Econometrics of Machine Learning Methods in Economic Forecasting

This paper surveys the recent advances in machine learning method for economic forecasting. The survey covers the following topics: nowcasting, textual data, panel and tensor data, high-dimensional Granger causality tests, time series cross-validation, classification with economic losses

POP: Mining POtential Performance of new fashion products via webly cross-modal query expansion

We propose a data-centric pipeline able to generate exogenous observation data for the New Fashion Product Performance Forecasting (NFPPF) problem, i.e., predicting the performance of a brand-new clothing probe with no available past observations. Our pipeline manufactures the missing past starting from a single, available image of the clothing probe. It starts by expanding textual tags associated with the image, querying related fashionable or unfashionable images uploaded on the web at a specific time in the past. A binary classifier is robustly trained on these web images by confident learning, to learn what was fashionable in the past and how much the probe image conforms to this notion of fashionability. This compliance produces the POtential Performance (POP) time series, indicating how performing the probe could have been if it were available earlier. POP proves to be highly predictive for the probe's future performance, ameliorating the sales forecasts of all state-of-the-art models on the recent VISUELLE fast-fashion dataset. We also show that POP reflects the ground-truth popularity of new styles (ensembles of clothing items) on the Fashion Forward benchmark, demonstrating that our webly-learned signal is a truthful expression of popularity, accessible by everyone and generalizable to any time of analysis. Forecasting code, data and the POP time series are available at: https://github.com/HumaticsLAB/POP-Mining-POtential-PerformanceComment: ECCV 202

Detecting and Explaining Causes From Text For a Time Series Event

Explaining underlying causes or effects about events is a challenging but valuable task. We define a novel problem of generating explanations of a time series event by (1) searching cause and effect relationships of the time series with textual data and (2) constructing a connecting chain between them to generate an explanation. To detect causal features from text, we propose a novel method based on the Granger causality of time series between features extracted from text such as N-grams, topics, sentiments, and their composition. The generation of the sequence of causal entities requires a commonsense causative knowledge base with efficient reasoning. To ensure good interpretability and appropriate lexical usage we combine symbolic and neural representations, using a neural reasoning algorithm trained on commonsense causal tuples to predict the next cause step. Our quantitative and human analysis show empirical evidence that our method successfully extracts meaningful causality relationships between time series with textual features and generates appropriate explanation between them.Comment: Accepted at EMNLP 201

Econometrics meets sentiment : an overview of methodology and applications

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software

Essays on asynchronous time series and related multidimensional data

This thesis focusses on asynchronous time series and related multidimensional data: timedependent measurements with varying publication delays. This class of data exists in a broad range of fields. In social sciences, most official time series and repeated surveys are indeed asynchronous in nature since statistical offices need time to collect and aggregate raw data. In STEM, statistical offices are generally less relevant and most publication delays are caused by more exotic factors. For instance, with series derived from technological networks, they are usually generated by a direct reference (digital or textual) of the past (e.g., publishing pictures of a trip done a week ago that was also photographed and posted in real time by a friend). As a result, the study of data releases is key for developing accurate real-time models and finds applications in forecasting, policy and risk management