Computational Finance and Business Intelligence (CFBI) Session 1

Time and Date: 10:15 - 11:55 on 14th June 2018

Room: 0.3

Chair: Yong Shi

139 Research on Knowledge Discovery in Database of Traffic Flow State Based on Attribute Reduction [abstract]
Abstract: Recognizing and diagnosing the state of traffic flow is an important research area, which is the basis of improving the level of traffic management and the quality of traffic information services. However, due to the increasing amount of traffic data collected, the traffic management system is facing the problem of "information surplus". After finishing several process, including data preprocessing, attribute reduction and rule acquisition, finally obtained the knowledge rules of the traffic flow’s state. Using the method of knowledge discovery can reveal some hidden, unknown and valuable information from the huge amount of traffic flow information, so as to provide rules and decisionmaking basis for traffic management department.
Jia-Lin Wang, Xiao-Lu Li, Li Wang, Xi Zhang, Peng Zhang and Guang-Yu Zhu
172 Factor Integration based on Neural Networks for Factor Investing [abstract]
Abstract: Factor investing is one king of quantitative investing methodologies for portfolio construction based on factors. Factors with different style are extracted from multiple sources such as market data, fundamental information from financial statements, sentimental information from the Internet, etc. Numerous style factors are defined by Barra model proposed by Morgan Stanley Capital International(MSCI) to explain the return a portfolio. Multiple factors are usually integrated linearly when being put to use, which ensure stability of the process of integration and enhance the effectiveness of integrated factors. In this work, we integrate factors by machine learning and deep learning methodologies to explore deeper information among multiple style factors defined by MSCI Barra model. Multi-factors indexes are compiled using Smart Beta Index methodology proposed by MSCI. And the results shows non-linear integration by deep neural network can enhance the profitability and stability of the index compiled according to the integrated factor.
Zhichen Lu, Wen Long and Jiashuai Zhang
194 Brief Survey of Relation Extraction based on Distant Supervision [abstract]
Abstract: As a core task and important part of Information Extraction,Entity Relation Extraction can realize the identification of the semantic relation between entity pairs. And it plays an important role in semantic understanding of sentences and the construction of entity knowledge base. It has the potential of employing distant supervision method, end-to-end model and other deep learning model with the creation of large datasets. In this review, we compare the contributions and defect of the various models that have been used for the task, to help guide the path ahead.
Yong Shi, Yang Xiao and Lingfeng Niu
308 Short-Term Traffic Congestion Forecasting Using Attention-Based Long Short-Term Memory Recurrent Neural Network [abstract]
Abstract: Traffic congestion seriously affect citizens’ life quality. Many researchers have paid much attention to the task of short-term traffic congestion forecasting. However, the performance of the traditional traffic congestion forecasting approaches is not satisfactory. Moreover, most neural network models cannot capture the features at different moments effectively. In this paper, we propose an Attention-based long short-term memory (LSTM) recurrent neural network. We evaluate the prediction architecture on a real-time traffic data from Gray-Chicago-Milwaukee (GCM) Transportation Corridor in Chicagoland. The experimental results demonstrate that our method outperforms the baselines for the task of congestion prediction.
Tianlin Zhang, Ying Liu, Zhenyu Cui, Jiaxu Leng, Weihong Xie and Liang Zhang