A Novel Multivariate Decomposition Ensemble Model with News Text  for Crude Oil Price Forecasting

	A Novel Multivariate Decomposition Ensemble Model with News Text for Crude Oil Price Forecasting
	Zhao, Zhengling1
	2022-08-10
发表期刊	SSRN
ISSN	1556-5068
简介	Forecasting crude oil prices is crucial for every individual and even the entire country. Previous studies have encountered difficulties in forecasting highly nonlinear crude oil prices, especially when conflicts, wars, and other irregular events occur. In light of this, this study proposes a novel multivariate decomposition ensemble model with news text for crude oil price forecasting, which mainly consists of four steps. First, data fusion of multivariate forecasters is performed. Second, the crude oil price and its forecasters are decomposed and reconstructed using multivariate empirical mode decomposition (MEMD) and sample entropy (SE), respectively. Thereafter, the effective forecasters are screened from the reconstruction subcomponents of forecasters through the Granger causality test. Finally, the crude oil price is forecasted using a hybrid forecasting technique, and the validity of the proposed model is evaluated from different perspectives. The empirical results indicate that the proposed model achieves excellent performance in forecasting the West Texas Intermediate weekly spot price. © 2022, The Authors. All rights reserved.
收录类别	EI
关键词	Costs Crude oil Data fusion Forecasting Machine learning Crude oil price forecasting Crude oil prices Empirical Mode Decomposition Ensemble models Granger causality test Hybrid forecasting Machine-learning Multivariate empirical mode decomposition Sample entropy Text-mining
语种	英语
出版者	SSRN
原始文献类型	Preprint (PP)
文献类型	其他
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/33113
专题	统计与数据科学学院
作者单位	1.School of Statistics, Lanzhou University of Finance and Economics, Lanzhou; 730020, China; 2.Center for Quantitative Analysis of Gansu Economic Development, Lanzhou; 730020, China; 3.School of Management, Xi’an Jiaotong University, Xi’an; 710049, China
第一作者单位	统计与数据科学学院
推荐引用方式 GB/T 7714	Zhao, Zhengling. A Novel Multivariate Decomposition Ensemble Model with News Text for Crude Oil Price Forecasting. 2022-08-10.