IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2007.02673.html
   My bibliography  Save this paper

Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Author

Listed:
  • Daniel v{S}tifani'c
  • Jelena Musulin
  • Adrijana Miov{c}evi'c
  • Sandi Baressi v{S}egota
  • Roman v{S}ubi'c
  • Zlatan Car

Abstract

COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on financial movement of Crude Oil price and three U.S. stock indexes: DJI, S&P 500 and NASDAQ Composite. The proposed system for predicting commodity and stock prices integrates the Stationary Wavelet Transform (SWT) and Bidirectional Long Short-Term Memory (BDLSTM) networks. Firstly, SWT is used to decompose the data into approximation and detail coefficients. After decomposition, data of Crude Oil price and stock market indexes along with COVID-19 confirmed cases were used as input variables for future price movement forecasting. As a result, the proposed system BDLSTM+WT-ADA achieved satisfactory results in terms of five-day Crude Oil price forecast.

Suggested Citation

  • Daniel v{S}tifani'c & Jelena Musulin & Adrijana Miov{c}evi'c & Sandi Baressi v{S}egota & Roman v{S}ubi'c & Zlatan Car, 2020. "Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory," Papers 2007.02673, arXiv.org.
    • Handle: RePEc:arx:papers:2007.02673
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2007.02673
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Warwick McKibbin & Roshen Fernando, 2021. "The Global Macroeconomic Impacts of COVID-19: Seven Scenarios," Asian Economic Papers, MIT Press, vol. 20(2), pages 1-30, Summer.
    2. Claudiu Albulescu, 2020. "Coronavirus and oil price crash," Papers 2003.06184, arXiv.org, revised Mar 2020.
    3. Alexis Akira Toda, 2020. "Susceptible-Infected-Recovered (SIR) Dynamics of COVID-19 and Economic Impact," Papers 2003.11221, arXiv.org, revised Mar 2020.
    4. Zhang, Yue-Jun & Zhang, Lu, 2015. "Interpreting the crude oil price movements: Evidence from the Markov regime switching model," Applied Energy, Elsevier, vol. 143(C), pages 96-109.
    5. Bessec, Marie & Fouquau, Julien, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," European Journal of Operational Research, Elsevier, vol. 264(1), pages 149-164.
    6. Andrew Atkeson, 2020. "What Will Be the Economic Impact of COVID-19 in the US? Rough Estimates of Disease Scenarios," NBER Working Papers 26867, National Bureau of Economic Research, Inc.
    7. Ivan Lorencin & Nikola Anđelić & Vedran Mrzljak & Zlatan Car, 2019. "Genetic Algorithm Approach to Design of Multi-Layer Perceptron for Combined Cycle Power Plant Electrical Power Output Estimation," Energies, MDPI, vol. 12(22), pages 1-26, November.
    8. Rose Neng Lai & Yang Zhang, 2020. "Spillover and Profitability of Intraday Herding on Cross-Listed Stocks," Chinese Economy, Taylor & Francis Journals, vol. 53(1), pages 25-61, January.
    9. Siriporn Supratid & Thannob Aribarg & Seree Supharatid, 2017. "An Integration of Stationary Wavelet Transform and Nonlinear Autoregressive Neural Network with Exogenous Input for Baseline and Future Forecasting of Reservoir Inflow," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(12), pages 4023-4043, September.
    10. Khuntia, Sashikanta & Pattanayak, J.K., 2018. "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, vol. 167(C), pages 26-28.
    11. Ozili, Peterson & Arun, Thankom, 2020. "Spillover of COVID-19: Impact on the Global Economy," MPRA Paper 99317, University Library of Munich, Germany.
    12. Zhang, Yue-Jun & Wang, Jing, 2015. "Exploring the WTI crude oil price bubble process using the Markov regime switching model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 377-387.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "The COVID-19 pandemic, policy responses and stock markets in the G20," International Economics, Elsevier, vol. 172(C), pages 77-90.
    2. Xinyu Wang & Liang Zhao & Ning Zhang & Liu Feng & Haibo Lin, 2022. "Stability of China's Stock Market: Measure and Forecast by Ricci Curvature on Network," Papers 2204.06692, arXiv.org.
    3. Piotr Korneta & Katarzyna Rostek, 2021. "The Impact of the SARS-CoV-19 Pandemic on the Global Gross Domestic Product," IJERPH, MDPI, vol. 18(10), pages 1-12, May.
    4. María del Carmen Valls Martínez & Pedro Antonio Martín Cervantes, 2021. "Testing the Resilience of CSR Stocks during the COVID-19 Crisis: A Transcontinental Analysis," Mathematics, MDPI, vol. 9(5), pages 1-24, March.
    5. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Poza, Carlos, 2022. "The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 118-123.
    6. Si, Deng-Kui & Li, Xiao-Lin & Xu, XuChuan & Fang, Yi, 2021. "The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China," Energy Economics, Elsevier, vol. 102(C).
    7. Anqiang Huang & Xinjun Liu & Changrui Rao & Yi Zhang & Yifan He, 2022. "A New Container Throughput Forecasting Paradigm under COVID-19," Sustainability, MDPI, vol. 14(5), pages 1-20, March.
    8. Jelena Musulin & Sandi Baressi Šegota & Daniel Štifanić & Ivan Lorencin & Nikola Anđelić & Tijana Šušteršič & Anđela Blagojević & Nenad Filipović & Tomislav Ćabov & Elitza Markova-Car, 2021. "Application of Artificial Intelligence-Based Regression Methods in the Problem of COVID-19 Spread Prediction: A Systematic Review," IJERPH, MDPI, vol. 18(8), pages 1-39, April.
    9. Xin Chen & Zhangming Shan & Decai Tang & Biao Zhou & Valentina Boamah, 2023. "Interest rate risk of Chinese commercial banks based on the GARCH-EVT model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-11, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Celebioglu, Fatih, 2020. "Spatial Spillover Effects of Mega-City Lockdown Due to Covid-19 Outbreak," MPRA Paper 100319, University Library of Munich, Germany.
    2. Hillary C. Ezeaku & Simplice A. Asongu, 2020. "Covid-19 and Cacophony of coughing: Did International commodity Prices catch influenza?," Working Papers of the African Governance and Development Institute. 20/040, African Governance and Development Institute..
    3. Lin, Hang & Zhang, Zhengjun, 2022. "Extreme co-movements between infectious disease events and crude oil futures prices: From extreme value analysis perspective," Energy Economics, Elsevier, vol. 110(C).
    4. Tiffany Chenneville & Kemesha Gabbidon & Patricia Hanson & Cashea Holyfield, 2020. "The Impact of COVID-19 on HIV Treatment and Research: A Call to Action," IJERPH, MDPI, vol. 17(12), pages 1-14, June.
    5. Ezeaku, Hillary & Asongu, Simplice & Nnanna, Joseph, 2020. "Volatility of International Commodity Prices in Times of Covid-19: Effects of Oil Supply and Global Demand Shocks," MPRA Paper 107544, University Library of Munich, Germany.
    6. Abba AHmed, Bello, 2020. "Impact of Covid-19 Pandemic on Global Economy," MPRA Paper 103753, University Library of Munich, Germany.
    7. Ayhan Kuloğlu, 2021. "Covıd-19 Krizinin Petrol Fiyatları Üzerine Etkisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 710-727.
    8. Mehmet Ali Balcı & Larissa M. Batrancea & Ömer Akgüller & Lucian Gaban & Mircea-Iosif Rus & Horia Tulai, 2022. "Fractality of Borsa Istanbul during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(14), pages 1-33, July.
    9. Gharib, Cheima & Mefteh-Wali, Salma & Serret, Vanessa & Ben Jabeur, Sami, 2021. "Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach," Resources Policy, Elsevier, vol. 74(C).
    10. Vaijanath Babshetti & Jyothi E. Singh & Prakash B. Yaragol, 2022. "The Impact of COVID-19 on the Socio-economic Indicators of the Selected Asian Countries," India Quarterly: A Journal of International Affairs, , vol. 78(1), pages 28-46, March.
    11. Idowu Obakemi, Funsho & Afis Fowosere, Sunkanmi & Terwase Nev , Timothy, 2022. "Covid-19 Lockdown Palliative And Households' Wellbeing: A Microeconomic Analysis," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 9(1), pages 1-16, June.
    12. George, Ammu & Li, Changtai & Lim, Jing Zhi & Xie, Taojun, 2021. "From SARS to COVID-19: The evolving role of China-ASEAN production network," Economic Modelling, Elsevier, vol. 101(C).
    13. Lewkowicz, Jacek & Woźniak, Michał & Wrzesiński, Michał, 2022. "COVID-19 and erosion of democracy," Economic Modelling, Elsevier, vol. 106(C).
    14. Eline Moens & Louis Lippens & Philippe Sterkens & Johannes Weytjens & Stijn Baert, 2022. "The COVID-19 crisis and telework: a research survey on experiences, expectations and hopes," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 23(4), pages 729-753, June.
    15. Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Lobonţ, Oana-Ramona, 2021. "Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices," Energy, Elsevier, vol. 231(C).
    16. Mazhar Mughal & Rashid Javed, 2022. "Perturbed nuptiality, delayed fertility: childbirth effects of Covid19," Journal of Population Research, Springer, vol. 39(4), pages 589-597, December.
    17. Sabri Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Risk management for crude oil futures: an optimal stopping-timing approach," Annals of Operations Research, Springer, vol. 313(1), pages 9-27, June.
    18. Altig, Dave & Baker, Scott & Barrero, Jose Maria & Bloom, Nicholas & Bunn, Philip & Chen, Scarlet & Davis, Steven J. & Leather, Julia & Meyer, Brent & Mihaylov, Emil & Mizen, Paul & Parker, Nicholas &, 2020. "Economic uncertainty before and during the COVID-19 pandemic," Journal of Public Economics, Elsevier, vol. 191(C).
    19. Bai, Chenjiang & Duan, Yuejiao & Liu, Congya & Qiu, Leiju, 2022. "International taxation sentiment and COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 63(C).
    20. Rosa Caiazza & Phillip Phan & Erik Lehmann & Henry Etzkowitz, 2021. "An absorptive capacity-based systems view of Covid-19 in the small business economy," International Entrepreneurship and Management Journal, Springer, vol. 17(3), pages 1419-1439, September.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2007.02673. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.