It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...

This paper presents different deep neural network architectures designed to forecast the distribution of returns on a portfolio of U.S. Treasury securities. A long short-term memory model and a convolutional neural network are tested as the main building blocks of each architecture. The models...

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...

This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.

After 2010, the consumer price index fell to a low level in the EU. In the euro area, it remained low between 2010 and 2020. The European Central Bank has even had to take action against the emergence of deflation. The situation changed significantly in 2021. Inflation jumped to levels not seen...