Printed from https://ideas.repec.org/n/nep-for/2025-09-22.html
Report NEP-FOR-2025-09-22
This is the archive for NEP-FOR, a report on new working papers in the area of Forecasting. Rob J Hyndman issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, arXiv.org, number 2509.04452, Aug.
- Arif Pathan, 2025, "Transformers Beyond Order: A Chaos-Markov-Gaussian Framework for Short-Term Sentiment Forecasting of Any Financial OHLC timeseries Data," Papers, arXiv.org, number 2506.17244, Jun.
- 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, arXiv.org, number 2507.01979, Jun.
- 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, arXiv.org, number 2509.06697, Sep.
- Kasymkhan Khubiev & Mikhail Semenov & Irina Podlipnova & Dinara Khubieva, 2025, "Finance-Grounded Optimization For Algorithmic Trading," Papers, arXiv.org, number 2509.04541, Sep, revised Jan 2026.
- Jayanth Athipatla, 2025, "Volatility Modeling via EWMA-Driven Time-Dependent Hurst Parameters," Papers, arXiv.org, number 2509.05820, Sep.
- Fabio Milani, 2025, "Expectations, Learning Gains, and Forecast Errors: Assessing Nonlinearities with a Functional Coefficient Approach," CESifo Working Paper Series, CESifo, number 12124.
- Tony Chernis & Niko Hauzenberger & Haroon Mumtaz & Michael Pfarrhofer, 2025, "A Bayesian Gaussian Process Dynamic Factor Model," Papers, arXiv.org, number 2509.04928, Sep.
- Patrick J. Laub & Tu Pho & Bernard Wong, 2025, "An Interpretable Deep Learning Model for General Insurance Pricing," Papers, arXiv.org, number 2509.08467, Sep.
- Irfan Qureshi & Arief Ramayandi & Ghufran Ahmad, 2025, "An Economic Framework to Nowcast Low-Frequency Data," ADB Economics Working Paper Series, Asian Development Bank, number 800, Sep.
- Guillaume Coqueret & Martial Laguerre, 2025, "Overparametrized models with posterior drift," Papers, arXiv.org, number 2506.23619, Jun.
- Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025, "Learning Volatility:A Bayesian Neural Stochastic Framework," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number 47944, Sep.
- Ayaan Qayyum, 2025, "News Sentiment Embeddings for Stock Price Forecasting," Papers, arXiv.org, number 2507.01970, Jun.
- Silvia Goncalves & Michael W. McCracken & Yongxu Yao, 2025, "Out-of-Sample Inference with Annual Benchmark Revisions," Working Papers, Federal Reserve Bank of St. Louis, number 2025-020, Sep, DOI: 10.20955/wp.2025.020.
- Ruofan Xu & Qingliang Fan, 2025, "Single-Index Quantile Factor Model with Observed Characteristics," Papers, arXiv.org, number 2506.19586, Jun.
- Lijie Ding & Egang Lu & Kin Cheung, 2025, "Deep Learning Option Pricing with Market Implied Volatility Surfaces," Papers, arXiv.org, number 2509.05911, Sep.
- Adrian Iulian Cristescu & Matteo Giordano, 2025, "A comparative analysis of machine learning algorithms for predicting probabilities of default," Papers, arXiv.org, number 2506.19789, Jun.
- 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, DIW Berlin, The German Socio-Economic Panel (SOEP), number 1230.
- Junjie Guo, 2025, "Integration of Wavelet Transform Convolution and Channel Attention with LSTM for Stock Price Prediction based Portfolio Allocation," Papers, arXiv.org, number 2507.01973, Jun, revised Jul 2025.
- Sebastian Fossati & Xiao Li, 2025, "Exchange Rate Predictability and Financial Conditions," Working Papers, University of Alberta, Department of Economics, number 2025-06, Sep.
- Heikkinen, Joni & Heimonen, Kari, 2025, "Online search behavior and consumer intent: Implications for nowcasting," Bank of Finland Research Discussion Papers, Bank of Finland, number 10/2025.
- 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, arXiv.org, number 2509.05107, Sep.
- Anthoulla Phella & Vasco J. Gabriel & Luis F. Martins, 2025, "Taking the Highway or the Green Road? Conditional Temperature Forecasts Under Alternative SSP Scenarios," Papers, arXiv.org, number 2509.09384, Sep.
- 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, The World Bank, number 11213, Sep.
- Ross Koval & Nicholas Andrews & Xifeng Yan, 2025, "Context-Aware Language Models for Forecasting Market Impact from Sequences of Financial News," Papers, arXiv.org, number 2509.12519, Sep.