Introduction Accurate and fast identification of wood at the species level is critical for protecting and conserving tree species resources. The current identification methods are inefficient, costly, and complex Methods A wood species identification model based on wood anatomy and using the Cyclobalanopsis genus wood cell geometric dataset was proposed. The model was enhanced by the CTGAN deep learning algorithm and used a simulated cell geometric feature dataset. The machine learning models BPNN and SVM were trained respectively for recognition of three Cyclobalanopsis species with simulated vessel cells and simulated wood fiber cells. Results The SVM model and BPNN model achieved recognition accuracy of 96.4% and 99.6%, respectively, on the real dataset, using the CTGAN-generated vessel dataset. The BPNN model and SVM model achieved recognition accuracy of 75.5% and 77.9% on real dataset, respectively, using the CTGAN-generated wood fiber dataset. Discussion The machine learning model trained based on the enhanced cell geometric feature data by CTGAN achieved good recognition of Cyclobalanopsis, with the SVM model having a higher prediction accuracy than BPNN. The machine learning models were interpreted based on LIME to explore how they identify tree species based on wood cell geometric features. This proposed model can be used for efficient and cost-effective identification of wood species in industrial applications.

/pdf/wood-identification-of-cyclobalanopsis-endl-oerst-based-on-3sncz2md.pdf

Wood identification of Cyclobalanopsis (Endl.) Oerst based on microscopic features and CTGAN-enhanced explainable machine learning models

The use of machine learning for statistical modeling (and thus, generative modeling) has grown in popularity with the proliferation of time series models, text-to-image models, and especially large language models. Fundamentally, the goal of classical factor modeling is statistical modeling of stock returns, and in this work, we explore using deep generative modeling to enhance classical factor models. Prior work has explored the use of deep generative models in order to model hundreds of stocks, leading to accurate risk forecasting and alpha portfolio construction; however, that specific model does not allow for easy factor modeling interpretation in that the factor exposures cannot be deduced. In this work, we introduce NeuralFactors, a novel machine-learning based approach to factor analysis where a neural network outputs factor exposures and factor returns, trained using the same methodology as variational autoencoders. We show that this model outperforms prior approaches both in terms of log-likelihood performance and computational efficiency. Further, we show that this method is competitive to prior work in generating realistic synthetic data, covariance estimation, risk analysis (e.g., value at risk, or VaR, of portfolios), and portfolio optimization. Finally, due to the connection to classical factor analysis, we analyze how the factors our model learns cluster together and show that the factor exposures could be used for embedding stocks.

https://export.arxiv.org/pdf/2408.01499v1.pdf

NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities

Simulating Asset Prices using Conditional Time-Series GAN

We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset class is accessed through a passive (index) fund. The asset-class weights are determined by solving an optimization problem which includes a CVaR-constraint. The optimization is carried out by means of a Modified CTGAN algorithm which incorporates features (contextual information) and is used to generate synthetic return scenarios, which, in turn, are fed into the optimization engine. For contextual information we rely on several points along the U.S. Treasury yield curve. The merits of this approach are demonstrated with an example based on ten asset classes (covering stocks, bonds, and commodities) over a fourteen-and-half year period (January 2008-June 2022). We also show that the synthetic generation process is able to capture well the key characteristics of the original data, and the optimization scheme results in portfolios that exhibit satisfactory out-of-sample performance. We also show that this approach outperforms the conventional equal-weights (1/N) asset allocation strategy and other optimization formulations based on historical data only.

pdf/a-modified-ctgan-plus-features-based-method-for-optimal-3a7gz7kc.pdf

A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation

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A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation