4 papers
From Many Models, One: Macroeconomic Forecasting with Reservoir Ensembles
Giovanni Ballarin, Lyudmila Grigoryeva, Yui Ching Li
Model combination is a powerful approach for achieving superior performance compared to selecting a single model. We study both theoretically and empirically the effectiveness of e…
Memory Capacity of Nonlinear Recurrent Networks: Is it Informative?
Giovanni Ballarin, Lyudmila Grigoryeva, Juan-Pablo Ortega
The total memory capacity (MC) of linear recurrent neural networks (RNNs) has been proven to be equal to the rank of the corresponding Kalman controllability matrix, and it is almo…
Impulse Response Analysis of Structural Nonlinear Time Series Models
Giovanni Ballarin
This paper proposes a semiparametric sieve approach to estimate impulse response functions of nonlinear time series within a general class of structural autoregressive models. We p…
Multi-Horizon Echo State Network Prediction of Intraday Stock Returns
Giovanni Ballarin, Jacopo Capra, Petros Dellaportas
Stock return prediction is a problem that has received much attention in the finance literature. In recent years, sophisticated machine learning methods have been shown to perform…