Author name cluster

Shan Xue

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8 papers

2 author rows

AAAI Conference 2025 Conference Paper

Adaptive Market Making with Inventory Constraints via Online Learning

Shan Xue
Ye Du
Liang Xu

A market maker is a specialist who provides liquidity by continuously offering bid and ask quotes for a financial asset. The market maker’s objective is to maximize profit while avoiding the accumulation of a large position in the asset to control inventory risk. To achieve model-free results, online learning has been applied to design market-making strategies that make no assumptions on the dynamics of the limit order book and asset price. However, existing work primarily focuses on profit rather than inventory risk. To address this limitation, this paper develops market-making strategies with inventory constraints within the online learning framework. To manage inventory risk, we propose two classes of market-making strategies with fixed bid-ask spreads that serve as reference strategies. Each reference strategy can ensure that the inventory remains under control, which enables the online learning algorithms designed for each class of reference strategies to satisfy inventory constraints. Different from the standard online learning model where the gain in each period is assumed to lie within a fixed bounded interval, the gain in our model depends on a state variable (i.e., the inventory size). Thus, a key challenge in analyzing the regret bounds is to bound the difference between the gains of any two reference strategies, which becomes significantly more complicated compared with scenarios without inventory constraints. By tackling these difficulties, we show that these algorithms achieve low regrets. Experimental results illustrate the superior performance of our algorithms in inventory risk control.

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IJCAI Conference 2024 Conference Paper

Graph Neural Networks for Brain Graph Learning: A Survey

Xuexiong Luo
Jia Wu
Jian Yang
Shan Xue
Amin Beheshti
Quan Z. Sheng
David McAlpine
Paul Sowman

Exploring the complex structure of the human brain is crucial for understanding its functionality and diagnosing brain disorders. Thanks to advancements in neuroimaging technology, a novel approach has emerged that involves modeling the human brain as a graph-structured pattern, with different brain regions represented as nodes and the functional relationships among these regions as edges. Moreover, graph neural networks (GNNs) have demonstrated a significant advantage in mining graph-structured data. Developing GNNs to learn brain graph representations for brain disorder analysis has recently gained increasing attention. However, there is a lack of systematic survey work summarizing current research methods in this domain. In this paper, we aim to bridge this gap by reviewing brain graph learning works that utilize GNNs. We first introduce the process of brain graph modeling based on common neuroimaging data. Subsequently, we systematically categorize current works based on the type of brain graph generated and the targeted research problems. To make this research accessible to a broader range of interested researchers, we provide an overview of representative methods and commonly used datasets, along with their implementation sources. Finally, we present our insights on future research directions. The repository of this survey is available at https: //github. com/XuexiongLuoMQ/Awesome-Brain-Graph-Learning-with-GNNs.

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AAAI Conference 2023 Conference Paper

Tighter Robust Upper Bounds for Options via No-Regret Learning

Shan Xue
Ye Du
Liang Xu

Classic option pricing models, such as the Black-Scholes formula, often depend on some rigid assumptions on the dynamics of the underlying asset prices. These assumptions are inevitably violated in practice and thus induce the model risk. To mitigate this, robust option pricing that only requires the no-arbitrage principle has attracted a great deal of attention among researchers. In this paper, we give new robust upper bounds for option prices based on a novel η-momentum trading strategy. Our bounds for European options are tighter for most common moneyness, volatility, and expiration date setups than those presented in the existing literature. Our bounds for average strike Asian options are the first closed-form robust upper bounds for those options. Numerical simulations demonstrate that our bounds significantly outperform the benchmarks for both European and Asian options.

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NeurIPS Conference 2022 Conference Paper

Dual-discriminative Graph Neural Network for Imbalanced Graph-level Anomaly Detection

Ge Zhang
Zhenyu Yang
Jia Wu
Jian Yang
Shan Xue
Hao Peng
Jianlin Su
Chuan Zhou

Graph-level anomaly detection aims to distinguish anomalous graphs in a graph dataset from normal graphs. Anomalous graphs represent a very few but essential patterns in the real world. The anomalous property of a graph may be referable to its anomalous attributes of particular nodes and anomalous substructures that refer to a subset of nodes and edges in the graph. In addition, due to the imbalance nature of anomaly problem, anomalous information will be diluted by normal graphs with overwhelming quantities. Various anomaly notions in the attributes and/or substructures and the imbalance nature together make detecting anomalous graphs a non-trivial task. In this paper, we propose a graph neural network for graph-level anomaly detection, namely iGAD. Specifically, an anomalous graph attribute-aware graph convolution and an anomalous graph substructure-aware deep Random Walk Kernel (deep RWK) are welded into a graph neural network to achieve the dual-discriminative ability on anomalous attributes and substructures. Deep RWK in iGAD makes up for the deficiency of graph convolution in distinguishing structural information caused by the simple neighborhood aggregation mechanism. Further, we propose a Point Mutual Information (PMI)-based loss function to target the problems caused by imbalance distributions. PMI-based loss function enables iGAD to capture essential correlation between input graphs and their anomalous/normal properties. We evaluate iGAD on four real-world graph datasets. Extensive experiments demonstrate the superiority of iGAD on the graph-level anomaly detection task.

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IJCAI Conference 2020 Conference Paper

Deep Learning for Community Detection: Progress, Challenges and Opportunities

Fanzhen Liu
Shan Xue
Jia Wu
Chuan Zhou
Wenbin Hu
Cecile Paris
Surya Nepal
Jian Yang

As communities represent similar opinions, similar functions, similar purposes, etc. , community detection is an important and extremely useful tool in both scientific inquiry and data analytics. However, the classic methods of community detection, such as spectral clustering and statistical inference, are falling by the wayside as deep learning techniques demonstrate an increasing capacity to handle high-dimensional graph data with impressive performance. Thus, a survey of current progress in community detection through deep learning is timely. Structured into three broad research streams in this domain – deep neural networks, deep graph embedding, and graph neural networks, this article summarizes the contributions of the various frameworks, models, and algorithms in each stream along with the current challenges that remain unsolved and the future research opportunities yet to be explored.

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ICAPS Conference 2015 Conference Paper

Hindsight Optimization for Probabilistic Planning with Factored Actions

Murugeswari Issakkimuthu
Alan Fern
Roni Khardon
Prasad Tadepalli
Shan Xue

Inspired by the success of the satisfiability approach for deterministic planning, we propose a novel framework for on-line stochastic planning, by embedding the idea of hindsight optimization into a reduction to integer linear programming. In contrast to the previous work using reductions or hindsight optimization, our formulation is general purpose by working with domain specifications over factored state and action spaces, and by doing so is also scalable in principle to exponentially large action spaces. Our approach is competitive with state-of-the-art stochastic planners on challenging benchmark problems, and sometimes exceeds their performance especially in large action spaces.

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JAIR Journal 2015 Journal Article

Scheduling Conservation Designs for Maximum Flexibility via Network Cascade Optimization

Shan Xue
Alan Fern
Daniel Sheldon

One approach to conserving endangered species is to purchase and protect a set of land parcels in a way that maximizes the expected future population spread. Unfortunately, an ideal set of parcels may have a cost that is beyond the immediate budget constraints and must thus be purchased incrementally. This raises the challenge of deciding how to schedule the parcel purchases in a way that maximizes the flexibility of budget usage while keeping population spread loss in control. In this paper, we introduce a formulation of this scheduling problem that does not rely on knowing the future budgets of an organization. In particular, we consider scheduling purchases in a way that achieves a population spread no less than desired but delays purchases as long as possible. Such schedules offer conservation planners maximum flexibility and use available budgets in the most efficient way. We develop the problem formally as a stochastic optimization problem over a network cascade model describing a commonly used model of population spread. Our solution approach is based on reducing the stochastic problem to a novel variant of the directed Steiner tree problem, which we call the set-weighted directed Steiner graph problem. We show that this problem is computationally hard, motivating the development of a primal-dual algorithm for the problem that computes both a feasible solution and a bound on the quality of an optimal solution. We evaluate the approach on both real and synthetic conservation data with a standard population spread model. The algorithm is shown to produce near optimal results and is much more scalable than more generic off-the-shelf optimizers. Finally, we evaluate a variant of the algorithm to explore the trade-offs between budget savings and population growth.

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AAAI Conference 2012 Conference Paper

Scheduling Conservation Designs via Network Cascade Optimization

Shan Xue
Alan Fern
Daniel Sheldon

We introduce the problem of scheduling land purchases to conserve an endangered species in a way that achieves maximum population spread but delays purchases as long as possible, so that conservation planners retain maximum flexibility and use available budgets in the most efficient way. We develop the problem formally as a stochastic optimization problem over a network cascade model describing the population spread, and present a solution approach that reduces the stochastic problem to a novel variant of a Steiner tree problem. We give a primal-dual algorithm for the problem that computes both a feasible solution and a bound on the quality of an optimal solution. Our experiments, using actual conservation data and a standard diffusion model, show that the approach produces near optimal results and is much more scalable than more generic off-the-shelf optimizers.

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