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arXiv · 2203.07071

Neural Forecasting of the Italian Sovereign Bond Market with Economic News

Sergio Consoli·Luca Tiozzo Pezzoli·Elisa Tosetti
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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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Sergio Consoli, Luca Tiozzo Pezzoli, Elisa Tosetti. 2022-03-11. Neural Forecasting of the Italian Sovereign Bond Market with Economic News. https://doi.org/10.1111/rssa.12813

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