2012 | OriginalPaper | Buchkapitel
Economics of Gold Price Movement-Forecasting Analysis Using Macro-economic, Investor Fear and Investor Behavior Features
verfasst von : Jatin Kumar, Tushar Rao, Saket Srivastava
Erschienen in: Big Data Analytics
Verlag: Springer Berlin Heidelberg
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
Recent works have shown that besides fundamental factors like interest rate, inflation index and foreign exchange rates, behavioral factors like consumer sentiments and global economic stability play an important role in driving gold prices at shorter time resolutions. In this work we have done comprehensive modeling of price movements of gold, using three feature sets, namely- macroeconomic factors (using CPI index and foreign exchange rates), investor fear features (using US Economy Stress Index and gold ETF Volatility Index) and investor behavior features (using the sentiment of Twitter feeds and web search volume index from Google Search Volume Index). Our results bring insights like high correlation (upto 0.92 for CPI) between various features, which is a significant improvement over earlier works. Using Grangers causality analysis, we have validated that the movement in gold price is greatly affected in the short term by some features, consistently over a five week lag. Finally, we implemented forecasting techniques like expert model mining system (EMMS) and binary SVM classifier to demonstrate forecasting performance using different features.