Forecasting Crude Oil Prices with Major S&P 500 Stock Prices: Deep Learning, Gaussian Process, and Vine Copula

This paper introduces methodologies in forecasting oil prices (Brent and WTI) with multivariate time series of major S&P 500 stock prices using Gaussian process modeling, deep learning, and vine copula regression. We also apply Bayesian variable selection and nonlinear principal component analysis (NLPCA) for data dimension reduction. With a reduced number of important covariates, we also forecast oil prices (Brent and WTI) with multivariate time series of major S&P 500 stock prices using Gaussian process modeling, deep learning, and vine copula regression. To apply real data to the proposed methods, we select monthly log returns of 2 oil prices and 74 large-cap, major S&P 500 stock prices across the period of February 2001–October 2019. We conclude that vine copula regression with NLPCA is superior overall to other proposed methods in terms of the measures of prediction errors.

Exploring COVID-19 in mainland China during the lockdown of Wuhan via functional data analysis

In this paper, we analyze the time series data of the case and death counts of COVID-19 that broke out in China in December, 2019. The study period is during the lockdown of Wuhan. We exploit functional data analysis methods to analyze the collected time series data. The analysis is divided into three parts. First, the functional principal component analysis is conducted to investigate the modes of variation. Second, we carry out the functional canonical correlation analysis to explore the relationship between confirmed and death cases. Finally, we utilize a clustering method based on the Expectation-Maximization (EM) algorithm to run the cluster analysis on the counts of confirmed cases, where the number of clusters is determined via a cross-validation approach. Besides, we compare the clustering results with some migration data available to the public.

An Exploratory Analysis of COVID-19 in Latin America Using Functional Principal Component Analysis

Even though there already exists a wide variety of epidemiological models, it’s worthwhile to apply Functional Data Analysis (FDA) techniques to study the shapes of the COVID-19 pandemic in Latin America. In the present work we use Functional Principal Component Analysis (FPCA) to make an exploratory study on a dataset formed by the total cases per million, new cases, new tests, and stringency index of 6 Latin American countries, namely: Mexico, Ecuador, Chile, Peru, Cuba, and Colombia;obtained from the first confirmed case reported to January 2021, measured daily. We identify an increasing pattern in all of the variables and the interesting case of Cuba concerning the management of the pandemic, as well as the influence of stringency index over the growth curve of positive cases, and the mean perturbations with functional principal components (FPC) of the variables. Finally, we suggest more FDA techniques to carry out further studies to get a broad perspective of COVID-19 in Latin America. © 2021, Springer Nature Switzerland AG.

The impact of lockdown timing on COVID-19 transmission across US counties.

BACKGROUND: Many countries have implemented lockdowns to reduce COVID-19 transmission. However, there is no consensus on the optimal timing of these lockdowns to control community spread of the disease. Here we evaluated the relationship between timing of lockdowns, along with other risk factors, and the growth trajectories of COVID-19 across 3,112 counties in the US. METHODS: We ascertained dates for lockdowns and implementation of various non-pharmaceutical interventions at a county level and merged these data with those of US census and county-specific COVID-19 daily cumulative case counts. We then applied a Functional Principal Component (FPC) analysis on this dataset to generate FPC scores, which were used as a surrogate variable to describe the trajectory of daily cumulative case counts for each county. We used machine learning methods to identify risk factors including the timing of lockdown that significantly influenced the FPC scores. FINDINGS: We found that the first eigen-function accounted for most (>92%) of the variations in the daily cumulative case counts. The impact of lockdown timing on the total daily case count of a county became significant beginning approximately 7 days prior to that county reporting at least 5 cumulative cases of COVID-19. Delays in lockdown implementation after this date led to a rapid acceleration of COVID-19 spread in the county over the first ~50 days from the date with at least 5 cumulative cases, and higher case counts across the entirety of the follow-up period. Other factors such as total population, median family income, Gini index, median age, and within-county mobility also had a substantial effect. When adjusted for all these factors, the timing of lockdowns was the most significant risk factor associated with the county-specific daily cumulative case counts. INTERPRETATION: Lockdowns are an effective way of controlling the spread of COVID-19 in communities. Significant delays in lockdown cause a dramatic increase in the cumulative case counts. Thus, the timing of the lockdown relative to the case count is an important consideration in controlling the pandemic in communities. FUNDING: The study period is from June 2020 to July 2021. Dr. Xuekui Zhang is a Tier 2 Canada Research Chairs (Grant No. 950231363) and funded by Natural Sciences and Engineering Research Council of Canada (Grant No. RGPIN201704722). Dr. Li Xing is funded by Natural Sciences and Engineering Research Council of Canada (Grant Number: RGPIN 202103530). This research was enabled in part by support provided by WestGrid (www.westgrid.ca) and Compute Canada (www.computecanada.ca). The computing resource is provided by Compute Canada Resource Allocation Competitions #3495 (PI: Xuekui Zhang) and #1551 (PI: Li Xing). Dr. Don Sin is a Tier 1 Canada Research Chair in COPD and holds the de Lazzari Family Chair at the Heart Lung Innovation, Vancouver, Canada.