Forecasting the Nexus and Impact of News Sentiment on NYSE, Gold Prices, and WTI Oil Using The Neural Network Approach

Abstract

The study aims to determine the impact of news sentiment during COVID-19 and the nexus between the NYSE, Gold prices, and WTI oil prices. For this purpose, we use hourly data of news sentiment and commodity prices hourly data from February 10, 2020, hours 1000 to March 06, 2020 hours 1600 hours, with the help of a multilayer artificial neural network. Further, We use the connection weight approach to observe the relative importance of input variables that help predict output variables. The results suggest that all the indexes are interconnected, where the increase/decrease of any index impacts the other commodity index. Further, the news index remains the second highest predictor for gold price and WTI oil price indexes. In addition, the news index also seems to be an essential predictor of these commodities.

Keywords: NYSE, WTI Oil, Gold, Covid-19, Neural Network, Connection Weight