Multivariate Bayesian Time-Series Model with Multi-temporal Convolution Network for Forecasting Stock Market During COVID-19 Pandemic

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3AWIZFY9KI" target="_blank" >RIV/00216208:11320/25:WIZFY9KI - isvavai.cz</a>

Result on the web

<a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-85197399799&doi=10.1007%2fs44196-024-00525-5&partnerID=40&md5=e13689fbf6a198bad669ee638d8a1de0" target="_blank" >https://www.scopus.com/inward/record.uri?eid=2-s2.0-85197399799&doi=10.1007%2fs44196-024-00525-5&partnerID=40&md5=e13689fbf6a198bad669ee638d8a1de0</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s44196-024-00525-5" target="_blank" >10.1007/s44196-024-00525-5</a>

Result language

angličtina

Original language name

Multivariate Bayesian Time-Series Model with Multi-temporal Convolution Network for Forecasting Stock Market During COVID-19 Pandemic

Original language description

The paper proposes a hybrid algorithm for forecasting multiple correlated time-series data, which consists of two main steps. First, it employs a multivariate Bayesian structural time series (MBSTS) approach as a base step. This method allows for the incorporation of potentially high-dimensional regression components, and it utilizes spike and slab priors to identify a parsimonious model. Second, the algorithm includes a post-model fitting diagnostic step where the residuals from the MBSTS step are processed through a multi-input/output temporal convolutional network (M-TCN) with multiple time scale feature learning. This step serves as an alternative to traditional subjective residual-based diagnostic procedures in time-series analysis, with the aim of improving forecasting accuracy. The key advantage of the M-TCN is its ability to capture sequential information efficiently. The M-TCN expands the field of convolution kernel without increasing the number of parameters, thus enhancing the capacity of model to capture complex sequential patterns. The paper presents two applications showcasing the effectiveness of the proposed hybrid algorithm. First, it utilizes pre-lockdown data from eleven Nifty stock sectoral indices to predict stock price movements, including the initial post-lockdown upturn. In the second application, it focuses on stock market data from pharmaceutical companies involved in manufacturing COVID-19 vaccines. In both cases, sentiment data sourced from newspapers and social media serve as the regression component. Through rigorous analysis, the paper demonstrates that the hybrid model outperforms various benchmark models, including LSTM, Bidirectional Encoder Representations from Transformers (BERT)-based LSTM, Deep Transformer Model, and GRU, among others, in terms of forecasting accuracy. This underscores the utility of the hybrid algorithm, particularly in predicting stock market trends during the COVID-19 pandemic period and its associated market dynamics. © The Author(s) 2024.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

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Continuities

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Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

International Journal of Computational Intelligence Systems

ISSN

1875-6891

e-ISSN

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Volume of the periodical

17

Issue of the periodical within the volume

1

Country of publishing house

US - UNITED STATES

Number of pages

14

Pages from-to

1-14

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85197399799