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A public firm's bankruptcy prediction is an important financial research problem because of the security price downside risks. Traditional methods rely on accounting metrics that suffer from shortcomings like window dressing and…
This paper aims to analyze the relationship between yield curve -being a line of the interests in various maturities at a given time- and GDP growth in Turkey. The paper focuses on analyzing the yield curve in relation to its predictive…
Note that a newer expanded version of this paper is now available at: arXiv:1802.03888 It is critical in many applications to understand what features are important for a model, and why individual predictions were made. For tree ensemble…
Time-to-event models are a popular tool to analyse data where the outcome variable is the time to the occurrence of a specific event of interest. Here we focus on the analysis of time-to-event outcomes that are either intrisically discrete…
In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention…
Using a comprehensive sample of 2,585 bankruptcies from 1990 to 2019, we benchmark the performance of various machine learning models in predicting financial distress of publicly traded U.S. firms. We find that gradient boosted trees…
This paper aims to reevaluate the Taylor Rule, through a linear and a nonlinear method, such that its estimated federal funds rates match those actually previously implemented by the Federal Reserve Bank. In the linear method, this paper…
Model trees provide an appealing way to perform interpretable machine learning for both classification and regression problems. In contrast to ``classic'' decision trees with constant values in their leaves, model trees can use linear…
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation scales for the resulting statistical measurables used to…
Accurate forecasting of downside risks to economic growth is critically important for policymakers and financial institutions, particularly in the wake of recent economic crises. This paper extends the Growth-at-Risk (GaR) approach by…
This study explores various feature selection techniques applied to macro-economic forecasting, using Iran's World Bank Development Indicators. Employing a comprehensive evaluation framework that includes Root Mean Square Error (RMSE) and…
We study how to utilize (possibly erroneous) predictions in a model for computing under uncertainty in which an algorithm can query unknown data. Our aim is to minimize the number of queries needed to solve the minimum spanning tree…
In model-based solution approaches to the problem of learning in an unknown environment, exploring to learn the model parameters takes a toll on the regret. The optimal performance with respect to regret or PAC bounds is achievable, if the…
Ensembles of classification and regression trees remain popular machine learning methods because they define flexible non-parametric models that predict well and are computationally efficient both during training and testing. During…
This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility and exogenous…
The use of cumulative incidence functions for characterizing the risk of one type of event in the presence of others has become increasingly popular over the past decade. The problems of modeling, estimation and inference have been treated…
In regression analysis under artificial neural networks, the prediction performance depends on determining the appropriate weights between layers. As randomly initialized weights are updated during back-propagation using the gradient…
Although conventional machine learning algorithms have been widely adopted for stock-price predictions in recent years, the massive volume of specific labeled data required are not always available. In contrast, meta-learning technology…
Machine learning plays an essential role in preventing financial losses in the banking industry. Perhaps the most pertinent prediction task that can result in billions of dollars in losses each year is the assessment of credit risk (i.e.,…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…