Related papers: Quantifying macroeconomic expectations in stock ma…
Researchers have used social media data to estimate various macroeconomic indicators about public behaviors, mostly as a way to reduce surveying costs. One of the most widely cited economic indicator is consumer confidence index (CCI).…
Accurately forecasting Climate Policy Uncertainty (CPU) is essential for designing climate strategies that balance economic growth with environmental objectives. Elevated CPU levels can delay regulatory implementation, hinder investment in…
Stock market movements are influenced by public and private information shared through news articles, company reports, and social media discussions. Analyzing these vast sources of data can give market participants an edge to make profit.…
Stock trend forecasting, which forecasts stock prices' future trends, plays an essential role in investment. The stocks in a market can share information so that their stock prices are highly correlated. Several methods were recently…
Study of the forecasting models using large scale microblog discussions and the search behavior data can provide a good insight for better understanding the market movements. In this work we collected a dataset of 2 million tweets and…
I introduce a survey of economic expectations formed by querying a large language model (LLM)'s expectations of various financial and macroeconomic variables based on a sample of news articles from the Wall Street Journal between 1984 and…
Although employment web sites have recently become the main source for re- cruitment and selection process, the relation between those sites and unemploy- ment rates is seldom addressed. Deriving data from 32 countries and 427 web sites,…
The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently…
In this paper we apply a time series based Vector Auto Regressive (VAR) approach to the problem of predicting unemployment insurance claims in different census regions of the United States. Unemployment insurance claims data, reported…
We describe an exercise of using Big Data to predict the Michigan Consumer Sentiment Index, a widely used indicator of the state of confidence in the US economy. We carry out the exercise from a pure ex ante perspective. We use the…
Recent works have shown that social media platforms are able to influence the trends of stock price movements. However, existing works have majorly focused on the U.S. stock market and lacked attention to certain emerging countries such as…
In this study, we seek to understand how macroeconomic factors such as GDP, inflation, Unemployment Insurance, and S&P 500 index; as well as microeconomic factors such as health, race, and educational attainment impacted the unemployment…
Employment on a societal scale contributes heavily to national and global affairs; consequently, job openings and unemployment estimates provide important information to financial markets and governments alike. However, such reports often…
This paper tries to address the problem of stock market prediction leveraging artificial intelligence (AI) strategies. The stock market prediction can be modeled based on two principal analyses called technical and fundamental. In the…
We quantify the propagation and absorption of large-scale publicly available news articles from the World Wide Web to financial markets. To extract publicly available information, we use the news archives from the Common Crawl, a nonprofit…
We develop a resource-efficient methodology for measuring economic outlook in news text that combines document embeddings with synthetic training data generated by large language models. Applied to 27 million news articles, the resulting…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…
In this paper we consider estimation of unobserved components in state space models using a dynamic factor approach to incorporate auxiliary information from high-dimensional data sources. We apply the methodology to unemployment estimation…
Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and…
Stock prices move as piece-wise trending fluctuation rather than a purely random walk. Traditionally, the prediction of future stock movements is based on the historical trading record. Nowadays, with the development of social media, many…