Report NEP-FOR-2025-06-23

This is the archive for NEP-FOR, a report on new working papers in the area of Forecasting. Malte Knüppel issued this report. It is usually issued weekly.

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Other reports in NEP-FOR

The following items were announced in this report:

• Gupta, Abhijit, 2025. "Decoding Futures Price Dynamics: A Regularized Sparse Autoencoder for Interpretable Multi-Horizon Forecasting and Factor Discovery," OSF Preprints 4rzky_v1, Center for Open Science.
• Bańbura, Marta & Bobeica, Elena & Giammaria, Alessandro & Porqueddu, Mario & van Spronsen, Josha, 2025. "A new model to forecast energy inflation in the euro area," Working Paper Series 3062, European Central Bank.
• Wishnu Badrawani, 2025. "An Interpretable Machine Learning Approach in Predicting Inflation Using Payments System Data: A Case Study of Indonesia," Papers 2506.10369, arXiv.org.
• Stephane Hess & Sander van Cranenburgh, 2025. "Combine and conquer: model averaging for out-of-distribution forecasting," Papers 2506.03693, arXiv.org.
• Haoyuan Wang & Chen Liu & Minh-Ngoc Tran & Chao Wang, 2025. "Deep Learning Enhanced Multivariate GARCH," Papers 2506.02796, arXiv.org.
• Junzhe Jiang & Chang Yang & Xinrun Wang & Bo Li, 2025. "Why Regression? Binary Encoding Classification Brings Confidence to Stock Market Index Price Prediction," Papers 2506.03153, arXiv.org.
• Feliks Ba'nka & Jaros{l}aw A. Chudziak, 2025. "Applying Informer for Option Pricing: A Transformer-Based Approach," Papers 2506.05565, arXiv.org.
• Frantisek Brazdik & Karel Musil & Tomas Pokorny & Tomas Sestorad & Jaromir Tonner & Jan Zacek, 2025. "Upgrading the Czech National Bank's Core Forecasting Model g3+," Working Papers 2025/7, Czech National Bank, Research and Statistics Department.
• Tom Boot & Bart Keijsers, 2025. "Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections," Papers 2506.09575, arXiv.org.
• Haochuan Wang, 2025. "Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer," Papers 2506.05764, arXiv.org, revised Jun 2025.
• Michal Franta & Jan Vlcek, 2025. "Inflation at Risk: The Czech Case," Working Papers 2025/8, Czech National Bank, Research and Statistics Department.
• Daniil Bargman, 2025. "Latent Variable Autoregression with Exogenous Inputs," Papers 2506.04488, arXiv.org.
• Heather Jane Ruberl & Remzi Baris Tercioglu & Elderfield,Adam, 2025. "Forecast Sensitivity to Global Risks : A BVAR Analysis," Policy Research Working Paper Series 11132, The World Bank.
• Harold D. Chiang & Jack Collison & Lorenzo Magnolfi & Christopher Sullivan, 2025. "Enhancing the Merger Simulation Toolkit with ML/AI," Papers 2506.05225, arXiv.org.
• Imad Talhartit & Sanae Ait Jillali & Mounime El Kabbouri, 2025. "Forecasting the Moroccan Stock Market: A Theoretical Approach Integrating Macroeconomic and Sentiment Data through Deep Learning," Post-Print hal-05094029, HAL.
• Fréchette, Guillaume R & Vespa, Emanuel & Yuksel, Sevgi, 2025. "Extracting Statistical Relationships from Observational Data: Predicting with Full or Partial Information," University of California at San Diego, Economics Working Paper Series qt57x6d5sw, Department of Economics, UC San Diego.
• Konstantin Boss & Luigi Longo & Luca Onorante, 2025. "Nowcasting the euro area with social media data," Papers 2506.10546, arXiv.org.
• Hasan Fallahgoul, 2025. "High-Dimensional Learning in Finance," Papers 2506.03780, arXiv.org, revised Jun 2025.
• Issa Sugiura & Takashi Ishida & Taro Makino & Chieko Tazuke & Takanori Nakagawa & Kosuke Nakago & David Ha, 2025. "EDINET-Bench: Evaluating LLMs on Complex Financial Tasks using Japanese Financial Statements," Papers 2506.08762, arXiv.org.