Hybrid Feature Reduction Using PCC-Stacked Autoencoders for Gold/Oil Prices Forecasting under COVID-19 Pandemic
The financial markets have been influenced by the emerging spread of Coronavirus disease, COVID-19. The oil, and gold as well have experienced a downward trend due to the increased rate in the number of confirmed COVID-19 cases. Lately, the published COVID data comprised new variables that may influ...
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| Vydané v: | Electronics (Basel) Ročník 11; číslo 7; s. 991 |
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| Hlavní autori: | , , , , |
| Médium: | Journal Article |
| Jazyk: | English |
| Vydavateľské údaje: |
01.04.2022
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| ISSN: | 2079-9292, 2079-9292 |
| On-line prístup: | Získať plný text |
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| Shrnutí: | The financial markets have been influenced by the emerging spread of Coronavirus disease, COVID-19. The oil, and gold as well have experienced a downward trend due to the increased rate in the number of confirmed COVID-19 cases. Lately, the published COVID data comprised new variables that may influence the accuracy of the oil/gold prices forecasting models including the Stringency index, Reproduction rate, Positive Rate, and Vaccinations. In this study, Deep Autoencoders are introduced and combined with the well-known approach: Pearson Correlation Coefficient, PCC, analysis in selecting the key features that affect the accuracy of the forecasting models of gold and oil prices with respect to COVID-19 pandemic. We have utilized a hybrid approach of PCC along with a 2-Stage Stacked Autoencoder, SA, to extract the latent features which are then submitted to Neural Network, NN, regression model. The NN regressor has been trained using the Bayesian Regularization-backpropagation algorithm which provides a good generalization for small noisy datasets. The hybrid approach has yielded the minimum MSE values of 8.97 × 10−3 and 5.356 × 10−2 on the oil/gold validation set, respectively. Compared to the existing approaches, the proposed approach has outperformed the ARIMA, ML based regression models in forecasting the oil/gold prices. In addition, the introduced framework has yielded lower Mean Absolute Error, MAE, than the Recurrent Neural Network, RNN, and the Principal Component Analysis, PCA, for dimension reduction. The retrieved results showed that the hybrid method produced more robust features by considering the relationship between the input features. |
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| ISSN: | 2079-9292 2079-9292 |
| DOI: | 10.3390/electronics11070991 |