Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework
Guo, Jingjun1; Zhao, Zhengling1; Sun, Jingyun1; Sun, Shaolong2
2022-08-01
Source PublicationResources Policy
Volume77
AbstractCrude oil is an important global commodity, and its price fluctuation affects the political and economic security of a country. Therefore, it is necessary to conduct crude oil price forecasting. Based on the forecasting research of multi-source information and decomposition-ensemble, we combine the two into a model and propose a multi-perspective crude oil price forecasting model under a new decomposition-ensemble framework. Specifically, the crude oil price series is decomposed and reconstructed into several modes through variational mode decomposition (VMD) and fuzzy entropy (FE). Further, we screen the effective predictors from structured and unstructured multi-source data using the Granger causality test, and select the optimal input features through random forest - recursive feature elimination (RF-RFE). Finally, each reconstruction mode is individually forecasted on the basis of the selected different input features and the forecasting values obtained are combined and integrated; the final result is obtained from the integrating prediction results through the error evaluation criterion. The West Texas Intermediate (WTI) daily spot price is adopted to validate the performance of our proposed model. The empirical results show that compared with the benchmark models, the proposed model can significantly improve forecasting accuracy. © 2022 Elsevier Ltd
KeywordDecision trees Forecasting Crude oil price forecasting Crude oil spot price forecasting Internet concern Long short term memory network Macroeconomic variables Memory network Mode decomposition Price forecasting Spot price Variational mode decomposition
DOI10.1016/j.resourpol.2022.102737
Indexed ByEI
ISSN0301-4207
Language英语
PublisherElsevier Ltd
EI Accession Number20221812056626
EI KeywordsCrude oil
EI Classification Number512.1 Petroleum Deposits ; 921.4 Combinatorial Mathematics, Includes Graph Theory, Set Theory ; 961 Systems Science
Original Document TypeJournal article (JA)
Document Type期刊论文
Identifierhttp://ir.lzufe.edu.cn/handle/39EH0E1M/32757
Collection统计学院
Affiliation1.School of Statistics, Lanzhou University of Finance and Economics, Lanzhou; 730020, China;
2.School of Management, Xi'an Jiaotong University, Xi'an; 710049, China
First Author AffilicationSchool of Statistics
Recommended Citation
GB/T 7714
Guo, Jingjun,Zhao, Zhengling,Sun, Jingyun,et al. Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework[J]. Resources Policy,2022,77.
APA Guo, Jingjun,Zhao, Zhengling,Sun, Jingyun,&Sun, Shaolong.(2022).Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework.Resources Policy,77.
MLA Guo, Jingjun,et al."Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework".Resources Policy 77(2022).
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