# Neural Forecasting of the Italian Sovereign Bond Market with Economic News

arXiv: https://arxiv.org/abs/2203.07071 · HTML: https://mlsanity.com/paper/2203.07071/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 11 of its 102 references that are in the map.
- First posted on arXiv 11 Mar 2022.

## Builds on (most cited first, 11 of 11)

- [A Unified Approach to Interpreting Model Predictions](https://mlsanity.com/paper/1705.07874/) (2017)
- [Sequence to Sequence Learning with Neural Networks](https://mlsanity.com/paper/1409.3215/) (2014)
- [WaveNet: A Generative Model for Raw Audio](https://mlsanity.com/paper/1609.03499/) (2016)
- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [Deep Learning in Neural Networks: An Overview](https://mlsanity.com/paper/1404.7828/) (2014)
- [LSTM: A Search Space Odyssey](https://mlsanity.com/paper/1503.04069/) (2015)
- [Conditional Time Series Forecasting with Convolutional Neural Networks](https://mlsanity.com/paper/1703.04691/) (2017)
- [GluonTS: Probabilistic Time Series Models in Python](https://mlsanity.com/paper/1906.05264/) (2019)
- [Bayesian Optimization for Policy Search via Online-Offline Experimentation](https://mlsanity.com/paper/1904.01049/) (2019)
- [Decision support from financial disclosures with deep neural networks and transfer learning](https://mlsanity.com/paper/1710.03954/) (2017)
- [Macroeconomic forecasting through news, emotions and narrative](https://mlsanity.com/paper/2009.14281/) (2020)

## Abstract (arXiv)

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.