Report NEP-FOR-2025-09-22

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:

• Timoth'ee Hornek & Sergio Potenciano Menci & Ivan Pavi'c, 2025. "Directional Price Forecasting in the Continuous Intraday Market under Consideration of Neighboring Products and Limit Order Books," Papers 2509.04452, arXiv.org.
• Arif Pathan, 2025. "Transformers Beyond Order: A Chaos-Markov-Gaussian Framework for Short-Term Sentiment Forecasting of Any Financial OHLC timeseries Data," Papers 2506.17244, arXiv.org.
• Adam Nelson-Archer & Aleia Sen & Meena Al Hasani & Sofia Davila & Jessica Le & Omar Abbouchi, 2025. "Forecasting Labor Markets with LSTNet: A Multi-Scale Deep Learning Approach," Papers 2507.01979, arXiv.org.
• Tanujit Chakraborty & Donia Besher & Madhurima Panja & Shovon Sengupta, 2025. "Neural ARFIMA model for forecasting BRIC exchange rates with long memory under oil shocks and policy uncertainties," Papers 2509.06697, arXiv.org.
• Kasymkhan Khubiev & Mikhail Semenov & Irina Podlipnova, 2025. "Finance-Grounded Optimization For Algorithmic Trading," Papers 2509.04541, arXiv.org.
• Jayanth Athipatla, 2025. "Volatility Modeling via EWMA-Driven Time-Dependent Hurst Parameters," Papers 2509.05820, arXiv.org.
• Fabio Milani, 2025. "Expectations, Learning Gains, and Forecast Errors: Assessing Nonlinearities with a Functional Coefficient Approach," CESifo Working Paper Series 12124, CESifo.
• Tony Chernis & Niko Hauzenberger & Haroon Mumtaz & Michael Pfarrhofer, 2025. "A Bayesian Gaussian Process Dynamic Factor Model," Papers 2509.04928, arXiv.org.
• Patrick J. Laub & Tu Pho & Bernard Wong, 2025. "An Interpretable Deep Learning Model for General Insurance Pricing," Papers 2509.08467, arXiv.org.
• Irfan Qureshi & Arief Ramayandi & Ghufran Ahmad, 2025. "An Economic Framework to Nowcast Low-Frequency Data," ADB Economics Working Paper Series 800, Asian Development Bank.
• Guillaume Coqueret & Martial Laguerre, 2025. "Overparametrized models with posterior drift," Papers 2506.23619, arXiv.org.
• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025. "Beyond GARCH: Bayesian Neural Stochastic Volatility," DES - Working Papers. Statistics and Econometrics. WS 47944, Universidad Carlos III de Madrid. Departamento de Estadística.
• Ayaan Qayyum, 2025. "News Sentiment Embeddings for Stock Price Forecasting," Papers 2507.01970, arXiv.org.
• Silvia Goncalves & Michael W. McCracken & Yongxu Yao, 2025. "Out-of-Sample Inference with Annual Benchmark Revisions," Working Papers 2025-020, Federal Reserve Bank of St. Louis.
• Ruofan Xu & Qingliang Fan, 2025. "Single-Index Quantile Factor Model with Observed Characteristics," Papers 2506.19586, arXiv.org.
• Lijie Ding & Egang Lu & Kin Cheung, 2025. "Deep Learning Option Pricing with Market Implied Volatility Surfaces," Papers 2509.05911, arXiv.org.
• Adrian Iulian Cristescu & Matteo Giordano, 2025. "A comparative analysis of machine learning algorithms for predicting probabilities of default," Papers 2506.19789, arXiv.org.
• Daniel Graeber & Lorenz Meister & Carsten Schröder & Sabine Zinn, 2025. "Random Forests for Labor Market Analysis: Balancing Precision and Interpretability," SOEPpapers on Multidisciplinary Panel Data Research 1230, DIW Berlin, The German Socio-Economic Panel (SOEP).
• Junjie Guo, 2025. "Integration of Wavelet Transform Convolution and Channel Attention with LSTM for Stock Price Prediction based Portfolio Allocation," Papers 2507.01973, arXiv.org, revised Jul 2025.
• Sebastian Fossati & Xiao Li, 2025. "Exchange Rate Predictability and Financial Conditions," Working Papers 2025-06, University of Alberta, Department of Economics.
• Heikkinen, Joni & Heimonen, Kari, 2025. "Online search behavior and consumer intent: Implications for nowcasting," Bank of Finland Research Discussion Papers 10/2025, Bank of Finland.
• Alfred Backhouse & Kang Li & Jakob Foerster & Anisoara Calinescu & Stefan Zohren, 2025. "Painting the market: generative diffusion models for financial limit order book simulation and forecasting," Papers 2509.05107, arXiv.org.
• Anthoulla Phella & Vasco J. Gabriel & Luis F. Martins, 2025. "Taking the Highway or the Green Road? Conditional Temperature Forecasts Under Alternative SSP Scenarios," Papers 2509.09384, arXiv.org.
• Farkas, Hannah & Linsenmeier, Manuel & Talevi, Marta & Avner, Paolo & Jafino, Bramka Arga & Sidibe, Moussa, 2025. "The Economic Value of Weather Forecasts : A Quantitative Systematic Literature Review," Policy Research Working Paper Series 11213, The World Bank.
• Ross Koval & Nicholas Andrews & Xifeng Yan, 2025. "Context-Aware Language Models for Forecasting Market Impact from Sequences of Financial News," Papers 2509.12519, arXiv.org.