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Weiqing Liu

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15 papers

2 author rows

AAAI Conference 2026 Conference Paper

Controllable Financial Market Generation with Diffusion Guided Meta Agent

Yu-Hao Huang
Chang Xu
Yang Liu
Weiqing Liu
Wu-Jun Li
Jiang Bian

Generative modeling has transformed many fields, such as language and visual modeling, while its application in financial markets remains under-explored. As the minimal unit within a financial market is an order, order-flow modeling represents a fundamental generative financial task. However, current approaches often yield unsatisfactory fidelity in generating order flow, and their generation lacks controllability, thereby limiting their practical applications. In this paper, we formulate the challenge of controllable financial market generation, and propose a Diffusion Guided Meta Agent (DigMA) model to address it. Specifically, we employ a conditional diffusion model to capture the dynamics of the market state represented by time-evolving distribution parameters of the mid-price return rate and the order arrival rate, and we define a meta agent with financial economic priors to generate orders from the corresponding distributions. Extensive experimental results show that DigMA achieves superior controllability and generation fidelity. Moreover, we validate its effectiveness as a generative environment for downstream high-frequency trading tasks and its computational efficiency.

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NeurIPS Conference 2025 Conference Paper

Functional Complexity-adaptive Temporal Tensor Decomposition

Panqi Chen
Lei Cheng
Jianlong Li
Weichang Li
Weiqing Liu
Jiang Bian
Shikai Fang

Tensor decomposition is a fundamental tool for analyzing multi-dimensional data by learning low-rank factors to represent high-order interactions. While recent works on temporal tensor decomposition have made significant progress by incorporating continuous timestamps in latent factors, they still struggle with general tensor data with continuous indexes not only in the temporal mode but also in other modes, such as spatial coordinates in climate data. Moreover, the challenge of self-adapting model complexity is largely unexplored in functional temporal tensor models, with existing methods being inapplicable in this setting. To address these limitations, we propose functional Complexity-Adaptive Temporal Tensor dEcomposition (Catte). Our approach encodes continuous spatial indexes as learnable Fourier features and employs neural ODEs in latent space to learn the temporal trajectories of factors. To enable automatic adaptation of model complexity, we introduce a sparsity-inducing prior over the factor trajectories. We develop an efficient variational inference scheme with an analytical evidence lower bound, enabling sampling-free optimization. Through extensive experiments on both synthetic and real-world datasets, we demonstrate that Catte not only reveals the underlying ranks of functional temporal tensors but also significantly outperforms existing methods in prediction performance and robustness against noise.

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NeurIPS Conference 2025 Conference Paper

Generating Full-field Evolution of Physical Dynamics from Irregular Sparse Observations

Panqi Chen
Yifan Sun
Lei Cheng
Yang Yang
Weichang Li
Yang Liu
Weiqing Liu
Jiang Bian

Modeling and reconstructing multidimensional physical dynamics from sparse and off-grid observations presents a fundamental challenge in scientific research. Recently, diffusion-based generative modeling shows promising potential for physical simulation. However, current approaches typically operate on on-grid data with preset spatiotemporal resolution, but struggle with the sparsely observed and continuous nature of real-world physical dynamics. To fill the gaps, we present SDIFT, Sequential DIffusion in Functional Tucker space, a novel framework that generates full-field evolution of physical dynamics from irregular sparse observations. SDIFT leverages the functional Tucker model as the latent space representer with proven universal approximation property, and represents sparse observations as latent functions and Tucker core sequences. We then construct a sequential diffusion model with temporally augmented UNet in the functional Tucker space, denoising noise drawn from a Gaussian process to generate the sequence of core tensors. At the posterior sampling stage, we propose a Message-Passing Posterior Sampling mechanism, enabling conditional generation of the entire sequence guided by observations at limited time steps. We validate SDIFT on three physical systems spanning astronomical (supernova explosions, light-year scale), environmental (ocean sound speed fields, kilometer scale), and molecular (organic liquid, millimeter scale) domains, demonstrating significant improvements in both reconstruction accuracy and computational efficiency compared to state-of-the-art approaches.

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ICLR Conference 2025 Conference Paper

MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model

Junjie Li
Yang Liu 0278
Weiqing Liu
Shikai Fang
Lewen Wang
Chang Xu 0008
Jiang Bian 0002

Generative models aim to simulate realistic effects of various actions across different contexts, from text generation to visual effects. Despite significant efforts to build real-world simulators, the application of generative models to virtual worlds, like financial markets, remains under-explored. In financial markets, generative models can simulate complex market effects of participants with various behaviors, enabling interaction under different market conditions, and training strategies without financial risk. This simulation relies on the finest structured data in financial market like orders thus building the finest realistic simulation. We propose Large Market Model (LMM), an order-level generative foundation model, for financial market simulation, akin to language modeling in the digital world. Our financial Market Simulation engine (MarS), powered by LMM, addresses the domain-specific need for realistic, interactive and controllable order generation. Key observations include LMM's strong scalability across data size and model complexity, and MarS's robust and practicable realism in controlled generation with market impact. We showcase MarS as a forecast tool, detection system, analysis platform, and agent training environment, thus demonstrating MarS's ``paradigm shift'' potential for a variety of financial applications. We release the code of MarS at https://github.com/microsoft/MarS/.

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NeurIPS Conference 2025 Conference Paper

R&D-Agent-Quant: A Multi-Agent Framework for Data-Centric Factors and Model Joint Optimization

Yuante Li
Xu Yang
Xiao Yang
Xisen Wang
Weiqing Liu
Jiang Bian

Financial markets pose fundamental challenges for asset return prediction due to their high dimensionality, non-stationarity, and persistent volatility. Despite advances in large language models and multi-agent systems, current quantitative research pipelines suffer from limited automation, weak interpretability, and fragmented coordination across key components such as factor mining and model innovation. In this paper, we propose R&D-Agent for Quantitative Finance, in short R&D-Agent(Q), the first data-centric multi-agent framework designed to automate the full-stack research and development of quantitative strategies via coordinated factor-model co-optimization. R&D-Agent(Q) decomposes the quant process into two iterative stages: a Research stage that dynamically sets goal-aligned prompts, formulates hypotheses based on domain priors, and maps them to concrete tasks, and a Development stage that employs a code-generation agent, Co-STEER, to implement task-specific code, which is then executed in real-market backtests. The two stages are connected through a feedback stage that thoroughly evaluates experimental outcomes and informs subsequent iterations, with a multi-armed bandit scheduler for adaptive direction selection. Empirically, R&D-Agent(Q) achieves up to 2× higher annualized returns than classical factor libraries using 70% fewer factors, and outperforms state-of-the-art deep time-series models on real markets. Its joint factor–model optimization delivers a strong balance between predictive accuracy and strategy robustness. Our code is available at: https: //github. com/microsoft/RD-Agent.

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NeurIPS Conference 2024 Conference Paper

BPQP: A Differentiable Convex Optimization Framework for Efficient End-to-End Learning

Jianming Pan
Zeqi Ye
Xiao Yang
Xu Yang
Weiqing Liu
Lewen Wang
Jiang Bian

Data-driven decision-making processes increasingly utilize end-to-end learnable deep neural networks to render final decisions. Sometimes, the output of the forward functions in certain layers is determined by the solutions to mathematical optimization problems, leading to the emergence of differentiable optimization layers that permit gradient back-propagation. However, real-world scenarios often involve large-scale datasets and numerous constraints, presenting significant challenges. Current methods for differentiating optimization problems typically rely on implicit differentiation, which necessitates costly computations on the Jacobian matrices, resulting in low efficiency. In this paper, we introduce BPQP, a differentiable convex optimization framework designed for efficient end-to-end learning. To enhance efficiency, we reformulate the backward pass as a simplified and decoupled quadratic programming problem by leveraging the structural properties of the Karush–Kuhn–Tucker (KKT) matrix. This reformulation enables the use of first-order optimization algorithms in calculating the backward pass gradients, allowing our framework to potentially utilize any state-of-the-art solver. As solver technologies evolve, BPQP can continuously adapt and improve its efficiency. Extensive experiments on both simulated and real-world datasets demonstrate that BPQP achieves a significant improvement in efficiency—typically an order of magnitude faster in overall execution time compared to other differentiable optimization layers. Our results not only highlight the efficiency gains of BPQP but also underscore its superiority over differential optimization layer baselines.

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ICLR Conference 2024 Conference Paper

MG-TSD: Multi-Granularity Time Series Diffusion Models with Guided Learning Process

Xinyao Fan
Yueying Wu 0004
Chang Xu 0008
Yu-Hao Huang 0002
Weiqing Liu
Jiang Bian 0002

Recently, diffusion probabilistic models have attracted attention in generative time series forecasting due to their remarkable capacity to generate high-fidelity samples. However, the effective utilization of their strong modeling ability in the probabilistic time series forecasting task remains an open question, partially due to the challenge of instability arising from their stochastic nature. To address this challenge, we introduce a novel Multi-Granularity Time Series Diffusion (MG-TSD) model, which achieves state-of-the-art predictive performance by leveraging the inherent granularity levels within the data as given targets at intermediate diffusion steps to guide the learning process of diffusion models. The way to construct the targets is motivated by the observation that forward process of the diffusion model, which sequentially corrupts the data distribution to a standard normal distribution, intuitively aligns with the process of smoothing fine-grained data into a coarse-grained representation, both of which result in a gradual loss of fine distribution features. In the study, we derive a novel multi-granularity guidance diffusion loss function and propose a concise implementation method to effectively utilize coarse-grained data across various granularity levels. More importantly, our approach does not rely on additional external data, making it versatile and applicable across various domains. Extensive experiments conducted on real-world datasets demonstrate that our MG-TSD model outperforms existing time series prediction methods.

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AAAI Conference 2022 Conference Paper

DDG-DA: Data Distribution Generation for Predictable Concept Drift Adaptation

Wendi Li
Xiao Yang
Weiqing Liu
Yingce Xia
Jiang Bian

In many real-world scenarios, we often deal with streaming data that is sequentially collected over time. Due to the nonstationary nature of the environment, the streaming data distribution may change in unpredictable ways, which is known as concept drift. To handle concept drift, previous methods first detect when/where the concept drift happens and then adapt models to fit the distribution of the latest data. However, there are still many cases that some underlying factors of environment evolution are predictable, making it possible to model the future concept drift trend of the streaming data, while such cases are not fully explored in previous work. In this paper, we propose a novel method DDG-DA, that can effectively forecast the evolution of data distribution and improve the performance of models. Specifically, we first train a predictor to estimate the future data distribution, then leverage it to generate training samples, and finally train models on the generated data. We conduct experiments on three realworld tasks (forecasting on stock price trend, electricity load and solar irradiance) and obtain significant improvement on multiple widely-used models.

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IJCAI Conference 2022 Conference Paper

Towards Applicable Reinforcement Learning: Improving the Generalization and Sample Efficiency with Policy Ensemble

Zhengyu Yang
Kan Ren
Xufang Luo
Minghuan Liu
Weiqing Liu
Jiang Bian
Weinan Zhang
Dongsheng Li

It is challenging for reinforcement learning (RL) algorithms to succeed in real-world applications. Take financial trading as an example, the market information is noisy yet imperfect and the macroeconomic regulation or other factors may shift between training and evaluation, thus it requires both generalization and high sample efficiency for resolving the task. However, directly applying typical RL algorithms can lead to poor performance in such scenarios. To derive a robust and applicable RL algorithm, in this work, we design a simple but effective method named Ensemble Proximal Policy Optimization (EPPO), which learns ensemble policies in an end-to-end manner. Notably, EPPO combines each policy and the policy ensemble organically and optimizes both simultaneously. In addition, EPPO adopts a diversity enhancement regularization over the policy space which helps to generalize to unseen states and promotes exploration. We theoretically prove that EPPO can increase exploration efficacy, and through comprehensive experimental evaluations on various tasks, we demonstrate that EPPO achieves higher efficiency and is robust for real-world applications compared with vanilla policy optimization algorithms and other ensemble methods. Code and supplemental materials are available at https: //seqml. github. io/eppo.

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AAAI Conference 2021 Conference Paper

Learning to Reweight with Deep Interactions

Yang Fan
Yingce Xia
Lijun Wu
Shufang Xie
Weiqing Liu
Jiang Bian
Tao Qin
Xiang-Yang Li

Recently, the concept of teaching has been introduced into machine learning, in which a teacher model is used to guide the training of a student model (which will be used in real tasks) through data selection, loss function design, etc. Learning to reweight, which is a specific kind of teaching that reweights training data using a teacher model, receives much attention due to its simplicity and effectiveness. In existing learning to reweight works, the teacher model only utilizes shallow/surface information such as training iteration number and loss/accuracy of the student model from training/validation sets, but ignores the internal states of the student model, which limits the potential of learning to reweight. In this work, we propose an improved data reweighting algorithm, in which the student model provides its internal states to the teacher model, and the teacher model returns adaptive weights of training samples to enhance the training of the student model. The teacher model is jointly trained with the student model using meta gradients propagated from a validation set. Experiments on image classification with clean/noisy labels and neural machine translation empirically demonstrate that our algorithm makes significant improvement over previous methods.

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ICML Conference 2021 Conference Paper

Temporally Correlated Task Scheduling for Sequence Learning

Xueqing Wu 0001
Lewen Wang
Yingce Xia
Weiqing Liu
Lijun Wu 0003
Shufang Xie 0003
Tao Qin 0001
Tie-Yan Liu

Sequence learning has attracted much research attention from the machine learning community in recent years. In many applications, a sequence learning task is usually associated with multiple temporally correlated auxiliary tasks, which are different in terms of how much input information to use or which future step to predict. For example, (i) in simultaneous machine translation, one can conduct translation under different latency (i. e. , how many input words to read/wait before translation); (ii) in stock trend forecasting, one can predict the price of a stock in different future days (e. g. , tomorrow, the day after tomorrow). While it is clear that those temporally correlated tasks can help each other, there is a very limited exploration on how to better leverage multiple auxiliary tasks to boost the performance of the main task. In this work, we introduce a learnable scheduler to sequence learning, which can adaptively select auxiliary tasks for training depending on the model status and the current training data. The scheduler and the model for the main task are jointly trained through bi-level optimization. Experiments show that our method significantly improves the performance of simultaneous machine translation and stock trend forecasting.

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AAAI Conference 2021 Conference Paper

Universal Trading for Order Execution with Oracle Policy Distillation

Yuchen Fang
Kan Ren
Weiqing Liu
Dong Zhou
Weinan Zhang
Jiang Bian
Yong Yu
Tie-Yan Liu

As a fundamental problem in algorithmic trading, order execution aims at fulfilling a specific trading order, either liquidation or acquirement, for a given instrument. Towards effective execution strategy, recent years have witnessed the shift from the analytical view with model-based market assumptions to model-free perspective, i. e. , reinforcement learning, due to its nature of sequential decision optimization. However, the noisy and yet imperfect market information that can be leveraged by the policy has made it quite challenging to build up sample efficient reinforcement learning methods to achieve effective order execution. In this paper, we propose a novel universal trading policy optimization framework to bridge the gap between the noisy yet imperfect market states and the optimal action sequences for order execution. Particularly, this framework leverages a policy distillation method that can better guide the learning of the common policy towards practically optimal execution by an oracle teacher with perfect information to approximate the optimal trading strategy. The extensive experiments have shown significant improvements of our method over various strong baselines, with reasonable trading actions.

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AAAI Conference 2019 Conference Paper

Popularity Prediction on Online Articles with Deep Fusion of Temporal Process and Content Features

Dongliang Liao
Jin Xu
Gongfu Li
Weijie Huang
Weiqing Liu
Jing Li

Predicting the popularity of online article sheds light to many applications such as recommendation, advertising and information retrieval. However, there are several technical challenges to be addressed for developing the best of predictive capability. (1) The popularity fluctuates under impacts of external factors, which are unpredictable and hard to capture. (2) Content and meta-data features, largely determining the online content popularity, are usually multi-modal and nontrivial to model. (3) Besides, it also needs to figure out how to integrate temporal process and content features modeling for popularity prediction in different lifecycle stages of online articles. In this paper, we propose a Deep Fusion of Temporal process and Content features (DFTC) method to tackle them. For modeling the temporal popularity process, we adopt the recurrent neural network and convolutional neural network. For multi-modal content features, we exploit the hierarchical attention network and embedding technique. Finally, a temporal attention fusion is employed for dynamically integrating all these parts. Using datasets collected from WeChat, we show that the proposed model significantly outperforms stateof-the-art approaches on popularity prediction.

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IJCAI Conference 2018 Conference Paper

Predicting Activity and Location with Multi-task Context Aware Recurrent Neural Network

Dongliang Liao
Weiqing Liu
Yuan Zhong
Jing Li
Guowei Wang

Predicting users’ activity and location preferences is of great significance in location based services. Considering that users’ activity and location preferences interplay with each other, many scholars tried to figure out the relation between users’ activities and locations for improving prediction performance. However, most previous works enforce a rigid human-defined modeling strategy to capture these two factors, either activity purpose controlling location preference or spatial region determining activity preference. Unlike existing methods, we introduce spatial-activity topics as the latent factor capturing both users’ activity and location preferences. We propose Multi-task Context Aware Recurrent Neural Network to leverage the spatial activity topic for activity and location prediction. More specifically, a novel Context Aware Recurrent Unit is designed to integrate the sequential dependency and temporal regularity of spatial activity topics. Extensive experimental results based on real-world public datasets demonstrate that the proposed model significantly outperforms state-of-the-art approaches.

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YNICL Journal 2015 Journal Article

Three dysconnectivity patterns in treatment-resistant schizophrenia patients and their unaffected siblings

Jicai Wang
Hongbao Cao
Yanhui Liao
Weiqing Liu
Liwen Tan
Yanqing Tang
Jindong Chen
Xiufeng Xu

UNLABELLED: Among individuals diagnosed with schizophrenia, approximately 20%-33% are recognized as treatment-resistant schizophrenia (TRS) patients. These TRS patients suffer more severely from the disease but struggle to benefit from existing antipsychotic treatments. A few recent studies suggested that schizophrenia may be caused by impaired synaptic plasticity that manifests as functional dysconnectivity in the brain, however, few of those studies focused on the functional connectivity changes in the brains of TRS groups. In this study, we compared the whole brain connectivity variations in TRS patients, their unaffected siblings, and healthy controls. Connectivity network features between and within the 116 automated anatomical labeling (AAL) brain regions were calculated and compared using maps created with three contrasts: patient vs. control, patient vs. sibling, and sibling vs. CONTROL: To evaluate the predictive power of the selected features, we performed a multivariate classification approach. We also evaluated the influence of six important clinical measures (e.g. age, education level) on the connectivity features. This study identified abnormal significant connectivity changes of three patterns in TRS patients and their unaffected siblings: 1) 69 patient-specific connectivity (PCN); 2) 102 shared connectivity (SCN); and 3) 457 unshared connectivity (UCN). While the first two patterns were widely reported by previous non-TRS specific studies, we were among the first to report widespread significant connectivity differences between TRS patient groups and their healthy sibling groups. Observations of this study may provide new insights for the understanding of the neurophysiological mechanisms of TRS.

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