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...

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...

Scenarios and pathways, as defined and used in the "SSP-RCP scenario framework", are key in last decade's climate change research and in the latest report of the Intergovernmental Panel on Climate Change (IPCC). In this framework, Shared Socioeconomic Pathways (SSP) consist of a limited set of...

Given data on a scalar random variable 𝑌, a prediction set for 𝑌 with miscoverage level 𝛼 is a set of values for 𝑌 that contains a randomly drawn 𝑌 with probability 1 - 𝛼, where 𝛼 ∈ (0, 1). Among all prediction sets that satisfy this coverage property, the oracle...

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...

This study examines how effectively common factors, extracted using both the partial least squares method and principal component analysis from the business tendency survey and the banking loan tendency survey, can predict Turkiye's economic growth. The findings indicate that integrating this...

This paper examines the impact of Vietnam's emerging market conditions on financial performance forecasting for listed firms, where stock market capitalization reached 56% of Gross Domestic Product (GDP) in 2023. Using a sample of 551 firms across eight industries over the period 2010–2024, we...

This study aims to construct a sentiment index for predicting CPI in Vietnam. Adopting a lexicon-based approach, the study utilized two widely recognized sentiment dictionaries, specialized in financial and economic contexts, to build the sentiment index. Data was mined from nine official...