arXiv subjects

Felipe Maldonado

Publications and source records attributed to Felipe Maldonado.

8 recordsLinked to original sources

arXiv2025

Can News Predict the Direction of Oil Price Volatility? A Language Model Approach with SHAP Explanations

Financial markets can be highly sensitive to news, investor sentiment, and economic indicators, leading to important asset price fluctuations. In this study we focus on crude oil, due to its crucial role in commodity markets and the global economy. Specifically, we are interested in understanding the directional changes of oil price volatility, and for this purpose we investigate whether news alone -- without incorporating traditional market data -- can effectively predict the direction of oil price movements. Using a decade-long dataset from Eikon (2014-2024), we develop an ensemble learning framework to extract predictive signals from financial news. Our approach leverages diverse sentiment analysis techniques and modern language models, including FastText, FinBERT, Gemini, and LLaMA, to capture market sentiment and textual patterns. We benchmark our model against the Heterogeneous Autoregressive (HAR) model and assess statistical significance using the McNemar test. While most sentiment-based indicators do not consistently outperform HAR, the raw news count emerges as a robust predictor. Among embedding techniques, FastText proves most effective for forecasting directional movements. Furthermore, SHAP-based interpretation at the word level reveals evolving predictive drivers across market regimes: pre-pandemic emphasis on supply-demand and economic terms; early pandemic focus on uncertainty and macroeconomic instability; post-shock attention to long-term recovery indicators; and war-period sensitivity to geopolitical and regional oil market disruptions. These findings highlight the predictive power of news-driven features and the value of explainable NLP in financial forecasting.

cs.CE↗

arXiv2024

Advancing Long-Term Multi-Energy Load Forecasting with Patchformer: A Patch and Transformer-Based Approach

In the context of increasing demands for long-term multi-energy load forecasting in real-world applications, this paper introduces Patchformer, a novel model that integrates patch embedding with encoder-decoder Transformer-based architectures. To address the limitation in existing Transformer-based models, which struggle with intricate temporal patterns in long-term forecasting, Patchformer employs patch embedding, which predicts multivariate time-series data by separating it into multiple univariate data and segmenting each of them into multiple patches. This method effectively enhances the model's ability to capture local and global semantic dependencies. The numerical analysis shows that the Patchformer obtains overall better prediction accuracy in both multivariate and univariate long-term forecasting on the novel Multi-Energy dataset and other benchmark datasets. In addition, the positive effect of the interdependence among energy-related products on the performance of long-term time-series forecasting across Patchformer and other compared models is discovered, and the superiority of the Patchformer against other models is also demonstrated, which presents a significant advancement in handling the interdependence and complexities of long-term multi-energy forecasting. Lastly, Patchformer is illustrated as the only model that follows the positive correlation between model performance and the length of the past sequence, which states its ability to capture long-range past local semantic information.

cs.LG↗

arXiv2023

The Atacama Cosmology Telescope: High-resolution component-separated maps across one-third of the sky

Observations of the millimeter sky contain valuable information on a number of signals, including the blackbody cosmic microwave background (CMB), Galactic emissions, and the Compton-$y$ distortion due to the thermal Sunyaev-Zel'dovich (tSZ) effect. Extracting new insight into cosmological and astrophysical questions often requires combining multi-wavelength observations to spectrally isolate one component. In this work, we present a new arcminute-resolution Compton-$y$ map, which traces out the line-of-sight-integrated electron pressure, as well as maps of the CMB in intensity and E-mode polarization, across a third of the sky (around 13,000 sq.~deg.). We produce these through a joint analysis of data from the Atacama Cosmology Telescope (ACT) Data Release 4 and 6 at frequencies of roughly 93, 148, and 225 GHz, together with data from the \textit{Planck} satellite at frequencies between 30 GHz and 545 GHz. We present detailed verification of an internal linear combination pipeline implemented in a needlet frame that allows us to efficiently suppress Galactic contamination and account for spatial variations in the ACT instrument noise. These maps provide a significant advance, in noise levels and resolution, over the existing \textit{Planck} component-separated maps and will enable a host of science goals including studies of cluster and galaxy astrophysics, inferences of the cosmic velocity field, primordial non-Gaussianity searches, and gravitational lensing reconstruction of the CMB.

astro-ph.CO↗

arXiv2023

The Atacama Cosmology Telescope: A Measurement of the DR6 CMB Lensing Power Spectrum and its Implications for Structure Growth

We present new measurements of cosmic microwave background (CMB) lensing over $9400$ sq. deg. of the sky. These lensing measurements are derived from the Atacama Cosmology Telescope (ACT) Data Release 6 (DR6) CMB dataset, which consists of five seasons of ACT CMB temperature and polarization observations. We determine the amplitude of the CMB lensing power spectrum at $2.3\%$ precision ($43\sigma$ significance) using a novel pipeline that minimizes sensitivity to foregrounds and to noise properties. To ensure our results are robust, we analyze an extensive set of null tests, consistency tests, and systematic error estimates and employ a blinded analysis framework. The baseline spectrum is well fit by a lensing amplitude of $A_{\mathrm{lens}}=1.013\pm0.023$ relative to the Planck 2018 CMB power spectra best-fit $\Lambda$CDM model and $A_{\mathrm{lens}}=1.005\pm0.023$ relative to the $\text{ACT DR4} + \text{WMAP}$ best-fit model. From our lensing power spectrum measurement, we derive constraints on the parameter combination $S^{\mathrm{CMBL}}_8 \equiv \sigma_8 \left({\Omega_m}/{0.3}\right)^{0.25}$ of $S^{\mathrm{CMBL}}_8= 0.818\pm0.022$ from ACT DR6 CMB lensing alone and $S^{\mathrm{CMBL}}_8= 0.813\pm0.018$ when combining ACT DR6 and Planck NPIPE CMB lensing power spectra. These results are in excellent agreement with $\Lambda$CDM model constraints from Planck or $\text{ACT DR4} + \text{WMAP}$ CMB power spectrum measurements. Our lensing measurements from redshifts $z\sim0.5$--$5$ are thus fully consistent with $\Lambda$CDM structure growth predictions based on CMB anisotropies probing primarily $z\sim1100$. We find no evidence for a suppression of the amplitude of cosmic structure at low redshifts

astro-ph.CO↗

arXiv2020

The Atacama Cosmology Telescope: DR4 Maps and Cosmological Parameters

We present new arcminute-resolution maps of the Cosmic Microwave Background temperature and polarization anisotropy from the Atacama Cosmology Telescope, using data taken from 2013-2016 at 98 and 150 GHz. The maps cover more than 17,000 deg$^2$, the deepest 600 deg$^2$ with noise levels below 10 $μ$K-arcmin. We use the power spectrum derived from almost 6,000 deg$^2$ of these maps to constrain cosmology. The ACT data enable a measurement of the angular scale of features in both the divergence-like polarization and the temperature anisotropy, tracing both the velocity and density at last-scattering. From these one can derive the distance to the last-scattering surface and thus infer the local expansion rate, $H_0$. By combining ACT data with large-scale information from WMAP we measure $H_0 = 67.6 \pm 1.1$ km/s/Mpc, at 68% confidence, in excellent agreement with the independently-measured Planck satellite estimate (from ACT alone we find $H_0 = 67.9 \pm 1.5$ km/s/Mpc). The $Λ$CDM model provides a good fit to the ACT data, and we find no evidence for deviations: both the spatial curvature, and the departure from the standard lensing signal in the spectrum, are zero to within 1$σ$; the number of relativistic species, the primordial Helium fraction, and the running of the spectral index are consistent with $Λ$CDM predictions to within $1.5 - 2.2σ$. We compare ACT, WMAP, and Planck at the parameter level and find good consistency; we investigate how the constraints on the correlated spectral index and baryon density parameters readjust when adding CMB large-scale information that ACT does not measure. The DR4 products presented here will be publicly released on the NASA Legacy Archive for Microwave Background Data Analysis.

astro-ph.CO↗

arXiv2020

The Atacama Cosmology Telescope: A Measurement of the Cosmic Microwave Background Power Spectra at 98 and 150 GHz

We present the temperature and polarization angular power spectra of the CMB measured by the Atacama Cosmology Telescope (ACT) from 5400 deg$^2$ of the 2013-2016 survey, which covers $>$15000 deg$^2$ at 98 and 150 GHz. For this analysis we adopt a blinding strategy to help avoid confirmation bias and, related to this, show numerous checks for systematic error done before unblinding. Using the likelihood for the cosmological analysis we constrain secondary sources of anisotropy and foreground emission, and derive a "CMB-only" spectrum that extends to $\ell=4000$. At large angular scales, foreground emission at 150 GHz is $\sim$1% of TT and EE within our selected regions and consistent with that found by Planck. Using the same likelihood, we obtain the cosmological parameters for $Λ$CDM for the ACT data alone with a prior on the optical depth of $τ=0.065\pm0.015$. $Λ$CDM is a good fit. The best-fit model has a reduced $χ^2$ of 1.07 (PTE=0.07) with $H_0=67.9\pm1.5$ km/s/Mpc. We show that the lensing BB signal is consistent with $Λ$CDM and limit the celestial EB polarization angle to $ψ_P =-0.07^{\circ}\pm0.09^{\circ}$. We directly cross correlate ACT with Planck and observe generally good agreement but with some discrepancies in TE. All data on which this analysis is based will be publicly released.

astro-ph.CO↗

arXiv2020

Pricing under a multinomial logit model with non linear network effects

We study the problem of pricing under a Multinomial Logit model where we incorporate network effects over the consumer's decisions. We analyse both cases, when sellers compete or collaborate. In particular, we pay special attention to the overall expected revenue and how the behaviour of the no purchase option is affected under variations of a network effect parameter. Where for example we prove that the market share for the no purchase option, is decreasing in terms of the value of the network effect, meaning that stronger communication among costumers increases the expected amount of sales. We also analyse how the customer's utility is altered when network effects are incorporated into the market, comparing the cases where both competitive and monopolistic prices are displayed. We use tools from stochastic approximation algorithms to prove that the probability of purchasing the available products converges to a unique stationary distribution. We model that the sellers can use this stationary distribution to establish their strategies. Finding that under those settings, a pure Nash Equilibrium represents the pricing strategies in the case of competition, and an optimal (that maximises the total revenue) fixed price characterise the case of collaboration.

cs.GT↗

arXiv2017

Popularity Signals in Trial-Offer Markets with Social Influence and Position Bias

This paper considers trial-offer markets where consumer preferences are modeled by a multinomial logit with social influence and position bias. The social signal for a product is given by its current market share raised to power r (or equivalently the number of purchases raised to the power of r). The paper shows that, when r is strictly between 0 and 1, and a static position assignment (e.g., a quality ranking) is used, the market converges to a unique equilibrium where the market shares depend only on product quality, not their initial appeals or the early dynamics. When r is greater than 1, the market becomes unpredictable. In many cases, the market goes to a monopoly for some product: Which product becomes a monopoly depends on the initial conditions of the market. These theoretical results are complemented by an agent-based simulation which indicates that convergence is fast when r is between 0 and 1, and that the quality ranking dominates the well-known popularity ranking in terms of market efficiency. These results shed a new light on the role of social influence which is often blamed for unpredictability, inequalities, and inefficiencies in markets. In contrast, this paper shows that, with a proper social signal and position assignment for the products, the market becomes predictable, and inequalities and inefficiencies can be controlled appropriately.

cs.SI↗