Report NEP-BIG-2023-05-29

This is the archive for NEP-BIG, a report on new working papers in the area of Big Data. Tom Coupé issued this report. It is usually issued weekly.

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Other reports in NEP-BIG

The following items were announced in this report:

• Michael Kopp, 2023. "The impact of the AI revolution on asset management," Papers 2304.10212, arXiv.org, revised Apr 2023.
• Patrick Bajari & Zhihao Cen & Victor Chernozhukov & Manoj Manukonda & Suhas Vijaykumar & Jin Wang & Ramon Huerta & Junbo Li & Ling Leng & George Monokroussos & Shan Wan, 2023. "Hedonic Prices and Quality Adjusted Price Indices Powered by AI," Papers 2305.00044, arXiv.org.
• Carlos Moreno Pérez & Marco Minozzo, 2022. "“Making Text Talk”: The Minutes of the Central Bank of Brazil and the Real Economy," Working Papers 2240, Banco de España.
• Cheng Zhang & Nilam Nur Amir Sjarif & Roslina Ibrahim, 2023. "Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022," Papers 2305.04811, arXiv.org, revised Sep 2023.
• Ashish Dhiman, 2023. "UQ for Credit Risk Management: A deep evidence regression approach," Papers 2305.04967, arXiv.org, revised May 2023.
• Mary Chen & Matthew DeHaven & Isabel Kitschelt & Seung Jung Lee & Martin Sicilian, 2023. "Identifying Financial Crises Using Machine Learning on Textual Data," International Finance Discussion Papers 1374, Board of Governors of the Federal Reserve System (U.S.).
• Philippe Goulet Coulombe & Maximilian Gobel, 2023. "Maximally Machine-Learnable Portfolios," Working Papers 23-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Apr 2023.
• Li Rong Wang & Hsuan Fu & Xiuyi Fan, 2023. "Stock Price Predictability and the Business Cycle via Machine Learning," Papers 2304.09937, arXiv.org.
• Antoine Jacquier & Zan Zuric, 2023. "Random neural networks for rough volatility," Papers 2305.01035, arXiv.org.
• Aggarwal, Sakshi, 2023. "LSTM based Anomaly Detection in Time Series for United States exports and imports," MPRA Paper 117149, University Library of Munich, Germany.
• Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
• Adamantios Ntakaris & Moncef Gabbouj & Juho Kanniainen, 2023. "Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting," Papers 2304.09840, arXiv.org, revised May 2023.
• Sabri Boubaker & Zhenya Liu & Ling Zhai, 2021. "Big data, news diversity and financial market crash," Post-Print hal-03511405, HAL.
• Faraz Sasani & Ramin Mousa & Ali Karkehabadi & Samin Dehbashi & Ali Mohammadi, 2023. "TM-vector: A Novel Forecasting Approach for Market stock movement with a Rich Representation of Twitter and Market data," Papers 2304.02094, arXiv.org.
• David Bruns-Smith & Oliver Dukes & Avi Feller & Elizabeth L. Ogburn, 2023. "Augmented balancing weights as linear regression," Papers 2304.14545, arXiv.org, revised Jun 2024.
• Ali Lashgari, 2023. "Assessing Text Mining and Technical Analyses on Forecasting Financial Time Series," Papers 2304.14544, arXiv.org.
• Viktoriia Naboka-Krell, 2023. "Construction and Analysis of Uncertainty Indices based on Multilingual Text Representations," MAGKS Papers on Economics 202310, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Akihiko Takahashi & Toshihiro Yamada, 2023. "Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus," CIRJE F-Series CIRJE-F-1212, CIRJE, Faculty of Economics, University of Tokyo.
• Shogo Fukui, 2023. "Estimating Input Coefficients for Regional Input-Output Tables Using Deep Learning with Mixup," Papers 2305.01201, arXiv.org, revised Jun 2024.
• Sungwoo Kang & Jong-Kook Kim, 2023. "Using a Deep Learning Model to Simulate Human Stock Trader's Methods of Chart Analysis," Papers 2304.14870, arXiv.org, revised Apr 2024.
• Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham, 2023. "Generative modeling for time series via Schrödinger bridge," Working Papers hal-04063041, HAL.
• Salvatore Certo & Anh Pham & Nicolas Robles & Andrew Vlasic, 2023. "Conditional Generative Models for Learning Stochastic Processes," Papers 2304.10382, arXiv.org, revised Aug 2023.
• Akihiko Takahashi & Toshihiro Yamada, 2023. "Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Forthcoming in "Partial Differential Equations and Applications&quo," CARF F-Series CARF-F-560, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• David H. Kreitmeir & Paul A. Raschky, 2023. "The Unintended Consequences of Censoring Digital Technology -- Evidence from Italy's ChatGPT Ban," Papers 2304.09339, arXiv.org.
• Marina Diakonova & Corinna Ghirelli & Javier J. Pérez & Luis Molina, 2022. "The economic impact of conflict-related and policy uncertainty shocks: the case of Russia," Working Papers 2242, Banco de España.
• Marina Diakonova & Luis Molina & Hannes Mueller & Javier J. Pérez & Cristopher Rauh, 2022. "The information content of conflict, social unrest and policy uncertainty measures for macroeconomic forecasting," Working Papers 2232, Banco de España.
• Adeliyi, Oluwaseyi & Adesoba, Adeola, 2022. "A Multi-method Approach to Analyze Australia-China Geopolitical Discourse on YouTube," OSF Preprints pe58w, Center for Open Science.
• Alejandro Bernales & Marcela Valenzuela & Ilknur Zer, 2023. "Effects of Information Overload on Financial Markets: How Much Is Too Much?," International Finance Discussion Papers 1372, Board of Governors of the Federal Reserve System (U.S.).
• Ali Shirazi & Fereshteh Sadeghi Naieni Fard, 2023. "Financial Hedging and Risk Compression, A journey from linear regression to neural network," Papers 2305.04801, arXiv.org.
• Erik Andres-Escayola & Corinna Ghirelli & Luis Molina & Javier J. Pérez & Elena Vidal, 2022. "Using newspapers for textual indicators: which and how many?," Working Papers 2235, Banco de España.