A novel multiscale forecasting model for crude oil price time series

doi:10.1016/j.techfore.2021.121181

	A novel multiscale forecasting model for crude oil price time series
	Li, Ranran 4; Hu, Yucai 4; Heng, Jiani 2; Chen, Xueli 1,3
刊名	TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
	2021-12-01
卷号	173 页码:15
关键词	Crude oil price forecasting Decomposition-ensemble method Support vector machine Multiscale strategy Complexity analysis
ISSN号	0040-1625
DOI	10.1016/j.techfore.2021.121181
英文摘要	Forecasting crude oil prices is an essential research field in the international bulk commodities market. However, price movements present more complex nonlinear behavior due to an increasingly diverse range of risk factors. To achieve better accuracy, this study explores a novel multiscale hybrid paradigm to estimate crude oil prices. The method takes advantage of the variational mode decomposition method to decompose the crude oil price into several simple models, which can be explained using regular factors, irregular factors and trends. Data characteristic analysis is conducted to identify the complexity of different components of the time series. It is important for a multiscale model to select an appropriate model to produce the optimal forecasts. Thus, the final forecasted values are generated by reconstituting all these forecasting items. By investigating the West Texas Intermediate and Brent crude oil prices, this paper presents how data characteristic identification and analysis are conducted in a multiscale paradigm. The empirical analysis proves that the proposed model can achieve superior forecasting results, which indicates the effectiveness of the multiscale model at forecasting complex time series, especially crude oil prices.
资助项目	S&T Program of Hebei[G2021203007] ; Science and Technology Project of Hebei Education Department[BJ2021060] ; National Natural Sciences Foundation of China[7210031644]
WOS研究方向	Business & Economics ; Public Administration
语种	英语
出版者	ELSEVIER SCIENCE INC
WOS记录号	WOS:000701823900014
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/59359]
专题	中国科学院数学与系统科学研究院
通讯作者	Chen, Xueli
作者单位	1.Anhui Univ Finance & Econ, Sch Languages & Media, 962 Caoshan Rd, Bengbu 233030, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Chinese Acad Social Sci, Inst Journalism & Commun, Beijing 100732, Peoples R China 4.Yanshan Univ, Sch Econ & Management, Qinhuangdao 066004, Hebei, Peoples R China
推荐引用方式 GB/T 7714	Li, Ranran,Hu, Yucai,Heng, Jiani,et al. A novel multiscale forecasting model for crude oil price time series[J]. TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,2021,173:15.
APA	Li, Ranran,Hu, Yucai,Heng, Jiani,&Chen, Xueli.(2021).A novel multiscale forecasting model for crude oil price time series.TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,173,15.
MLA	Li, Ranran,et al."A novel multiscale forecasting model for crude oil price time series".TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE 173(2021):15.