The analysis of commodity markets—particularly in the energy and metals sectors—is essential for understanding economic dynamics and guiding decision-making. Financial and economic uncertainty indices provide valuable insights that help reduce price uncertainty. This study employs wavelet analyses and wavelet energy-based measures to investigate the relationship between these indices and commodity prices across multiple time scales. The wavelet approach captures complex, time-varying dependencies, offering a more nuanced understanding of how uncertainty indices influence commodity price fluctuations. By integrating this analysis with predictability measures, we assess how uncertainty indices enhance forecasting accuracy. We further incorporate deep learning models capable of capturing sequential patterns in financial time series into our analysis to better evaluate their predictive potential. Our findings highlight the varying impact of financial and economic uncertainty on the predictability of commodity prices, showing that while some indices offer valuable forecasting information, others display strong correlations without significant predictive power. These results underscore the need for tailored predictive models, as different commodities react differently to the same financial conditions. By combining wavelet-based measures with machine learning techniques, this study presents a comprehensive framework for evaluating the role of uncertainty in commodity markets. The insights gained can support investors, policymakers, and market analysts in making more informed decisions.
Doroshenko, L., Mastroeni, L., Mazzoccoli, A. (2025). Wavelet and Deep Learning Framework for Predicting Commodity Prices Under Economic and Financial Uncertainty. MATHEMATICS, 13(8) [10.3390/math13081346].
Wavelet and Deep Learning Framework for Predicting Commodity Prices Under Economic and Financial Uncertainty
Doroshenko, Lyubov
;Mastroeni, Loretta;Mazzoccoli, Alessandro
2025-01-01
Abstract
The analysis of commodity markets—particularly in the energy and metals sectors—is essential for understanding economic dynamics and guiding decision-making. Financial and economic uncertainty indices provide valuable insights that help reduce price uncertainty. This study employs wavelet analyses and wavelet energy-based measures to investigate the relationship between these indices and commodity prices across multiple time scales. The wavelet approach captures complex, time-varying dependencies, offering a more nuanced understanding of how uncertainty indices influence commodity price fluctuations. By integrating this analysis with predictability measures, we assess how uncertainty indices enhance forecasting accuracy. We further incorporate deep learning models capable of capturing sequential patterns in financial time series into our analysis to better evaluate their predictive potential. Our findings highlight the varying impact of financial and economic uncertainty on the predictability of commodity prices, showing that while some indices offer valuable forecasting information, others display strong correlations without significant predictive power. These results underscore the need for tailored predictive models, as different commodities react differently to the same financial conditions. By combining wavelet-based measures with machine learning techniques, this study presents a comprehensive framework for evaluating the role of uncertainty in commodity markets. The insights gained can support investors, policymakers, and market analysts in making more informed decisions.| File | Dimensione | Formato | |
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