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Central banks increasingly use social media to communicate beyond financial markets, yet evidence on public engagement effectiveness remains limited. Despite 113 central banks joining Twitter between 2008 and 2018, we lack understanding of…
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Federated learning is a framework for distributed optimization that places emphasis on communication efficiency. In particular, it follows a client-server broadcast model and is particularly appealing because of its ability to accommodate…
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of…
The conventional linear Phillips curve model, while widely used in policymaking, often struggles to deliver accurate forecasts in the presence of structural breaks and inherent nonlinearities. This paper addresses these limitations by…
Financial sentiment has become a crucial yet complex concept in finance, increasingly used in market forecasting and investment strategies. Despite its growing importance, there remains a need to define and understand what financial…
The speeches stated by influential politicians can have a decisive impact on the future of a country. In particular, the economic content of such speeches affects the economy of countries and their financial markets. For this reason, we…
An understanding of the economic landscape in a world of ever increasing data necessitates representations of data that can inform policy, deepen understanding and guide future research. Topological Data Analysis offers a set of tools which…
The Efficient Market Hypothesis (EMH) highlights the essence of financial news in stock price movement. Financial news comes in the form of corporate announcements, news titles, and other forms of digital text. The generation of insights…
This study examines the effects of macroeconomic policies on financial markets using a novel approach that combines Machine Learning (ML) techniques and causal inference. It focuses on the effect of interest rate changes made by the US…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Literature highlighted that financial time series data pose significant challenges for accurate stock price prediction, because these data are characterized by noise and susceptibility to news; traditional statistical methodologies made…
Banking call centers receive millions of calls annually, with much of the information in these calls unavailable to analysts interested in tracking new and emerging call center trends. In this study we present an approach to call center…
Factor modeling is a powerful statistical technique that permits to capture the common dynamics in a large panel of data with a few latent variables, or factors, thus alleviating the curse of dimensionality. Despite its popularity and…
Turnpike theorems state that if an investor's utility is asymptotically equivalent to a power utility, then the optimal investment strategy converges to the CRRA strategy as the investment horizon tends to infinity. This paper aims to…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
Large language models (LLMs) promise to democratize financial analysis by reducing information-processing costs. Yet equal access does not ensure equal outcomes, as the locus of friction may shift from processing information to evaluating…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…