Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFDS
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR logos x
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Financial Data Science
  • IPR logos x
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Financial Data Science

The Journal of Financial Data Science

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFDS
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Economic Recession Prediction Using Deep Neural Network

Zihao Wang, Kun Li, Steve Q. Xia and Hongfu Liu
The Journal of Financial Data Science Summer 2022, 4 (3) 108-127; DOI: https://doi.org/10.3905/jfds.2022.1.097
Zihao Wang
is a student in the Michtom School of Computer Science at Brandeis University in Waltham, MA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Kun Li
is a student in the Michtom School of Computer Science at Brandeis University in Waltham, MA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Steve Q. Xia
is a senior managing director at Guardian Life in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Hongfu Liu
is an assistant professor in the Michtom School of Computer Science at Brandeis University in Waltham, MA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

We investigate the effectiveness of different machine learning methodologies in predicting economic cycles. We identify the deep learning methodology of BiLSTM with autoencoder as the most accurate model to forecast the beginning and end of economic recessions in the United States. We adopt commonly available macro and market-condition features to compare the ability of different machine learning models to generate good predictions both in-sample and out-of-sample. The proposed model is flexible and dynamic when both predictive variables and model coefficients vary over time. It provided good out-of-sample predictions for the past two recessions and early warning about the COVID-19 recession.

  • © 2022 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Financial Data Science: 4 (3)
The Journal of Financial Data Science
Vol. 4, Issue 3
Summer 2022
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Financial Data Science.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Economic Recession Prediction Using Deep Neural Network
(Your Name) has sent you a message from The Journal of Financial Data Science
(Your Name) thought you would like to see the The Journal of Financial Data Science web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Economic Recession Prediction Using Deep Neural Network
Zihao Wang, Kun Li, Steve Q. Xia, Hongfu Liu
The Journal of Financial Data Science Jul 2022, 4 (3) 108-127; DOI: 10.3905/jfds.2022.1.097

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Economic Recession Prediction Using Deep Neural Network
Zihao Wang, Kun Li, Steve Q. Xia, Hongfu Liu
The Journal of Financial Data Science Jul 2022, 4 (3) 108-127; DOI: 10.3905/jfds.2022.1.097
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • RELATED WORK
    • DATA DESCRIPTIONS
    • PRELIMINARY KNOWLEDGE
    • METHODOLOGY
    • EXPERIMENTAL RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
0207 139 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
646 931 9045
pm-research@pageantmedia.com

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 2640-3943 | E-ISSN: 2640-3951

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies