This paper presents an overview of the procedures that are involved in prediction with machine learning models with special emphasis on deep learning. We study suitable objective functions for prediction in high-dimensional settings and discuss the role of regularization methods in order to...

While exchanges and regulators are able to observe and analyze the individual behavior of financial market participants through access to labeled data, this information is not accessible by other market participants nor by the general public. A key question, then, is whether it is possible to...

In this paper we survey the most recent advances in supervised machine learning and highdimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention to penalized regressions and ensemble of models. The...

Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables...

This paper contributes a multivariate forecasting comparison between structural models and Machine-Learning-based tools. Specifically, a fully connected feed forward nonlinear autoregressive neural network (ANN) is contrasted to a well established dynamic stochastic general equilibrium (DSGE)...

In the euro area, monetary policy is conducted by a single central bank for 19 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...

Most factor-based forecasting models for the term structure of interest rates depend on a fixed number of factor loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve forecasting model that learns new factor decompositions...

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...