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Topological Learning
September 18, 2015
Allison Gilmore, Ph.D.
Company Confidential & Proprietary 2
Why Topology?
Data has shape.
Shape has meaning.
You already know this.
Company Confidential & Proprietary
Shape Encodes Structure and Meaning
3
Line Clusters Flares
v v
v
v
vv
v
v
v v
v
v
v v
v
v
v
v
v
Loop
Company Confidential & Proprietary
Complex Data Has ALL These Shapes
4
Company Confidential & Proprietary
Data Comes With the Wrong Coordinates
5
Company Confidential & Proprietary
Topological Networks Capture Shape
6
• Color by a real-valued
function
• Bin in the image of that
function
• Cluster within bins, in
the original space
• Connect clusters that
share data points
Company Confidential & Proprietary
Capturing Complex Shapes
Company Confidential & Proprietary 8
Shape shows underlying properties of
data that yield insights and meaning.
• Nodes are groups of similar
objects
• Edges connect similar nodes
• Colors let you see values of
interest
• Node position on the screen
does not matter
Network Orientation
Company Confidential & Proprietary
Disease State & Model Choice
Company Confidential & Proprietary 10
1982 2015
30 years of market
and economic data
and 150+ variables
The Shape of a Market
Regimes
Progressions
Cycles
Company Confidential & Proprietary 11
All Recessions – 1980-Present
Recessions Are Similar…
Company Confidential & Proprietary 12
1982 Recovery 2002 Recovery
…But Recoveries Are Different
Company Confidential & Proprietary
Build Better Models
13
Identify market regimes
that are analogous to
the current state.
Profit from precise asset
allocation and liquidity
forecasting strategies.
Company Confidential & Proprietary
Topology Yields Principled Local Models
16
Company Confidential & Proprietary 17
Questions?
Allison.Gilmore@Ayasdi.com
www.ayasdi.com
Corporate Headquarters
4400 Bohannon Drive
Suite #200
Menlo Park, CA 94025
ayasdi.com
Company Confidential & Proprietary
PCA Finds 3 Clusters
Company Confidential & Proprietary
TDA Finds 4 Clusters

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Allison Gilmore, Data Scientist, Ayasdi at MLconf ATL - 9/18/15

Hinweis der Redaktion

  1. If you know the shape, you don’t need to query – everything significant is represented in the shape. General ML algorithms only provide access to handful of shapes. Often, data exhibits multiple shapes simultaneously Complex data requires methods that can represent all shapes and combinations of shape = TDA
  2. So, objects close together in the network (in the same or nearby nodes) are similar (on whatever features you used to build the network).
  3. In reality, all these shapes exist in any complex data set. Here’s a data set that is being used by a major hedge fund to guide their investment strategy. Applying Ayasdi Machine Intelligence to 30 years of market and macroeconomic data, results in this topological summary. Each node in this diagram represents a collection of time periods where equity prices and other market indicators behaved similarly. From this data, you can discern specific market regimes, progressions and cycles. Imagine if you can reliably understand the current regime in which we exist today and what are the most likely next progressions in market behavior based on analyzing historical trends. This technique reduces and simplifies thousands of man-hours of systematic and quantitative market research.
  4. If we interrogate for all the recessions included in the set, the result shows that the months that were in a recession cluster quite nicely (lower, right corner of the network) So what other information can we extract from this shape?
  5. The paths to recovery can be different Let’s look at the path out of the 1982 recession (left panel) and out of the 2002 recession (right panel) They took very different paths and that should affirm our understanding that in 30 years of market cycles, the path taken out of each recession has been quite different The next step is to see if we can gain a better understanding of the current state and the implications for the future
  6. The type of advanced discovery enables the traders to build precise trading models that fit current market regimes. They can interrogate time periods of interest, and see exactly what are the driving indicators of similarity, and determine what indicators typically followed next. From this they can build models to drive trading strategies. These same types of analyses can also be used to assess risk by the CRO within the bank, to anticipate periods of increased uncertainty, or the likelihood of volatility.
  7. PCA captures 98.4% of variance. TDA with PCA lenses shows 4 clusters.