Data Science in Finance and Economics最新文献

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Modelling and forecasting the volatility of bitcoin futures: the role of distributional assumption in GARCH models 比特币期货波动的建模和预测:GARCH模型中分布假设的作用
Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2022016
S. Gyamerah, Collins Abaitey
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引用次数: 0
Forecasting crude oil price using LSTM neural networks 基于LSTM神经网络的原油价格预测
Data Science in Finance and Economics Pub Date : 1900-01-01 DOI: 10.3934/dsfe.2022008
Kexian Zhang, Min-Goo Hong
{"title":"Forecasting crude oil price using LSTM neural networks","authors":"Kexian Zhang, Min-Goo Hong","doi":"10.3934/dsfe.2022008","DOIUrl":"https://doi.org/10.3934/dsfe.2022008","url":null,"abstract":"\u0000\u0000As a key input factor in industrial production, the price volatility of crude oil often brings about economic volatility, so forecasting crude oil price has always been a pivotal issue in economics. In our study, we constructed an LSTM (short for Long Short-Term Memory neural network) model to conduct this forecasting based on data from February 1986 to May 2021. An ANN (short for Artificial Neural Network) model and a typical ARIMA (short for Autoregressive Integrated Moving Average) model are taken as the comparable models. The results show that, first, the LSTM model has strong generalization ability, with stable applicability in forecasting crude oil prices with different timescales. Second, as compared to other models, the LSTM model generally has higher forecasting accuracy for crude oil prices with different timescales. Third, an LSTM model-derived shorter forecast price timescale corresponds to a lower forecasting accuracy. Therefore, given a longer forecast crude oil price timescale, other factors may need to be included in the model.\u0000\u0000","PeriodicalId":290300,"journal":{"name":"Data Science in Finance and Economics","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130979019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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