Report NEP-BIG-2025-01-13

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:

• Adamantios Ntakaris & Gbenga Ibikunle, 2024. "Minimal Batch Adaptive Learning Policy Engine for Real-Time Mid-Price Forecasting in High-Frequency Trading," Papers 2412.19372, arXiv.org, revised Dec 2024.
• Kamil {L}. Szyd{l}owski & Jaros{l}aw A. Chudziak, 2024. "Hidformer: Transformer-Style Neural Network in Stock Price Forecasting," Papers 2412.19932, arXiv.org.
• Sermet Pekin & Aykut Sengul, 2024. "The Good, the Better and the Challenging:Insights into Predicting High-Growth Firms using Machine Learning," Working Papers 2413, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Jule Schuettler & Francesco Audrino & Fabio Sigrist, 2024. "Does sentiment help in asset pricing? A novel approach using large language models and market-based labels," Swiss Finance Institute Research Paper Series 24-69, Swiss Finance Institute.
• Francesco Audrino & Jonathan Chassot, 2024. "Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning," Swiss Finance Institute Research Paper Series 24-70, Swiss Finance Institute.
• Masahiro Kato, 2024. "Debiased Nonparametric Regression for Statistical Inference and Distributionally Robustness," Papers 2412.20173, arXiv.org, revised Dec 2024.
• Kemal Kirtac & Guido Germano, 2024. "Sentiment trading with large language models," Papers 2412.19245, arXiv.org.
• Denisa Millo & Blerina Vika & Nevila Baci, 2024. "Integrating Natural Language Processing Techniques of Text Mining Into Financial System: Applications and Limitations," Papers 2412.20438, arXiv.org.
• Vanessa Heinemann-Heile, 2024. "Using Machine Learning to Predict Firms’ Tax Perception," Working Papers Dissertations 128, Paderborn University, Faculty of Business Administration and Economics.
• Abdollah Rida, 2024. "Machine and Deep Learning for Credit Scoring: A compliant approach," Papers 2412.20225, arXiv.org.
• Nico Herrig, 2025. "Risk forecasting using Long Short-Term Memory Mixture Density Networks," Papers 2501.01278, arXiv.org.
• Trent Lockyer, 2024. "Getting sentimental: Using news sentiment to measure financial stress in New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2024/07, Reserve Bank of New Zealand.
• Cormun, Vito & Ristolainen, Kim, 2024. "Exchange rate narratives," Bank of Finland Research Discussion Papers 11/2024, Bank of Finland.
• Francesco Audrino & Jessica Gentner & Simon Stalder, 2024. "Quantifying Uncertainty: A New Era of Measurement through Large Language Models," Swiss Finance Institute Research Paper Series 24-68, Swiss Finance Institute.
• Yichen Luo & Yebo Feng & Jiahua Xu & Paolo Tasca & Yang Liu, 2025. "LLM-Powered Multi-Agent System for Automated Crypto Portfolio Management," Papers 2501.00826, arXiv.org, revised Jan 2025.
• Sarr, Ibrahima & Dang, Hai-Anh H. & Guzman Gutierrez, Carlos Santiago & Beltramo, Theresa & Verme, Paolo, 2024. "Using Cross-Survey Imputation to Estimate Poverty for Venezuelan Refugees in Colombia," GLO Discussion Paper Series 1534, Global Labor Organization (GLO).
• Wladislaw Mill & Tobias Ebert & Jana B. Berkessel & Thorsteinn Jonsson & Sune Lehmann & Jochen E. Gebauer, 2024. "War Causes Religiosity: Gravestone Evidence From the Vietnam Draft Lottery," CRC TR 224 Discussion Paper Series crctr224_2024_614, University of Bonn and University of Mannheim, Germany.
• Thomas Gaertner & Christoph Lippert & Stefan Konigorski, 2024. "Automated Demand Forecasting in small to medium-sized enterprises," Papers 2412.20420, arXiv.org.
• Philipp Bach & Victor Chernozhukov & Sven Klaassen & Martin Spindler & Jan Teichert-Kluge & Suhas Vijaykumar, 2024. "Adventures in Demand Analysis Using AI," Papers 2501.00382, arXiv.org.
• Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon K. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," CAEPR Working Papers 2024-008 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Filip Stefaniuk & Robert Ślepaczuk, 2024. "Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data," Working Papers 2024-27, Faculty of Economic Sciences, University of Warsaw.
• Hannes Mueller & Christopher Rauh & Benjamin R Seimon & Mr. Raphael A Espinoza, 2024. "The Urgency of Conflict Prevention – A Macroeconomic Perspective," IMF Working Papers 2024/256, International Monetary Fund.
• ITO Arata & SATO Masahiro & OTA Rui, 2024. "Content-based Metric on Monetary Policy Uncertainty by Using Large Language Models," Discussion papers 24080, Research Institute of Economy, Trade and Industry (RIETI).
• Fadavi, Sara & Hillert, Alexander, 2024. "Decoding sentiment: Methodology behind SAFE's Manager Sentiment Index," SAFE White Paper Series 109, Leibniz Institute for Financial Research SAFE.
• Yijia Xiao & Edward Sun & Di Luo & Wei Wang, 2024. "TradingAgents: Multi-Agents LLM Financial Trading Framework," Papers 2412.20138, arXiv.org, revised Jan 2025.
• Fiorella De Fiore & Alexis Maurin & Andrej Mijakovic & Damiano Sandri, "undated". "Monetary policy in the news: communication pass-through and inflation expectations," BIS Working Papers 1231, Bank for International Settlements.