Projects.

OpTrade: A Deep learning Option Forecasting and Systematic Trading Framework

Xavier Mootoo

OpTrade is a framework designed for high-frequency forecasting of alpha term structures in American options markets. The framework leverages state-of-the-art deep learning architectures specialized for time series forecasting. This project has two objectives: (I) discovering alpha term structures to analyze market microstructure dynamics across various options contracts via forecasting, and (II) translating these insights into actionable trading signals. Currently, the project is focused on completing objective (I), with objective (II) planned for implementation upon successful completion of the microstructure analysis framework.


EMForecaster: A Deep Learning Framework for Time Series Forecasting in Wireless Networks with Distribution-Free Uncertainty Quantification

With the recent advancements in wireless technologies, forecasting electromagnetic field (EMF) exposure has become increasingly critical to enable proactive network spectrum and power allocation, and network deployment planning. In this paper, we propose EMForecaster, a novel deep learning time series forecasting architecture which employs patching to process temporal patterns at multiple scales, complemented by reversible instance normalization and mixing operations along both temporal and patch dimensions for efficient feature extraction. We augment EMForecaster with a conformal prediction, a distribution-free uncertainty quantification mechanism, to enhance confidence of model forecasts. In particular, conformal prediction ensures that the ground truth lies within a prediction interval with target error rate $\alpha$, where $1-\alpha$ is referred to as coverage. However, a trade-off exists, as increasing coverage often results in wider prediction intervals. To address this challenge, we propose a new metric referred to as Trade-off Score, that balances the trustworthiness of the forecast (i.e., coverage) and the width of prediction interval. Our empirical evaluation demonstrates that EMForecaster achieves superior performance across diverse EMF datasets and forecast horizons. In point forecasting, EMForecaster outperforms current state-of-the-art DL approaches, 53.97% better than the Transformer architecture and 38.44% over the average baseline. For conformal time series forecasting, EMForecaster provides an excellent balance between prediction interval width and coverage, reaching comparable performance to DLinear, surpassing the average baseline by 24.73% and the Transformer by 49.17%.

Xavier Mootoo, Hina Tabassum, Luca Chiaraviglio
IEEE Transactions on Network Science and Engineering (under review)


Stochastic Sparse Sampling: A Framework for Variable-Length Medical Time Series Classification

Xavier Mootoo, Alan A. Díaz-Montiel, Milad Lankarany, Hina Tabassum

Full Version: IEEE Transactions on Neural Networks and Learning Systems (under review)
Workshop:
NeurIPS 2024 Workshop on Time Series in the Age of Large Models

While the majority of time series classification research has focused on modeling fixed-length sequences, variable-length time series classification (VTSC) remains critical in healthcare, where sequence length may vary among patients and events. To address this challenge, we propose Stochastic Sparse Sampling (SSS), a novel VTSC framework developed for medical time series. SSS manages variable-length sequences by sparsely sampling fixed windows to compute local predictions, which are then aggregated and calibrated to form a global prediction. We apply SSS to the task of seizure onset zone (SOZ) localization, a critical VTSC problem requiring identification of seizure-inducing brain regions from variable-length electrophysiological time series. We evaluate our method on the Epilepsy iEEG Multicenter Dataset, a heterogeneous collection of intracranial electroencephalography (iEEG) recordings obtained from four independent medical centers. SSS demonstrates superior performance compared to state-of-the-art (SOTA) baselines across most medical centers, and superior performance on all out-of-distribution (OOD) unseen medical centers. Additionally, SSS naturally provides post-hoc insights into local signal characteristics related to the SOZ, by visualizing temporally averaged local predictions throughout the signal.


T-VICReg: Self-Supervised Learning for Time Series with Partial Temporal Invariance, Noncontrastive and Augmentation-Free

Xavier Mootoo, Alan A. Díaz-Montiel, Milad Lankarany
T-CAIREM Machine Learning Internship 2023, University of Toronto

We propose Temporal Variance-Invariance-Covariance Regularization (T-VICReg), a novel self-supervised learning method for time series enabling learned representations to be partially invariant to translations in time. Information from both past and future representations is integrated into the current-time representation, allowing for the detection of state transitions in a variety of downstream tasks. We validate T-VICReg on the OpenNeuro dataset ds003029, containing intracranial electroencephalography (IEEG) signals from epilepsy patients, on the task of binary seizure classification (ictal, nonictal) and multiclass seizure detection (preictal, ictal, postictal). Fine-tuning the encoder from T-VICReg resulted in Top-1 accuracies of 92.92% and 89.26%, compared to the supervised baseline with Top-1 accuracies of 89.23% and 84.07% for the binary and multiclass tasks, respectively. T-VICReg is noncontrastive,augmentation-free, and compatible with both continuous and discrete timeseries, allowing for flexible use in many contexts.


QoS-Aware Deep Unsupervised Learning for STAR-RIS Assisted Networks: A Novel Differentiable Projection Framework

Mehrazin Alizadeh, Xavier Mootoo, Hina Tabassum
IEEE Wireless Communication Letters 2024

We present a novel unsupervised learning framework for solving constrained optimization problems with non-convex Quality-of-Service (QoS) constraints. In particular, we propose a differentiable projection function that maps model outputs onto the feasible solution space, ensuring zero constraint violation while enabling efficient exploration. Our approach combines a custom neural network for generating candidate solutions, the custom projection function for constraint enforcement, and an unsupervised training procedure to optimize the primary objective. We evaluate our method on a challenging wireless communications application: joint beamforming and phase-shift optimization in reconfigurable intelligent surface (RIS) assisted networks. We consider a simultaneously transmitting and reflecting RIS (STAR-RIS) in a multi-user, multi-antenna system, maximizing downlink network sum-rate under user-specific QoS constraints. Results show that our framework outperforms genetic algorithms and existing projection-based methods in achieved sum-rate, computational efficiency, and convergence speed, while maintaining zero probability of constraint violation.