evaluation on both liquid and illiquid stocks. More specifically, we implement a new set of econometrical features that capture statistical properties of the underlying securities for the task of mid-price prediction. Moreover, we develop a new experimental protocol for online learning that treats the task as a multi-objective optimization problem and predicts i) the direction of the next price movement and ii) the number of order book events that occur until the change takes place. In order to predict the mid-price movement, the features are fed into nine different deep learning models based on multi-layer perceptrons (MLP), convolutional neural networks (CNN) and long short-term memory (LSTM) neural networks. The performance of the proposed method is then evaluated on liquid and illiquid stocks, which are based on TotalView-ITCH US and Nordic stocks, respectively. For some stocks, results suggest that the correct choice of a feature set and a model can lead to the successful prediction of how long it takes to have a stock price movement.

Dat Thanh Tran, Juho Kanniainen, Moncef Gabbouj et al.

Forecasting based on financial time-series is a challenging task since most real-world data exhibits nonstationary property and nonlinear dependencies. In addition, different data modalities often embed different nonlinear relationships which are difficult to capture by human-designed models. To tackle the supervised learning task in financial time-series prediction, we propose the application of a recently formulated algorithm that adaptively learns a mapping function, realized by a heterogeneous neural architecture composing of Generalized Operational Perceptron, given a set of labeled data. With a modified objective function, the proposed algorithm can accommodate the frequently observed imbalanced data distribution problem. Experiments on a large-scale Limit Order Book dataset demonstrate that the proposed algorithm outperforms related algorithms, including tensor-based methods which have access to a broader set of input information.

Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen et al.

Deep Learning (DL) models can be used to tackle time series analysis tasks with great success. However, the performance of DL models can degenerate rapidly if the data are not appropriately normalized. This issue is even more apparent when DL is used for financial time series forecasting tasks, where the non-stationary and multimodal nature of the data pose significant challenges and severely affect the performance of DL models. In this work, a simple, yet effective, neural layer, that is capable of adaptively normalizing the input time series, while taking into account the distribution of the data, is proposed. The proposed layer is trained in an end-to-end fashion using back-propagation and leads to significant performance improvements compared to other evaluated normalization schemes. The proposed method differs from traditional normalization methods since it learns how to perform normalization for a given task instead of using a fixed normalization scheme. At the same time, it can be directly applied to any new time series without requiring re-training. The effectiveness of the proposed method is demonstrated using a large-scale limit order book dataset, as well as a load forecasting dataset.

Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen et al.

Time series forecasting is a crucial component of many important applications, ranging from forecasting the stock markets to energy load prediction. The high-dimensionality, velocity and variety of the data collected in these applications pose significant and unique challenges that must be carefully addressed for each of them. In this work, a novel Temporal Logistic Neural Bag-of-Features approach, that can be used to tackle these challenges, is proposed. The proposed method can be effectively combined with deep neural networks, leading to powerful deep learning models for time series analysis. However, combining existing BoF formulations with deep feature extractors pose significant challenges: the distribution of the input features is not stationary, tuning the hyper-parameters of the model can be especially difficult and the normalizations involved in the BoF model can cause significant instabilities during the training process. The proposed method is capable of overcoming these limitations by a employing a novel adaptive scaling mechanism and replacing the classical Gaussian-based density estimation involved in the regular BoF model with a logistic kernel. The effectiveness of the proposed approach is demonstrated using extensive experiments on a large-scale financial time series dataset that consists of more than 4 million limit orders.

Avraam Tsantekidis, Nikolaos Passalis, Anastasios Tefas et al.

The recent surge in Deep Learning (DL) research of the past decade has successfully provided solutions to many difficult problems. The field of quantitative analysis has been slowly adapting the new methods to its problems, but due to problems such as the non-stationary nature of financial data, significant challenges must be overcome before DL is fully utilized. In this work a new method to construct stationary features, that allows DL models to be applied effectively, is proposed. These features are thoroughly tested on the task of predicting mid price movements of the Limit Order Book. Several DL models are evaluated, such as recurrent Long Short Term Memory (LSTM) networks and Convolutional Neural Networks (CNN). Finally a novel model that combines the ability of CNNs to extract useful features and the ability of LSTMs' to analyze time series, is proposed and evaluated. The combined model is able to outperform the individual LSTM and CNN models in the prediction horizons that are tested.

Paraskevi Nousi, Avraam Tsantekidis, Nikolaos Passalis et al.

Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data. Two different sets of features are combined and evaluated: handcrafted features based on the raw order book data and features extracted by ML algorithms, resulting in feature vectors with highly variant dimensionalities. Three classifiers are evaluated using combinations of these sets of features on two different evaluation setups and three prediction scenarios. Even though the large scale and high frequency nature of the limit order book poses several challenges, the scope of the conducted experiments and the significance of the experimental results indicate that Machine Learning highly befits this task carving the path towards future research in this field.

Dat Thanh Tran, Alexandros Iosifidis, Juho Kanniainen et al.

Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading purposes is even a more challenging task since an automated inference system is required to be both accurate and fast. In this paper, we propose a neural network layer architecture that incorporates the idea of bilinear projection as well as an attention mechanism that enables the layer to detect and focus on crucial temporal information. The resulting network is highly interpretable, given its ability to highlight the importance and contribution of each temporal instance, thus allowing further analysis on the time instances of interest. Our experiments in a large-scale Limit Order Book (LOB) dataset show that a two-hidden-layer network utilizing our proposed layer outperforms by a large margin all existing state-of-the-art results coming from much deeper architectures while requiring far fewer computations.

Dat Thanh Tran, Martin Magris, Juho Kanniainen et al.

Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement of assets in High Frequency Trading (HFT), an automatic algorithm to analyze and detect patterns of price change based on transaction records must be available. The multichannel, time-series representation of financial data naturally suggests tensor-based learning algorithms. In this work, we investigate the effectiveness of two multilinear methods for the mid-price prediction problem against other existing methods. The experiments in a large scale dataset which contains more than 4 millions limit orders show that by utilizing tensor representation, multilinear models outperform vector-based approaches and other competing ones.