石油冲击下基于傅里叶变换的LSTM库存预测模型

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2022-01-01 DOI:10.3934/qfe.2022015
Xiaohang Ren, Weixin Xu, Kun Duan
{"title":"石油冲击下基于傅里叶变换的LSTM库存预测模型","authors":"Xiaohang Ren, Weixin Xu, Kun Duan","doi":"10.3934/qfe.2022015","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":"111 1","pages":""},"PeriodicalIF":3.2000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Fourier transform based LSTM stock prediction model under oil shocks\",\"authors\":\"Xiaohang Ren, Weixin Xu, Kun Duan\",\"doi\":\"10.3934/qfe.2022015\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":45226,\"journal\":{\"name\":\"Quantitative Finance and Economics\",\"volume\":\"111 1\",\"pages\":\"\"},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance and Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3934/qfe.2022015\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/qfe.2022015","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 5

摘要

本文利用基于傅立叶变换的长短期记忆(LSTM)模型分析了各种石油冲击对股票波动率预测的影响。石油冲击根据个别石油价格变化指标分解为五个部分。通过采用标准普尔500指数和WTI原油期货合约的日常数据,我们的研究结果表明,不同的石油冲击对股票价格波动动态的影响是不同的。利用石油冲击的作用,我们进一步发现基于傅立叶变换的LSTM技术从统计和经济角度提高了股票波动动态的预测精度。进一步的分析证实了我们发现的稳健性。对未来股票市场动态的清晰理解对明智的金融风险管理具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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 & 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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
期刊最新文献
The effects of different modes of foreign bank entry in the Turkish banking sector during the 2007–2009 Global financial crisis Cost and performance of carbon risk in socially responsible mutual funds Investing in virtue and frowning at vice? Lessons from the global economic and financial crisis Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case Autoregressive distributed lag estimation of bank financing and Nigerian manufacturing sector capacity utilization
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1