Neural Forecasting of the Italian Sovereign Bond Market with Economic News

• URL: http://arxiv.org/abs/2203.07071v1
• Date: Fri, 11 Mar 2022 12:24:22 GMT
• Title: Neural Forecasting of the Italian Sovereign Bond Market with Economic News
• Authors: Sergio Consoli and Luca Tiozzo Pezzoli and Elisa Tosetti
• Abstract summary: We employ economic news within a neural network framework to forecast the Italian 10-year interest rate spread. We deploy such information within a probabilistic forecasting framework with autoregressive recurrent networks (DeepAR) Our findings suggest that a deep learning network based on Long-Short Term Memory cells outperforms classical machine learning techniques.
• Score: 0.9281671380673304
• License: http://creativecommons.org/licenses/by-sa/4.0/
• Abstract: In this paper we employ economic news within a neural network framework to forecast the Italian 10-year interest rate spread. We use a big, open-source, database known as Global Database of Events, Language and Tone to extract topical and emotional news content linked to bond markets dynamics. We deploy such information within a probabilistic forecasting framework with autoregressive recurrent networks (DeepAR). Our findings suggest that a deep learning network based on Long-Short Term Memory cells outperforms classical machine learning techniques and provides a forecasting performance that is over and above that obtained by using conventional determinants of interest rates alone.

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