Report NEP-BIG-2024-04-01

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:

• John D. Huber & Laura Mayoral, 2024. "Economic Development in Pixels: The Limitations of Nightlights and New Spatially Disaggregated Measures of Consumption and Poverty," Working Papers 1433, Barcelona School of Economics.
• Victor Chernozhukov & Christian Hansen & Nathan Kallus & Martin Spindler & Vasilis Syrgkanis, 2024. "Applied Causal Inference Powered by ML and AI," Papers 2403.02467, arXiv.org.
• Ziyuan Ma & Conor Ryan & Jim Buckley & Muslim Chochlov, 2024. "Do Weibo platform experts perform better at predicting stock market?," Papers 2403.00772, arXiv.org.
• Pierre Brugiere & Gabriel Turinici, 2024. "Transformer for Times Series: an Application to the S&P500," Papers 2403.02523, arXiv.org.
• Hanshuang Tong & Jun Li & Ning Wu & Ming Gong & Dongmei Zhang & Qi Zhang, 2024. "Ploutos: Towards interpretable stock movement prediction with financial large language model," Papers 2403.00782, arXiv.org.
• Richard Schnorrenberger & Aishameriane Schmidt & Guilherme Valle Moura, 2024. "Harnessing Machine Learning for Real-Time Inflation Nowcasting," Working Papers 806, DNB.
• Giraldo, Carlos & Giraldo, Iader & Gomez-Gonzalez, Jose E. & Uribe, Jorge M., 2024. "High Frequency Monitoring of Credit Creation: A New Tool for Central Banks in Emerging Market Economies," Documentos de trabajo 21077, FLAR.
• Bryan Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2024. "Large (and Deep) Factor Models," Papers 2402.06635, arXiv.org.
• Qishuo Cheng & Le Yang & Jiajian Zheng & Miao Tian & Duan Xin, 2024. "Optimizing Portfolio Management and Risk Assessment in Digital Assets Using Deep Learning for Predictive Analysis," Papers 2402.15994, arXiv.org.
• Vikranth Lokeshwar Dhandapani & Shashi Jain, 2024. "Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement," Papers 2402.17941, arXiv.org.
• Daniele Ballinari, 2024. "Calibrating doubly-robust estimators with unbalanced treatment assignment," Papers 2403.01585, arXiv.org, revised Jun 2024.
• Pengfei Zhao & Haoren Zhu & Wilfred Siu Hung NG & Dik Lun Lee, 2024. "From GARCH to Neural Network for Volatility Forecast," Papers 2402.06642, arXiv.org.
• ZHANG Meilian & YIN Ting & USUI Emiko & OSHIO Takashi & ZHANG Yi, 2024. "Unraveling the Determinants of Overemployment and Underemployment among Older Workers in Japan: A machine learning approach," Discussion papers 24034, Research Institute of Economy, Trade and Industry (RIETI).
• Wentao Zhang & Lingxuan Zhao & Haochong Xia & Shuo Sun & Jiaze Sun & Molei Qin & Xinyi Li & Yuqing Zhao & Yilei Zhao & Xinyu Cai & Longtao Zheng & Xinrun Wang & Bo An, 2024. "A Multimodal Foundation Agent for Financial Trading: Tool-Augmented, Diversified, and Generalist," Papers 2402.18485, arXiv.org, revised Jun 2024.
• Ruoyu Sun & Angelos Stefanidis & Zhengyong Jiang & Jionglong Su, 2024. "Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization," Papers 2402.16609, arXiv.org.
• Antonis Papapantoleon & Jasper Rou, 2024. "A time-stepping deep gradient flow method for option pricing in (rough) diffusion models," Papers 2403.00746, arXiv.org.
• Adele Ravagnani & Fabrizio Lillo & Paola Deriu & Piero Mazzarisi & Francesca Medda & Antonio Russo, 2024. "Dimensionality reduction techniques to support insider trading detection," Papers 2403.00707, arXiv.org, revised May 2024.
• Yilun Wang & Shengjie Guo, 2024. "RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction," Papers 2403.02500, arXiv.org.
• Yiyan Huang & Cheuk Hang Leung & Siyi Wang & Yijun Li & Qi Wu, 2024. "Unveiling the Potential of Robustness in Selecting Conditional Average Treatment Effect Estimators," Papers 2402.18392, arXiv.org, revised Oct 2024.
• Jiajian Zheng & Duan Xin & Qishuo Cheng & Miao Tian & Le Yang, 2024. "The Random Forest Model for Analyzing and Forecasting the US Stock Market in the Context of Smart Finance," Papers 2402.17194, arXiv.org.
• Sylvain Barthélémy & Virginie Gautier & Fabien Rondeau, 2024. "Early warning system for currency crises using long short‐term memory and gated recurrent unit neural networks," Post-Print hal-04470367, HAL.
• Vikranth Lokeshwar Dhandapani & Shashi Jain, 2024. "Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk," Papers 2402.15936, arXiv.org.
• Chu Myaet Thwal & Ye Lin Tun & Kitae Kim & Seong-Bae Park & Choong Seon Hong, 2024. "Transformers with Attentive Federated Aggregation for Time Series Stock Forecasting," Papers 2402.06638, arXiv.org.
• Mi Zhou & Vibhanshu Abhishek & Timothy Derdenger & Jaymo Kim & Kannan Srinivasan, 2024. "Bias in Generative AI," Papers 2403.02726, arXiv.org.
• Yuhao Fu & Nobuyuki Hanaki, 2024. "Do people rely on ChatGPT more than their peers to detect fake news?," ISER Discussion Paper 1233, Institute of Social and Economic Research, Osaka University.
• Martin Berka, & Yiran Mao, 2023. "Social media sentiment and house prices: Evidence from 35 Chinese cities," Discussion Papers 2301, School of Economics and Finance, Massey University, New Zealand.
• Vasilii Chsherbakov & Ilia Karpov, 2024. "Regional inflation analysis using social network data," Papers 2403.00774, arXiv.org, revised Mar 2024.
• Wessel Vermeulen & Fernanda Gutierrez Amaros, 2024. "How well do online job postings match national sources in European countries?: Benchmarking Lightcast data against statistical and labour agency sources across regions, sectors and occupation," OECD Local Economic and Employment Development (LEED) Papers 2024/02, OECD Publishing.
• García-Suaza, Andres & Varela, Daniela, 2024. "Nightlight, landcover and buildings: understanding intracity socioeconomic differences," Documentos de Trabajo 21025, Universidad del Rosario.