COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning

This paper investigates the forecasting performance of COMEX copper futures realized volatility across various high-frequency intervals using both econometric volatility models and deep learning recurrent neural network models. The econometric models considered are GARCH and HAR, while the deep learning models include RNN (Recurrent Neural Network), LSTM (Long Short-Term Memory), and GRU (Gated Recurrent Unit). In forecasting daily realized volatility for COMEX copper futures with a rolling window approach, the econometric models, particularly HAR, outperform recurrent neural networks overall, with HAR achieving the lowest QLIKE loss function value. However, when the data is replaced with hourly high-frequency realized volatility, the deep learning models outperform the GARCH model, and HAR attains a comparable QLIKE loss function value. Despite the black-box nature of machine learning models, the deep learning models demonstrate superior forecasting performance, surpassing the fixed QLIKE value of HAR in the experiment. Moreover, as the forecast horizon extends for daily realized volatility, deep learning models gradually close the performance gap with the GARCH model in certain loss function metrics. Nonetheless, HAR remains the most effective model overall for daily realized volatility forecasting in copper futures.

Why Antiwork: A RoBERTa-Based System for Work-Related Stress Identification and Leading Factor Analysis

Harsh working environments and work-related stress have been known to contribute to mental health problems such as anxiety, depression, and suicidal ideation. As such, it is paramount to create solutions that can both detect employee unhappiness and find the root cause of the problem. While prior works have examined causes of mental health using machine learning, they typically focus on general mental health analysis, with few of them focusing on explainable solutions or looking at the workplace-specific setting. r/antiwork is a subreddit for the antiwork movement, which is the desire to stop working altogether. Using this subreddit as a proxy for work environment dissatisfaction, we create a new dataset for antiwork sentiment detection and subsequently train a model that highlights the words with antiwork sentiments. Following this, we performed a qualitative and quantitative analysis to uncover some of the key insights into the mindset of individuals who identify with the antiwork movement and how their working environments influenced them. We find that working environments that do not give employees authority or responsibility, frustrating recruiting experiences, and unfair compensation, are some of the leading causes of the antiwork sentiment, resulting in a lack of self-confidence and motivation among their employees.