Browsing by Subject "Ravenpack database"

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    Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period
    (2023-10-30) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.; Mahapatra, Biplab
    We investigate the reactions of eight commodity futures to media hype and fake news during COVID-19, utilising the Ravenpack news database, along with deep learning algorithms. Results identify a significant impact on commodity prices of media hype and fake news, with this reaction amplified during COVID-19. Compared to alternative deep learning algorithms, bi-directional long-short-term memory is adaptive to forecasting the returns of the commodity futures contracts with lower mean absolute error and root mean square error. Findings, confirmed by Diebold-Mariano testing, as well as alternative data partitioning, show commodity markets are susceptible to fake news and media hype.