This study proposes a novel attention-based deep neural network (AttDNN) model specifically designed for predicting mergers and acquisitions (M&A). The model extends existing deep learning frameworks by incorporating M&A-specific features, regularization layers, and an attention mechanism that...

imely assessment of regional economic activity in Ukraine is severely constrained by institutional and data-related limitations. Official regional gross regional product (GRP) statistics are available only at low frequency, are published with substantial delays, and, in the post-2022 period, are...

Inflation dynamics reflect forces operating at different cycles, from short-lived shocks to longterm structural trends. We introduce the sum-of-the-cycles (SOC) method, which exploits this multifrequency structure of inflation for forecasting. SOC decomposes inflation into cyclical components,...

We introduce a simple yet powerful method for enhancing mutual fund performance prediction by combining individual predictors into a composite predictor. This composite approach integrates information from 19 well-established return-based and portfolio holdings-based predictors from the...

We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase...

The yield curve is widely regarded as a powerful descriptor of the economy and market expectations. A common approach to its statistical representation relies on a small number of factors summarizing the curve, which can then be used to forecast real economic activity. We argue that optimal...

Purpose - This study aims to forecast the stock market behavior of BRICS nations (Brazil, Russia, India, China and South Africa) using advanced machine learning models. The focus is on identifying market trends, predicting future index prices and analyzing returns. Design/methodology/approach -...

The diverse rating scales used by brokerage firms pose significant challenges for aggregating analyst recommendations in financial research. We develop a momentum-based normalization framework that transforms heterogeneous rating changes into standardized sentiment signals using firm-relative,...

This study examines quantitative investment strategies for Brazilian equity funds, integrating traditional financial performance indicators with machine learning techniques to enhance fund selection. The main objective was to construct and validate predictive models for fund selection. The...

The stability of global energy markets is fundamental to effective energy strategy, influencing national policy and corporate investment decisions. Extreme volatility, such as during the COVID-19 pandemic, exposes the limitations of conventional risk assessment tools and undermines strategic...

Accurate wind power forecasting is crucial for the effective scheduling and scientific management of wind energy, enhancing the safety and reliability of power grids. To handle the inherent intermittency of wind energy, forecasting methodologies have evolved from traditional statistical models...

Theories of limited attention predict that investors rely on typical patterns to navigate high-dimensional firm characteristics, making atypical firms hard to process. To quantify this difficulty, we propose a data-driven measure of firm atypicality using an autoencoder (ATYP). The model learns...

Forecasts that minimize mean squared forecast error (MSE) often exhibit excessive volatility, limiting their practical applicability. We address this accuracy smoothness trade-off by introducing a Multivariate Smooth Sign Accuracy (M-SSA) framework, which extracts smoothed components from...

We present improved out-of-sample predictability of future fund flows using state-of-the-art machine learning methods. Nonlinear machine learning models significantly outperform linear models in terms of out-of-sample R-squared. Using interpretable ML methods, we identify past flows and the...

We study the determinants of US dollar demand across market participants and traded instruments using survey-based exchange rate and macroeconomic expectations. Leveraging granular FX trading data and forward looking expectations, we present three results. First, currency investors increase...

We design a Bayesian Mixed-Frequency vector autoregression (VAR) model for fiscal monitoring, i.e., to nowcast the government deficit-to-GDP ratio in real time and provide a narrative for its dynamics. The model incorporates both monthly cash and quarterly accrual fiscal indicators, together...

Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...

Forecasting hotel occupancy during external shocks is particularly challenging due to their disruptive effects. This study develops a forecasting framework that integrates multisource data using a time-varying parameter state-space model (TVP-SSM). In this framework, search engine data (SED) are...

This study systematically reviews the literature that quantifies the economic benefits of weather observations and forecasts in four weather-dependent economic sectors: agriculture, energy, transport, and disaster-risk management. The review covers 175 peer-reviewed journal articles and 15...

This paper presents the first formal comparison of Value at risk (VaR) forecasting performance across various high-frequency volatility models and conventional benchmarks using daily data in the crude oil futures market. Our analysis reveals the following key findings:(1) High-frequency data...

This study develops a machine learning framework to improve the prediction of automobile loan defaults by integrating explainable feature selection with advanced resampling techniques. Using publicly available data, we compare Logistic Regression, Random Forest, eXtreme Gradient Boosting...

This work introduces a novel method for sentiment analysis in the stock market by combining Deep Neural Networks (DNN) and an improved Firefly Algorithm (FA). It is essential to comprehend investor sentiment in financial markets in order to forecast stock price movements and make wise investment...