Advanced Hyena Hierarchy Architectures for Predictive Modeling of Interest Rate Dynamics from Central Bank Communications
Effective analysis of central bank communications is critical for anticipating monetary policy changes and guiding market expectations. However, traditional natural language processing models face significant challenges in processing lengthy and nuanced policy documents, which often exceed tens of t...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Applied Sciences |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2076-3417/15/12/6420 |
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| Summary: | Effective analysis of central bank communications is critical for anticipating monetary policy changes and guiding market expectations. However, traditional natural language processing models face significant challenges in processing lengthy and nuanced policy documents, which often exceed tens of thousands of tokens. This study addresses these challenges by proposing a novel integrated deep learning framework based on Hyena Hierarchy architectures, which utilize sub-quadratic convolution mechanisms to efficiently process ultra-long sequences. The framework employs Delta-LoRA (low-rank adaptation) for parameter-efficient fine-tuning, updating less than 1% of the total parameters without additional inference overhead. To ensure robust performance across institutions and policy cycles, domain-adversarial neural networks are incorporated to learn domain-invariant representations, and a multi-task learning approach integrates auxiliary hawkish/dovish sentiment signals. Evaluations conducted on a comprehensive dataset comprising Federal Open Market Committee statements and European Central Bank speeches from 1977 to 2024 demonstrate state-of-the-art performance, achieving over 6% improvement in macro-F1 score compared to baseline models while significantly reducing inference latency by 65%. This work offers a powerful and efficient new paradigm for handling ultra-long financial policy texts and demonstrates the effectiveness of integrating advanced sequence modeling, efficient fine-tuning, and domain adaptation techniques for extracting timely economic signals, with the aim to open new avenues for quantitative policy analysis and financial market forecasting. |
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| ISSN: | 2076-3417 |