Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks

There has been a renewed interest in accurately forecasting the price of crude oil and its fluctuations. That said, this paper aims to study whether the price of crude oil in the United States (US) could be predicted using the stock prices of the top information technology companies. To this end, t...

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Main Authors: Rayan H. Assaad, Sara Fayek
Format: Article
Language:English
Published: SGH Warsaw School of Economics, Collegium of Economic Analysis 2021-09-01
Series:Econometric Research in Finance
Subjects:
Online Access:https://www.erfin.org/journal/index.php/erfin/article/view/127
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spelling doaj-7a7bdbf1d4b244fa80d42aa95d0106f72021-09-29T15:58:30ZengSGH Warsaw School of Economics, Collegium of Economic Analysis Econometric Research in Finance2451-19352451-23702021-09-016210.2478/erfin-2021-0006Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural NetworksRayan H. Assaad0Sara Fayek1New Jersey Institute of Technology, United StatesMissouri University of Science and Technology, United States There has been a renewed interest in accurately forecasting the price of crude oil and its fluctuations. That said, this paper aims to study whether the price of crude oil in the United States (US) could be predicted using the stock prices of the top information technology companies. To this end, time-series data was collected and pre-processed as needed, and three architectures of computational neural networks were tested: deep neural networks, long-short term memory (LSTM) neural networks, and a combination of convolutional and LSTM neural networks. The findings suggest that LSTM networks are the best architectures to predict the crude oil price. The outcomes of this paper could potentially help in making the oil price prediction mechanism a more tractable task and in assisting decision-makers to improve macroeconomic policies, generate enhanced macroeconomic projections, and better assess macroeconomic risks. https://www.erfin.org/journal/index.php/erfin/article/view/127Crude Oil PriceInformation TechnologyDeep LearningLong-Short Term Memory (LSTM)Convolutional Neural NetworksStock Prices
collection DOAJ
language English
format Article
sources DOAJ
author Rayan H. Assaad
Sara Fayek
spellingShingle Rayan H. Assaad
Sara Fayek
Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
Econometric Research in Finance
Crude Oil Price
Information Technology
Deep Learning
Long-Short Term Memory (LSTM)
Convolutional Neural Networks
Stock Prices
author_facet Rayan H. Assaad
Sara Fayek
author_sort Rayan H. Assaad
title Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
title_short Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
title_full Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
title_fullStr Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
title_full_unstemmed Predicting the Price of Crude Oil and its Fluctuations Using Computational Econometrics: Deep Learning, LSTM, and Convolutional Neural Networks
title_sort predicting the price of crude oil and its fluctuations using computational econometrics: deep learning, lstm, and convolutional neural networks
publisher SGH Warsaw School of Economics, Collegium of Economic Analysis
series Econometric Research in Finance
issn 2451-1935
2451-2370
publishDate 2021-09-01
description There has been a renewed interest in accurately forecasting the price of crude oil and its fluctuations. That said, this paper aims to study whether the price of crude oil in the United States (US) could be predicted using the stock prices of the top information technology companies. To this end, time-series data was collected and pre-processed as needed, and three architectures of computational neural networks were tested: deep neural networks, long-short term memory (LSTM) neural networks, and a combination of convolutional and LSTM neural networks. The findings suggest that LSTM networks are the best architectures to predict the crude oil price. The outcomes of this paper could potentially help in making the oil price prediction mechanism a more tractable task and in assisting decision-makers to improve macroeconomic policies, generate enhanced macroeconomic projections, and better assess macroeconomic risks.
topic Crude Oil Price
Information Technology
Deep Learning
Long-Short Term Memory (LSTM)
Convolutional Neural Networks
Stock Prices
url https://www.erfin.org/journal/index.php/erfin/article/view/127
work_keys_str_mv AT rayanhassaad predictingthepriceofcrudeoilanditsfluctuationsusingcomputationaleconometricsdeeplearninglstmandconvolutionalneuralnetworks
AT sarafayek predictingthepriceofcrudeoilanditsfluctuationsusingcomputationaleconometricsdeeplearninglstmandconvolutionalneuralnetworks
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