Financial shocks are asymmetric, that is, the impact of a downward financial shock is significantly greater than a positive shock. The asymmetry is not with the size of the shock but the sign of the shock. A negative shock creates a stronger reaction than a positive shock. The size shows a symmetry. See the paper "Machine learning the macroeconomic effects of financial shocks". Using Bayesian Neural networks (BNN) based on excess bond premium for inflation, industrial production, and employment. This is a simple straightforward approach for a machine learning model. Perhaps many think that the result is obvious, but it reinforces protecting the downside and preparing for bad news. You will not get this result from a simple regression model, so it is important to see how non-linear thinking can be incorporated in trading.
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