The role of cryptocurrencies in predicting oil prices pre and during COVID-19 pandemic using machine learning

【Author】 Ibrahim, Bassam A.; Elamer, Ahmed A.; Abdou, Hussein A.

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【Abstract】This study aims to explore the role of cryptocurrencies and the US dollar in predicting oil prices pre and during COVID-19 pandemic. The study uses three neural network models (i.e., Support vector machines, Multilayer Perceptron Neural Networks and Generalized regression neural networks (GRNN)) over the period from January 1, 2018, to July 5, 2021. Our results are threefold. First, our results indicate Bitcoin is the most influential in predicting oil prices during the bear and bull oil market before COVID-19 and during the downtrend during COVID-19. Second, COVID-19 variables became the most influential during the uptrend, especially the number of death cases. Third, our results also suggest that the most accurate model to predict the price of oil under the conditions of uncertainty that prevailed in the world during the bear and bull prices in the wake of COVID-19 is GRNN. Though the best prediction model under normal conditions before COVID-19 during an uptrend is SVM and during a downtrend is GRNN. Our results provide crucial evidence for investors, academics and policymakers, especially during global uncertainties.

【Keywords】Cryptocurrencies; COVID-19; Bitcoin; Machine learning; Crude oil; Neural networks

【发表时间】

【收录时间】2022-11-14

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-价格预测