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

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.Comment: 26 pages, 9 figure

Design of Time-Frequency-Localized Two-Band Orthogonal Wavelet Filter Banks

In this paper, we design time-frequency-localized two-band orthogonal wavelet filter banks using convex semidefinite programming (SDP). The sum of the time variance and frequency variance of the filter is used to formulate a real symmetric positive definite matrix for joint time-frequency localization of filters. Time-frequency-localized orthogonal low-pass filter with specified length and regularity order is designed. For nonmaximally regular two-band filter banks of length twenty, it is found that, as we increase the regularity order, the solution of the SDP converges to the filters with time-frequency product (TFP) almost same as the Daubechies maximally regular filter of length twenty. Unlike the class of Daubechies maximally regular minimum phase wavelet filter banks, a rank minimization algorithm in a SDP is employed to obtain mixed-phase low-pass filters with TFP of the filters as well as the scaling and wavelet function better than the equivalent two-band Daubechies filter bank