The loss function in supervised deep learning is a key element for training AI algorithms. For models aiming at predicting asset returns, not all prediction errors are equal in terms of impact on the efficiency of the algorithm. Indeed, some errors result in poor investment decisions while other...

I employ a variety of machine learning techniques to predict corporate bankruptcies. I compare machine learning techniques' predictions with the ones of reduced-form regressions and structural models. To assess the performances of different models, I compute a range of scores both in-sample and...

Estimating market liquidity based on low-frequency (daily) data is important for both empirical research and investment practice. We apply machine learning to estimate market liquidity by combining human-engineered liquidity proxies based on microstructure models and widely available...

In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...

In the euro area, monetary policy is conducted by a single central bank for 19 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...

We develop metrics based on Shapley values for interpreting time-series forecasting models, including "black-box" models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics,...

We propose a generic workflow for the use of machine learning models to inform decision making and to communicate modelling results with stakeholders. It involves three steps: (1) a comparative model evaluation, (2) a feature importance analysis and (3) statistical inference based on Shapley...

Nowcasting can play a key role in giving policymakers timelier insight to data published with a significant time lag, such as final GDP figures. Currently, there are a plethora of methodologies and approaches for practitioners to choose from. However, there lacks a comprehensive comparison of...

This study provides a comprehensive evaluation of five deep learning (DL) architectures-TiDE, LSTM, DeepAR, TCN, and Transformer-against the extended Heterogeneous Autoregressive (HAR) model for stock market volatility forecasting. Utilizing 22.5 years of high-frequency data from the S&P 500,...

We examine how machine learning models predict stock returns in the Korean market. By analyzing various firm characteristics and macroeconomic variables, we find that tree-based models outperform other machine learning approaches. This finding suggests that, in data-constrained contexts,...