Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework

doi:10.1016/j.resourpol.2022.102737

	Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework
	Guo, Jingjun1 ; Zhao, Zhengling1 ; Sun, Jingyun1 ; Sun, Shaolong 2
	2022-08
发表期刊	Resources Policy
卷号	77
摘要	Crude 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
关键词	Decision trees Forecasting Crude oil 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
DOI	10.1016/j.resourpol.2022.102737
收录类别	EI ; SSCI
ISSN	0301-4207
语种	英语
WOS研究方向	Environmental Sciences & Ecology
WOS类目	Environmental Studies
WOS记录号	WOS:000798580000005
出版者	Elsevier Ltd
EI入藏号	20221812056626
EI主题词	Variational mode decomposition
EI分类号	512.1 Petroleum Deposits ; 716.1 Information Theory and Signal Processing ; 921.4 Combinatorial Mathematics, Includes Graph Theory, Set Theory ; 961 Systems Science
原始文献类型	Journal article (JA)
EISSN	1873-7641
引用统计	被引频次：22[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/33202
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.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	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).