Abstract Partial orders and directed acyclic graphs are commonly recurring data structures that arise naturally in numerous domains and applications and are used to represent ordered relations between entities in the domains. Examples are task dependencies in a project plan, transaction order in distributed ledgers and execution sequences of tasks in computer programs, just to mention a few. We study the problem of order preserving hierarchical clustering of this kind of ordered data. That is, if we have $$a<b$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>a</mml:mi><mml:mo><</mml:mo><mml:mi>b</mml:mi></mml:mrow></mml:math> in the original data and denote their respective clusters by [ a ] and [ b ], then we shall have $$[a]<[b]$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mo>[</mml:mo><mml:mi>a</mml:mi><mml:mo>]</mml:mo><mml:mo><</mml:mo><mml:mo>[</mml:mo><mml:mi>b</mml:mi><mml:mo>]</mml:mo></mml:mrow></mml:math> in the produced clustering. The clustering is similarity based and uses standard linkage functions, such as single- and complete linkage, and is an extension of classical hierarchical clustering. To achieve this, we develop a novel theory that extends classical hierarchical clustering to strictly partially ordered sets. We define the output from running classical hierarchical clustering on strictly ordered data to be partial dendrograms ; sub-trees of classical dendrograms with several connected components. We then construct an embedding of partial dendrograms over a set into the family of ultrametrics over the same set. An optimal hierarchical clustering is defined as the partial dendrogram corresponding to the ultrametric closest to the original dissimilarity measure, measured in the p -norm. Thus, the method is a combination of classical hierarchical clustering and ultrametric fitting. A reference implementation is employed for experiments on both synthetic random data and real world data from a database of machine parts. When compared to existing methods, the experiments show that our method excels both in cluster quality and order preservation.
Najmeddine Dhieb, Hakim Ghazzai, Hichem Besbes, Yehia Massoud
Internet-of-things (IoT) is perpetually revolutionizing our daily life and rapidly transforming physical objects into an ubiquitous connected ecosystem. Due to their massive deployment and moderate security levels, those devices face a lot of security, management, and control challenges. Their classical centralized architecture is still cloaking vulnerabilities and anomalies that can be exploited by hackers for spying, eavesdropping, and taking control of the network. In this paper, we propose to improve the IoT architecture with additional security features using Artificial Intelligence (AI) and blockchain technology. We propose a novel architecture based on permissioned blockchain technology in order to build a scalable and decentralized end-to-end secure IoT system. Furthermore, we enhance the IoT system security with an AI-component at the gateway level to detect and classify suspected activities, malware, and cyber-attacks using machine learning techniques. Simulations and practical implementation show that the proposed architecture delivers high performance against cyber-attacks.
Blockchain-enabled Federated Learning (BFL) enables mobile devices to collaboratively train neural network models required by a Machine Learning Model Owner (MLMO) while keeping data on the mobile devices. Then, the model updates are stored in the blockchain in a decentralized and reliable manner. However, the issue of BFL is that the mobile devices have energy and CPU constraints that may reduce the system lifetime and training efficiency. The other issue is that the training latency may increase due to the blockchain mining process. To address these issues, the MLMO needs to (i) decide how much data and energy that the mobile devices use for the training and (ii) determine the block generation rate to minimize the system latency, energy consumption, and incentive cost while achieving the target accuracy for the model. Under the uncertainty of the BFL environment, it is challenging for the MLMO to determine the optimal decisions. We propose to use the Deep Reinforcement Learning (DRL) to derive the optimal decisions for the MLMO.
Federated learning has been widely studied and applied to various scenarios, such as financial credit, medical identification, and so on. Under these settings, federated learning protects users from exposing their private data, while cooperatively training a shared machine learning algorithm model (i.e., the global model) for a variety of realworld applications. The only data exchanged is the gradient of the model or the updated model (i.e., the local model update). However, the security of federated learning is increasingly being questioned, due to the malicious clients or central servers' constant attack on the global model or user privacy data. To address these security issues, we propose a decentralized federated learning framework based on blockchain, that is, a Block-chain-based Federated Learning framework with Committee consensus (BFLC). Without a centralized server, the framework uses blockchain for the global model storage and the local model update exchange. To enable the proposed BFLC, we also devise an innovative committee consensus mechanism, which can effectively reduce the amount of consensus computing and reduce malicious attacks. We then discuss the scalability of BFLC, including theoretical security, storage optimization, and incentives. Finally, based on a FISCO blockchain system, we perform experiments using an AlexNet model on several frameworks with a real-world dataset FEMNIST. The experimental results demonstrate the effectiveness and security of the BFLC framework.
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic mixture models into deep recurrent neural networks. The resulting deep mixture models simultaneously address several practical challenges important in the development of automated high-frequency trading strategies that were previously neglected in the literature: 1) probabilistic forecasting of the price movements; 2) single objective prediction of both the direction and size of the price movements. We train our models on high-frequency Bitcoin market data and evaluate them against benchmark models obtained from the literature. We show that our model outperforms the benchmark models in both a metric-based test and in a simulated trading scenario
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving the formation of prices seen on the price chart of a stock or currency. To test the stationarity of our proposed model we train our model on data before the 2017 Bitcoin bubble period and test our model during and after the bubble. We show that without any retraining, the proposed model is temporally stable even as Bitcoin trading shifts into an extremely volatile "bubble trouble" period. The significance of the result is shown by benchmarking against existing state-of-the-art models in the literature for modelling price formation using deep learning.
Anonymity is one of the most important qualities of blockchain technology. For example, one can simply create a bitcoin address to send and receive funds without providing KYC to any authority. In general, the real identity behind cryptocurrency addresses is not known, however, some addresses can be clustered according to their ownership by analyzing behavioral patterns, allowing those with known attribution to be assigned labels. These labels may be further used for legal and compliance purposes to assist in law enforcement investigations. In this document, we discuss our methodology behind assigning attribution labels to cryptocurrency addresses.
Ajay K. Gogineni, S. Swayamjyoti, Devadatta Sahoo, Κ. K. Sahu · 5 authors
Vulnerability detection and safety of smart contracts are of paramount importance because of their immutable nature. Symbolic tools like OYENTE and MAIAN are typically used for vulnerability prediction in smart contracts. As these tools are computationally expensive, they are typically used to detect vulnerabilities until some predefined invocation depth. These tools require more search time as the invocation depth increases. Since the number of smart contracts is increasing exponentially, it is difficult to analyze the contracts using these traditional tools. Recently a machine learning technique called Long Short Term Memory (LSTM) has been used for binary classification, i.e., to predict whether a smart contract is vulnerable or not. This technique requires nearly constant search time as the invocation depth increases. In the present article, we have shown a multi-class classification, where we classify a smart contract in Suicidal, Prodigal, Greedy, or Normal categories. We used Average Stochastic Gradient Descent Weight-Dropped LSTM (AWD-LSTM), which is a variant of LSTM, to perform classification. We reduced the class imbalance (a large number of normal contracts as compared to other categories) by considering only the distinct opcode combination for normal contracts. We have achieved a weighted average Fbeta score of 90.0%. Hence, such techniques can be used to analyze a large number of smart contracts and help to improve the security of these contracts.
Saeed Nosratabadi, Amir Mosavi, Puhong Duan, Pedram Ghamisi
This paper provides the state of the art of data science in economics. Through a novel taxonomy of applications and methods advances in data science are investigated. The data science advances are investigated in three individual classes of deep learning models, ensemble models, and hybrid models. Application domains include stock market, marketing, E-commerce, corporate banking, and cryptocurrency. Prisma method, a systematic literature review methodology is used to ensure the quality of the survey. The findings revealed that the trends are on advancement of hybrid models as more than 51% of the reviewed articles applied hybrid model. On the other hand, it is found that based on the RMSE accuracy metric, hybrid models had higher prediction accuracy than other algorithms. While it is expected the trends go toward the advancements of deep learning models.
Envisioned to be the future of secured distributed systems, blockchain networks have received increasing attention from both the industry and academia in recent years. However, blockchain mining processes demand high hardware costs and consume a vast amount of energy (studies have shown that the amount of energy consumed in Bitcoin mining is almost the same as the electricity used in Ireland). To address the high mining cost problem of blockchain networks, in this paper, we propose a blockchain mining resources allocation algorithm to reduce the mining cost in PoW-based (proof-of-work-based) blockchain networks. We first propose an analytical queueing model for general blockchain networks. In our queueing model, transactions arrive randomly to the queue and are served in a batch manner with unknown service rate probability distribution and agnostic to any priority mechanism. Then, we leverage the Lyapunov optimization techniques to propose a dynamic mining resources allocation algorithm (DMRA), which is parameterized by a tuning parameter $K \gt 0$. We show that our algorithm achieves an $[O(1/ K),O(K)]$ cost-optimality-gap-vs-delay tradeoff. Our simulation results also demonstrate the effectiveness of DMRA in reducing mining costs.
Yueyue Dai, Du Xu, Ke Zhang, Sabita Maharjan · 5 authors
Vehicular Edge Computing (VEC) is a promising paradigm to enable huge amount of data and multimedia content to be cached in proximity to vehicles. However, high mobility of vehicles and dynamic wireless channel condition make it challenge to design an optimal content caching policy. Further, with much sensitive personal information, vehicles may be not willing to caching their contents to an untrusted caching provider. Deep Reinforcement Learning (DRL) is an emerging technique to solve the problem with high-dimensional and time-varying features. Permission blockchain is able to establish a secure and decentralized peer-to-peer transaction environment. In this paper, we integrate DRL and permissioned blockchain into vehicular networks for intelligent and secure content caching. We first propose a blockchain empowered distributed content caching framework where vehicles perform content caching and base stations maintain the permissioned blockchain. Then, we exploit the advanced DRL approach to design an optimal content caching scheme with taking mobility into account. Finally, we propose a new block verifier selection method, Proof-of-Utility (PoU), to accelerate block verification process. Security analysis shows that our proposed blockchain empowered content caching can achieve security and privacy protection. Numerical results based on a real dataset from Uber indicate that the DRL-inspired content caching scheme significantly outperforms two benchmark policies.
Nazar Waheed, Xiangjian He, Muhammad Ikram, Muhammad Usman · 6 authors
Security and privacy of the users have become significant concerns due to the involvement of the Internet of things (IoT) devices in numerous applications. Cyber threats are growing at an explosive pace making the existing security and privacy measures inadequate. Hence, everyone on the Internet is a product for hackers. Consequently, Machine Learning (ML) algorithms are used to produce accurate outputs from large complex databases, where the generated outputs can be used to predict and detect vulnerabilities in IoT-based systems. Furthermore, Blockchain (BC) techniques are becoming popular in modern IoT applications to solve security and privacy issues. Several studies have been conducted on either ML algorithms or BC techniques. However, these studies target either security or privacy issues using ML algorithms or BC techniques, thus posing a need for a combined survey on efforts made in recent years addressing both security and privacy issues using ML algorithms and BC techniques. In this paper, we provide a summary of research efforts made in the past few years, starting from 2008 to 2019, addressing security and privacy issues using ML algorithms and BCtechniques in the IoT domain. First, we discuss and categorize various security and privacy threats reported in the past twelve years in the IoT domain. Then, we classify the literature on security and privacy efforts based on ML algorithms and BC techniques in the IoT domain. Finally, we identify and illuminate several challenges and future research directions in using ML algorithms and BC techniques to address security and privacy issues in the IoT domain.
Yunan Ye, Hengzhi Pei, Boxin Wang, Pin‐Yu Chen · 7 authors
Portfolio management (PM) is a fundamental financial planning task that aims to achieve investment goals such as maximal profits or minimal risks. Its decision process involves continuous derivation of valuable information from various data sources and sequential decision optimization, which is a prospective research direction for reinforcement learning (RL). In this paper, we propose SARL, a novel State-Augmented RL framework for PM. Our framework aims to address two unique challenges in financial PM: (1) data heterogeneity -- the collected information for each asset is usually diverse, noisy and imbalanced (e.g., news articles); and (2) environment uncertainty -- the financial market is versatile and non-stationary. To incorporate heterogeneous data and enhance robustness against environment uncertainty, our SARL augments the asset information with their price movement prediction as additional states, where the prediction can be solely based on financial data (e.g., asset prices) or derived from alternative sources such as news. Experiments on two real-world datasets, (i) Bitcoin market and (ii) HighTech stock market with 7-year Reuters news articles, validate the effectiveness of SARL over existing PM approaches, both in terms of accumulated profits and risk-adjusted profits. Moreover, extensive simulations are conducted to demonstrate the importance of our proposed state augmentation, providing new insights and boosting performance significantly over standard RL-based PM method and other baselines.
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger volatility and illiquidity. This paper is inspired by the recent success of using deep learning for stock market prediction. In this work, we analyze and present the characteristics of the cryptocurrency market in a high-frequency setting. In particular, we applied a deep learning approach to predict the direction of the mid-price changes on the upcoming tick. We monitored live tick-level data from $8$ cryptocurrency pairs and applied both statistical and machine learning techniques to provide a live prediction. We reveal that promising results are possible for cryptocurrencies, and in particular, we achieve a consistent $78\%$ accuracy on the prediction of the mid-price movement on live exchange rate of Bitcoins vs US dollars.
Andrei Lihu, Jincheng Du, Igor Barjaktarević, Patrick Gerzanics · 5 authors
Bitcoin mining is a wasteful and resource-intensive process. To add a block of transactions to the blockchain, miners spend a considerable amount of energy. The Bitcoin protocol, named 'proof of work' (PoW), resembles a lottery and the underlying computational work is not useful otherwise. In this paper, we describe a novel 'proof of useful work' (PoUW) protocol based on training a machine learning model on the blockchain. Miners get a chance to create new coins after performing honest ML training work. Clients submit tasks and pay all training contributors. This is an extra incentive to participate in the network because the system does not rely only on the lottery procedure. Using our consensus protocol, interested parties can order, complete, and verify useful work in a distributed environment. We outline mechanisms to reward useful work and punish malicious actors. We aim to build better AI systems using the security of the blockchain.
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin values may help understand and predict potential market movement and future growth of the technology. Unlike (mostly) repeating phenomena like weather, cryptocurrency values do not follow a repeating pattern and mere past value of Bitcoin does not reveal any secret of future Bitcoin value. Humans follow general sentiments and technical analysis to invest in the market. Hence considering people's sentiment can give a good degree of prediction. We focus on using social sentiment as a feature to predict future Bitcoin value, and in particular, consider Google News and Reddit posts. We find that social sentiment gives a good estimate of how future Bitcoin values may move. We achieve the lowest test RMSE of 434.87 using an LSTM that takes as inputs the historical price of various cryptocurrencies, the sentiment of news articles and the sentiment of Reddit posts.
The challenge of automatically determining the correctness of test executions is referred to as the test oracle problem and is one of the key remaining issues for automated testing. The goal in this paper is to solve the test oracle problem in a way that is general, scalable and accurate. To achieve this, we use supervised learning over test execution traces. We label a small fraction of the execution traces with their verdict of pass or fail. We use the labelled traces to train a neural network (NN) model to learn to distinguish runtime patterns for passing versus failing executions for a given program. Our approach for building this NN model involves the following steps, 1. Instrument the program to record execution traces as sequences of method invocations and global state, 2. Label a small fraction of the execution traces with their verdicts, 3. Designing a NN component that embeds information in execution traces to fixed length vectors, 4. Design a NN model that uses the trace information for classification, 5. Evaluate the inferred classification model on unseen execution traces from the program. We evaluate our approach using case studies from different application domains: 1. Module from Ethereum Blockchain, 2. Module from PyTorch deep learning framework, 3. Microsoft SEAL encryption library components, 4. Sed stream editor, 5. Value pointer library and 6. Nine network protocols from Linux packet identifier, L7-Filter. We found the classification models for all subject programs resulted in high precision, recall and specificity, over 95%, while only training with an average 9% of the total traces. Our experiments show that the proposed neural network model is highly effective as a test oracle and is able to learn runtime patterns to distinguish passing and failing test executions for systems and tests from different application domains.
Federated learning (FL) is an emerging collaborative machine learning method to train models on distributed datasets with privacy concerns. To properly incentivize data owners to contribute their efforts, Shapley Value (SV) is often adopted to fairly assess their contribution. However, the calculation of SV is time-consuming and computationally costly. In this paper, we propose FedCoin, a blockchain-based peer-to-peer payment system for FL to enable a feasible SV based profit distribution. In FedCoin, blockchain consensus entities calculate SVs and a new block is created based on the proof of Shapley (PoSap) protocol. It is in contrast to the popular BitCoin network where consensus entities "mine" new blocks by solving meaningless puzzles. Based on the computed SVs, a scheme for dividing the incentive payoffs among FL clients with nonrepudiation and tamper-resistance properties is proposed. Experimental results based on real-world data show that FedCoin can promote high-quality data from FL clients through accurately computing SVs with an upper bound on the computational resources required for reaching consensus. It opens opportunities for non-data owners to play a role in FL.
Ana Fernández Vilas, Rebeca P. Dı́az Redondo, Anton Lorenzo Garcia
There is a consensus about the good sensing characteristics of Twitter to mine and uncover knowledge in financial markets, being considered a relevant feeder for taking decisions about buying or holding stock shares and even for detecting stock manipulation. Although Twitter hashtags allow to aggregate topic-related content, a specific mechanism for financial information also exists: Cashtag (consisting of the company ticker preceded by $) is a supporting mechanism to track financial tweets referring to a company listed in a stock market. However, according to our experiments and due to the lack of conventions in cashtags usage, the irruption of cryptocurrencies has resulted in a significant degradation on the cashtag-based aggregation of posts. Unfortunately, Twitter' users may use homonym tickers to refer to cryptocurrencies and to companies in stock markets, which means that filtering by cashtag may result on both posts referring to stock companies and cryptocurrencies. This research proposes automated classifiers to distinguish conflicting cashtags and, so, their container tweets by analyzing the distinctive features of tweets referring to stock companies and cryptocurrencies. As experiment, this paper analyses the interference between cryptocurrencies and company tickers in the London Stock Exchange (LSE), specifically, companies in the main and alternative market indices FTSE-100 and AIM-100. Heuristic-based as well as supervised classifiers are proposed and their advantages and drawbacks, including their ability to self-adapt to Twitter usage changes, are discussed. The experiment confirms a significant distortion in collected data when colliding or homonym cashtags exist, i.e., the same $ acronym to refer to company tickers and cryptocurrencies. According to our results, the distinctive features of posts including cryptocurrencies or company tickers support accurate classification of colliding tweets (homonym cashtags) and Independent Models, as the most detached classifiers from training data, have the potential to be trans-applicability (in different stock markets) while retaining performance.
In this article we forecast daily closing price series of Bitcoin, Litecoin and Ethereum cryptocurrencies, using data on prices and volumes of prior days. Cryptocurrencies price behaviour is still largely unexplored, presenting new opportunities for researchers and economists to highlight similarities and differences with standard financial prices. We compared our results with various benchmarks: one recent work on Bitcoin prices forecasting that follows different approaches, a well-known paper that uses Intel, National Bank shares and Microsoft daily NASDAQ closing prices spanning a 3-year interval and another, more recent paper which gives quantitative results on stock market index predictions. We followed different approaches in parallel, implementing both statistical techniques and machine learning algorithms: the Simple Linear Regression (SLR) model for uni-variate series forecast using only closing prices, and the Multiple Linear Regression (MLR) model for multivariate series using both price and volume data. We used two artificial neural networks as well: Multilayer Perceptron (MLP) and Long short-term memory (LSTM). While the entire time series resulted to be indistinguishable from a random walk, the partitioning of datasets into shorter sequences, representing different price "regimes", allows to obtain precise forecast as evaluated in terms of Mean Absolute Percentage Error(MAPE) and relative Root Mean Square Error (relativeRMSE). In this case the best results are obtained using more than one previous price, thus confirming the existence of time regimes different from random walks. Our models perform well also in terms of time complexity, and provide overall results better than those obtained in the benchmark studies, improving the state-of-the-art.
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim, four different Machine Learning (ML) algorithms are applied, namely, the Support Vector Machines (<i>SVM</i>), the Artificial Neural Network (<i>ANN</i>), the Naï ve Bayes (<i>NB)</i> and the Random Forest (<i>RF</i>) besides the logistic regression (LR) as a benchmark model. In order to test these algorithms, besides existing continuous dataset, discrete dataset was also created and used. For the evaluations of algorithm performances, the <i>F</i> statistic, accuracy statistic, the Mean Absolute Error (MAE), the Root Mean Square Error (RMSE) and the Root Absolute Error (RAE) metrics were used. The <i>t</i> test was used to compare the performances of the SVM, ANN, NB and RF with the performance of the LR. Empirical findings reveal that, while the <i>RF</i> has the highest forecasting performance in the continuous dataset, the <i>NB</i> has the lowest. On the other hand, while the <i>ANN</i> has the highest and the <i>NB</i> the lowest performance in the discrete dataset. Furthermore, the discrete dataset improves the overall forecasting performance in all algorithms (models) estimated.
Bitcoin is by far the most popular crypto-currency solution enabling peer-to-peer payments. Despite some studies highlighting the network does not provide full anonymity, it is still being heavily used for a wide variety of dubious financial activities such as money laundering, ponzi schemes, and ransom-ware payments. In this paper, we explore the landscape of potential money laundering activities occurring across the Bitcoin network. Using data collected over three years, we create transaction graphs and provide an in-depth analysis on various graph characteristics to differentiate money laundering transactions from regular transactions. We found that the main difference between laundering and regular transactions lies in their output values and neighbourhood information. Then, we propose and evaluate a set of classifiers based on four types of graph features: immediate neighbours, curated features, deepwalk embeddings, and node2vec embeddings to classify money laundering and regular transactions. Results show that the node2vec-based classifier outperforms other classifiers in binary classification reaching an average accuracy of 92.29% and an F1-measure of 0.93 and high robustness over a 2.5-year time span. Finally, we demonstrate how effective our classifiers are in discovering unknown laundering services. The classifier performance dropped compared to binary classification, however, the prediction can be improved with simple ensemble techniques for some services.
Blockchain technology is the first successful Bitcoin Network. It enables the ledger to become more decentralized and secure. Since it is not limited to bitcoin and controlled by third parties by government, corporations or banks, the technology is capturing the number of industries including cryptocurrency, infrastructure& hardware, financial technology, Internet&mobile and so on. Blockchain is used as a public ledger to verify all transactions of peer to peer systems and to maintain traded bitcoin spending from central authorities while transactions have been distributed by Bitcoin. Achieving high blockchain-based performance and privacy & security are global issues that are desire to be overcome as claims show they are still significant challenges in many blockchain applications. Thus, this paper provides an introduction of Blockchain and the process of this technology in a way of outlining blockchain types. In addition, recent advances & challenges, real economy integration and current situations of this technology have been listed.
This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cryptocurrencies, we examine extreme behaviour through a study of distribution extremities, and erratic behaviour through structural breaks. First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance. Second, we compare and contrast these two behaviours, and identify individual anomalous cryptocurrencies. Tether (USDT) and TrueUSD (TUSD) are consistent outliers with respect to their returns, while Holo (HOT), NEXO (NEXO), Maker (MKR) and NEM (XEM) are frequently observed as anomalous with respect to both behaviours and time. Even among a market known as consistently volatile, this identifies individual cryptocurrencies that behave most irregularly in their extreme and erratic behaviour and shows these were more affected during the COVID-19 market crisis.