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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-06-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2022015?viewType=HTML |
| _version_ | 1818249577596190720 |
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| author | Xiaohang Ren Weixi Xu Kun Duan |
| author_facet | Xiaohang Ren Weixi Xu Kun Duan |
| author_sort | Xiaohang Ren |
| collection | DOAJ |
| description | 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 & P 500 stock index and WTI oil futures contract, our results show that different oil shocks exert varied impacts on the dynamics of stock price volatility by using gradient descent. Having exploited the role of oil shocks, we further find that the Fourier transform-based LSTM technique improves forecasting accuracy of the stock volatility dynamics from both statistical and economic perspectives. Additional analyses reassure the robustness of our findings. Clear comprehension of the future stock market dynamics possesses important implications for sensible financial risk management. |
| first_indexed | 2024-12-12T15:38:42Z |
| format | Article |
| id | doaj.art-3b6cc21d375a4bf6882cf31c14a33c4c |
| institution | Directory Open Access Journal |
| issn | 2573-0134 |
| language | English |
| last_indexed | 2024-12-12T15:38:42Z |
| publishDate | 2022-06-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Quantitative Finance and Economics |
| spelling | doaj.art-3b6cc21d375a4bf6882cf31c14a33c4c2022-12-22T00:19:57ZengAIMS PressQuantitative Finance and Economics2573-01342022-06-016234235810.3934/QFE.2022015Fourier transform based LSTM stock prediction model under oil shocksXiaohang Ren 0Weixi Xu1Kun Duan 21. School of Business, Central South University, Changsha, 410083, China1. School of Business, Central South University, Changsha, 410083, China2. School of Economics, Huazhong University of Science and Technology, Wuhan, 430074, ChinaThis 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 & P 500 stock index and WTI oil futures contract, our results show that different oil shocks exert varied impacts on the dynamics of stock price volatility by using gradient descent. Having exploited the role of oil shocks, we further find that the Fourier transform-based LSTM technique improves forecasting accuracy of the stock volatility dynamics from both statistical and economic perspectives. Additional analyses reassure the robustness of our findings. Clear comprehension of the future stock market dynamics possesses important implications for sensible financial risk management.https://www.aimspress.com/article/doi/10.3934/QFE.2022015?viewType=HTMLfourier transformlstmstock predictionoil shockstock volatility |
| spellingShingle | Xiaohang Ren Weixi Xu Kun Duan Fourier transform based LSTM stock prediction model under oil shocks Quantitative Finance and Economics fourier transform lstm stock prediction oil shock stock volatility |
| title | Fourier transform based LSTM stock prediction model under oil shocks |
| title_full | Fourier transform based LSTM stock prediction model under oil shocks |
| title_fullStr | Fourier transform based LSTM stock prediction model under oil shocks |
| title_full_unstemmed | Fourier transform based LSTM stock prediction model under oil shocks |
| title_short | Fourier transform based LSTM stock prediction model under oil shocks |
| title_sort | fourier transform based lstm stock prediction model under oil shocks |
| topic | fourier transform lstm stock prediction oil shock stock volatility |
| url | https://www.aimspress.com/article/doi/10.3934/QFE.2022015?viewType=HTML |
| work_keys_str_mv | AT xiaohangren fouriertransformbasedlstmstockpredictionmodelunderoilshocks AT weixixu fouriertransformbasedlstmstockpredictionmodelunderoilshocks AT kunduan fouriertransformbasedlstmstockpredictionmodelunderoilshocks |