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 Mar 2025.
• 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. "The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functio," 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.
• Arata ITO & Masahiro SATO & Rui OTA, 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 Mar 2025.
• Fiorella De Fiore & Alexis Maurin & Andrej Mijakovic & Damiano Sandri, 2024. "Monetary policy in the news: communication pass-through and inflation expectations," BIS Working Papers 1231, Bank for International Settlements.