We discuss the relevance of the recent Machine Learning (ML) literature for economics and econometrics. First we discuss the differences in goals, methods and settings between the ML literature and the traditional econometrics and statistics literatures. Then we discuss some specific methods from the machine learning l…
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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
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48 results for “Econometric Methods”
A measure of relative importance of variables is often desired by researchers when the explanatory aspects of econometric methods are of interest. To this end, the author briefly reviews the limitations of conventional econometrics in constructing a reliable measure of variable importance. The author highlights the rel…
FX Market Volatilityq-fin.MF
Paper examines two methods for FX market volatility modeling.
problem FX market volatility modeling problem.
method Classical econometric GCH and mathematical approaches (SSA, dynamical systems stability analysis).
result Both mathematical tools show promising results in FX market volatility modeling.
Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Marketsecon.EM
Bayesian model predicts mid-price dynamics in financial markets.
problem Challenges in predicting financial markets using traditional methods.
method Bayesian bilinear neural network with temporal attention.
result Feasibility and advantages of Bayesian deep-learning approach.
Bayesian econometrics improves nowcasting during pandemics.
problem Improving nowcasting during extreme economic events like pandemics.
method Bayesian econometric methods using non-parametric mixed frequency VARs with additive regression trees.
result Significant improvements in nowcasting performance compared to linear models.
A scalable method for econometric inference using machine learning for big data.
problem Interpreting large, often black-box, economic data.
method Variational Bayesian Inference for time-varying parameter auto-regressive models.
result The model can handle large datasets and is scalable for big data.
LSTM models struggle with volatility prediction due to financial complexities.
problem Volatility prediction in financial markets is challenging due to various factors.
method Comparison of LSTM models with econometric models for volatility prediction.
result LSTM models do not outperform strong econometric models in volatility prediction.
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and st…
Paper develops robust econometric methods for staggered adoption studies.
problem Estimation challenges in event studies with staggered adoption.
method Design-first framework with exact probability limits, diagnostics, and orthogonal score constructions.
result Uniformly valid inference under restricted violations of parallel trends.
The study compares econometric and deep learning models for forecasting COMEX copper futures volatility.
problem Forecasting volatility of COMEX copper futures across different time intervals.
method Econometric models (GARCH, HAR) and deep learning models (RNN, LSTM, GRU) applied to daily and hourly data.
result Deep learning models outperform econometric models in hourly data, but HAR remains the best overall for daily data.
Survey on factor models and their applications in econometrics.
problem Estimating low-rank structures in high-dimensional models.
method Low-rank recovery techniques for factor model estimation.
result New insights into factor model applications in econometrics.
Research combines econometric, machine learning, and deep learning models for financial forecasting.
problem Improving financial time series forecasting accuracy.
method Hybrid models combining ARIMA, SVM, XGBoost, and LSTM.
result Effective hybrid models outperform individual components and the Buy&Hold strategy.
An econometric analysis of CRIX family indices.
problem Understanding the dynamics of CRIX family indices for pricing.
method Time-series econometric analysis using ARIMA and GARCH models.
result ARIMA(2,0,2)-t-GARCH(1,1) model captures volatility clustering and fat-tails.
Foundation models improve on econometric benchmarks for forecasting volatility, but vary widely across models.
problem Comparing pretrained time series foundation models to econometric benchmarks for volatility forecasting.
method Systematic comparison of nine zero-shot TSFMs against eight econometric specifications on 50 assets across 3 markets and 3 horizons.
result Tiny Time Mixers (TTM) is the only model that consistently beats the Log-HAR benchmark, but performance varies widely across models.
ddml aids causal inference in econometrics with machine learning.
problem Estimation of causal effects with endogenous variables and unknown functional forms.
method Double/Debiased Machine Learning (DDML) in Stata.
result Monte Carlo evidence supports using DDML with stacking for causal inference.
NoLBERT avoids lookback and lookahead biases for better econometric inference.
problem Information leakage in language models affects econometric inference.
method Pretrained on text from 1976-1995, avoiding lookback and lookahead biases.
result NoLBERT outperforms domain-specific baselines and predicts higher profit growth.
New method solves quantile crossing problem in econometrics.
problem Quantile crossing problem in quantile regression.
method Flexible check function approach.
result Eliminates or greatly reduces quantile crossing problem.
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be applied to an economic problem. In so doing, we demonstrate how information in the form of observable data and moment constra…
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several widely used continuous-time and discrete-time models, we study in detail dependence structures of discrete samples, includi…
Predictive Accuracy versus Interpretability in Energy Markets: A Copula-Enhanced TVP-SVAR Analysisq-fin.CP
Paper compares econometric models with machine learning for energy forecasting.
problem Tackles the trade-off between predictive accuracy and interpretability in energy markets.
method Integrates TVP-SVAR with copulas for forecasting energy--macro dynamics.
result Copula-enhanced econometric models provide interpretable insights while matching machine learning accuracy.
Sophisticated volatility models outperform naive portfolio strategies.
problem Improving mean-variance portfolio performance over the naive 1/N strategy.
method Investigated various econometric and portfolio models across multiple datasets.
result Most models achieve higher Sharpe ratios and lower portfolio volatility than the naive rule.
Study improves prediction of UK road accidents' severity using AI.
problem Improving prediction of UK road traffic accident severity.
method Combination of machine learning, econometric, and statistical methods on historical data.
result XGBoost model with RMSE of 0.176 and MAE of 0.087 outperforms naive forecasting.
New method for adaptive estimation and inference in econometric models without knowing smoothness.
problem Adaptive estimation and inference in ill-posed linear inverse problems with unknown smoothness.
method Discrepancy principle-based framework for adaptive hyperparameter selection.
result Achieves optimal rates in weak and strong metrics for linear functionals.
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricingq-fin.MF
Econometric framework integrates heavy-tailed distributions with behavioral probability weighting for better asset pricing.
problem Underestimation of Value-at-Risk by traditional models in asset pricing.
method Developed an econometric framework combining heavy-tailed Student's distributions with behavioral probability weighting.
result Student's specifications outperform Gaussian models in 88.4% of cases, reducing underestimation of Value-at-Risk by 16.5 percentage points.
This paper examines the time series properties of cryptocurrency assets, such as Bitcoin, using established econometric inference techniques, namely models of the GARCH family. The contribution of this study is twofold. I explore the time series properties of cryptocurrencies, a new type of financial asset on which the…
Forecasting Short-term load using Econometrics time series model with T-student Distributionq-fin.ST
Paper uses econometrics time series model with T-student Distribution for short-term load forecasting.
problem Accurate short-term load forecasting for optimizing electrical sources and protecting energy.
method Uses SARIMA-GARCH model with T-student Distribution to forecast electric load.
result The proposed model outperforms the ARIMA model with Normal Distribution.
A new estimator improves financial econometrics by providing reliable inference.
problem Poor performance of standard regression methods in financial economics with thick-tailed predictors.
method Developed an unbiased, consistent, and asymptotically normal estimator for linear regression.
result The new method delivers reliable inference under heteroskedasticity and quantile regression.
Surveying machine learning methods for economic forecasting.
problem Improving accuracy of economic forecasts using machine learning.
method Nowcasting, textual data, panel and tensor data, high-dimensional Granger causality tests, time series cross-validation, classification with economic losses.
result Recent advances in machine learning methods enhance economic forecasting accuracy.
Unified treatment of CLTs for Lévy models across physics, finance, and econometrics.
problem Understanding convergence of stochastic integrals in Lévy models.
method Unified weak convergence results for Skorokhod spaces J1 and M1.
result General principles apply to specific settings, yielding new insights.
Paper presents a dynamic tail risk protection strategy using ML and econometrics.
problem Tail risk protection in finance with solid mathematical and statistical tools.
method Dynamic tail risk protection strategy using weak classifiers (parametric and non-parametric) to estimate exceedance probability and derive trading signals.
result Ensemble classifier improves generalization and trading performance.
In the following paper, we analyse the ID-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We estimate the model using lasso and elastic net techniques and perform an out-of-samp…
tempdisagg transforms low-frequency data into high-frequency estimates.
problem Transforming low-frequency data into high-frequency estimates.
method Uses econometric techniques including Chow-Lin, Denton, Litterman, Fernandez, and uniform interpolation.
result Transforms low-frequency aggregates into consistent, high-frequency estimates.
The paper addresses fairness in machine learning models through structural econometrics, projecting indexes into null spaces to find fair solutions.
problem Fairness concerns in machine learning, especially regarding disadvantaged groups.
method Model fairness as a linear operator, projecting indexes into null spaces to find fair solutions, balancing status quo and full fairness.
result Achieving approximate fairness by introducing a fairness penalty and balancing influences.
This paper models cryptocurrencies using -stable distributions, outperforming other models.
problem Modeling the highly speculative and leptokurtic nature of cryptocurrencies.
method Used -stable distribution and compared it with other heavy tailed distributions. Employed maximum likelihood method for estimation.
result The -stable distribution fits cryptocurrency return data better than other models.
New econometric results for financial duration models under varying tail behaviors.
problem Estimation and inference challenges in financial durations models with random event counts.
method Analysis of likelihood estimators for ACD models, focusing on tail behavior and stationarity.
result Asymptotic normality breaks down for tail indices smaller than one, leading to mixed Gaussian estimators with non-standard rates of convergence.
Forecasting Company Fundamentalsq-fin.ST
Deep learning models outperform classical methods in forecasting company fundamentals.
problem Forecasting company fundamentals for investment and econometrics.
method Compared 24 deterministic and probabilistic models on real company data.
result Deep learning models provide superior forecasting performance, especially in uncertainty estimation.
Deep learning improves macroeconomic forecasting and risk assessment.
problem Improving accuracy in macroeconomic forecasting and sovereign risk assessment.
method Nowcasting and forecasting using deep learning techniques.
result Deep learning methods outperform traditional econometric techniques in out-of-sample performance.
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric evidence. In contrast, machine learning algorithms implemented to predict stock price h…
Detecting long and short memory via spectral methodscond-mat.stat-mech
We study the properties of memory of a financial time series adopting two different methods of analysis, the detrended fluctuation analysis (DFA) and the analysis of the power spectrum (PSA). The methods are applied on three time series: one of high-frequency returns, one of shuffled returns and one of absolute values …
The paper studies how to use AI-generated labels in econometrics to avoid bias.
problem Small misclassification errors in AI-generated labels can lead to large biases in econometric estimators.
method The paper proposes a coupled-label bootstrap method to correct bias and deliver valid inference.
result The coupled-label bootstrap method is valid without the strong independence condition between true and imputed labels.
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this work we consider HMMs in continuous time with both constant and switching volati…
New methods for estimating complex causal effects in econometrics.
problem Estimating causal parameters in short panel data models using nested nonparametric instrumental variable regression.
method Introducing techniques to limit ill-posedness in nested NPIV, providing explicit mean square rates and efficient inference.
result Explicit mean square rates for nested NPIV and efficient inference for causal parameters.
PAC-Bayesian-Like Error Bound for a Class of Linear Time-Invariant Stochastic State-Space Modelsstat.ML
Paper derives an error bound for stochastic LTI systems.
problem Stochastic LTI systems with inputs in control engineering and econometrics.
method PAC-Bayesian-Like error bound derivation.
result Derived an error bound for stochastic LTI systems.
Stock Price Prediction Using Time Series, Econometric, Machine Learning, and Deep Learning Modelsq-fin.ST
MARS model outperforms others in stock price prediction across sectors.
problem Developing accurate models for stock price prediction.
method Used time series, econometric, machine learning, and deep learning models on stock data.
result MARS model is the best performing model across IT, Banking, and Health sectors.
Many economic applications including optimal pricing and inventory management requires prediction of demand based on sales data and estimation of sales reaction to a price change. There is a wide range of econometric approaches which are used to correct a bias in estimates of demand parameters on censored sales data. T…
The Relation Between Global Migration and Trade Networksphysics.soc-ph
In this paper we develop a methodology to analyze and compare multiple global networks. We focus our analysis on the relation between human migration and trade. First, we identify the subset of products for which the presence of a community of migrants significantly increases trade intensity. To assure comparability ac…
Adversarial Estimatorsecon.EM
Develops asymptotic theory for adversarial estimators.
problem Estimating unknown functions in machine learning and econometrics.
method Derives convergence rates and normality of A-estimators under various conditions.
result Normality of neural-net M-estimators, overcoming previous technical issues.
The paper introduces a new financial market for environmental indices to attract investors.
problem Inherent risks and sustainability concerns in environmental investments.
method Quantitative measures, econometric analysis, dynamic asset pricing tools, and financial options.
result Monetization and construction of country-specific environmental indices as dollar-denominated assets.