Nowcasting with signatures

Overview

In this repository, we include the code to generate and reproduce the results in our paper Nowcasting with signature methods.

We have also generalise the code used here and created a Python package SigNow which facilitates the implementation of the signature method for other economic nowcasting applications of your choice.

Set-up the environment

Install the requirements through (or using your preferred package management/virtualenv set-up)

pip install -r requirements.txt

To run the experiments for the paper, activate the python virtual environment with the appropriate pre-requisites installed and see the subsections below.

The data is stored in data and the results will be saved to results.

Simulation experiments

To run the experiments with the default configs, simply use

python src/simulation_main.py

If you are using the default config file, then add this as an argument

python src/simulation_main.py <your_config_file>.yaml

For the appendix in our paper we discussed comparison of the coefficients against the theoretical ones. This can be seen in the notebook sig_coefficients.ipynb in the folder notebooks.

US GDP Growth

The NY Fed staff nowcast is found on their website.

The indicator variables are taken from FRED.

To run the experiments with the default configs and hyperparameters to search over

python src/usgdp_main.py

Again, modified configurations/hyperparameters can be used

python src/usgdp_main.py <your_config_file>.yaml

Please note this can take about 1 day to run.

Once this is completed, the plots can be generated with the notebook usgdp_results_final.ipynb in the folder notebooks.

Fuel analysis

The target data available comes from the Weekly road fuel prices series published by the Department for Business, Energy & Industrial Strategy (BEIS).

To nowcast this series, we use the daily close price of WisdomTree Brent Crude Oil (BRNT), an ETC, at the London Stock Exchange. The data (in USD) is publicly available on Yahoo, and we then use a daily USD-GBP exchange rate to convert the price of BRNT to GBP.

To run the experiments with the default configs and hyperparameters to search over

python src/fuel_analysis.py

or with your set of configs

python src/fuel_analysis.py <your_config_file>.yaml

Citation

@article{cohen2023nowcasting,
  title={Nowcasting with signature methods},
  author={Cohen, Samuel N. and Lui, Silvia and Malpass, Will and Mantoan, 
  Giulia and Nesheim, Lars and de Paula, \'{A}ureo and Reeves, Andrew and
  Scott, Craig and Small, Emma and Yang, Lingyi},
  journal={arXiv},
  year={2023}
}