Fourier transform based LSTM stock prediction model under oil shocks

Fourier transform based LSTM stock prediction model under oil shocks

This paper analyses the impact of various oil shocks on the stock volatility prediction by using a Fourier transform-based Long Short-Term Memory (LSTM) model. Oil shocks are decomposed into five components following individual oil price change indicators. By employing a daily dataset involving S &a...

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Bibliographic Details
Main Authors: Xiaohang Ren, Weixi Xu, Kun Duan
Format: Article
Language:English
Published: AIMS Press 2022-06-01
Series:Quantitative Finance and Economics
Subjects:
fourier transform
lstm
stock prediction
oil shock
stock volatility
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2022015?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2022015?viewType=HTML

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