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

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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 the financial movement of Crude Oil price and three US 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.

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Wavelets and signal processing

O. Rioul, M. Vetterli (1991)

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A novel wavelet sequence based on deep bidirectional LSTM network model for ECG signal classification

Özal Yildirim (2018)

Long-short term memory networks (LSTMs), which have recently emerged in sequential data analysis, are the most widely used type of recurrent neural networks (RNNs) architecture. Progress on the topic of deep learning includes successful adaptations of deep versions of these architectures. In this study, a new model for deep bidirectional LSTM network-based wavelet sequences called DBLSTM-WS was proposed for classifying electrocardiogram (ECG) signals. For this purpose, a new wavelet-based layer is implemented to generate ECG signal sequences. The ECG signals were decomposed into frequency sub-bands at different scales in this layer. These sub-bands are used as sequences for the input of LSTM networks. New network models that include unidirectional (ULSTM) and bidirectional (BLSTM) structures are designed for performance comparisons. Experimental studies have been performed for five different types of heartbeats obtained from the MIT-BIH arrhythmia database. These five types are Normal Sinus Rhythm (NSR), Ventricular Premature Contraction (VPC), Paced Beat (PB), Left Bundle Branch Block (LBBB), and Right Bundle Branch Block (RBBB). The results show that the DBLSTM-WS model gives a high recognition performance of 99.39%. It has been observed that the wavelet-based layer proposed in the study significantly improves the recognition performance of conventional networks. This proposed network structure is an important approach that can be applied to similar signal processing problems.