A hybrid transfer learning model for crude oil price forecasting

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	A hybrid transfer learning model for crude oil price forecasting
	Xiao, Jin 1,2; Hu, Yi 3; Xiao, Yi 4; Xu, Lixiang 2,5; Wang, Shouyang6
	2017
发表期刊	STATISTICS AND ITS INTERFACE
ISSN	1938-7989
卷号	10 期号:1 页码:119-130
摘要	Most of the existing models for oil price forecasting only use the data in the forecasted time series. This study proposes a hybrid transfer learning model (HTLM) for crude oil price forecasting. We first selectively transfer some related time series in the source domain to assist in modeling the target time series by using a transfer learning technique, and then construct the forecasting model using the analog complexing (AC) method. Further, we introduce a genetic algorithm to find the optimal match between two important parameters in HTLM. Finally, we use two main crude oil price time series the West Texas Intermediate (WTI) and the Brent crude oil spot prices for empirical analysis. Our results show the effectiveness and superiority of the proposed model compared with existing models.
关键词	Hybrid transfer learning model Analog complexing Genetic algorithm Crude oil price forecasting Transfer learning technique
语种	英语
资助项目	Natural Science Foundation of China[71471124] ; Natural Science Foundation of China[71301160] ; National Social Science Foundation of China[14BGL175] ; Youth Foundation of Sichuan Province[2015RZ0056] ; Excellent Youth fund of Sichuan University[skqx201607] ; MOE Youth Project of Humanities and Social Sciences[15YJC860034] ; Natural Science Foundation of Anhui Higher Education Institutions[KJ2016A604] ; Youth backbone visiting research key project[gxfxZD2016219] ; CSC[201506500007]
WOS研究方向	Mathematical & Computational Biology ; Mathematics
WOS类目	Mathematical & Computational Biology ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000386413100012
出版者	INT PRESS BOSTON, INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/23835
专题	系统科学研究所
通讯作者	Xiao, Yi
作者单位	1.Sichuan Univ, Sch Business, Chengdu 610064, Peoples R China 2.Univ Munster, Dept Math & Comp Sci, D-48149 Munster, Germany 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 4.Cent China Normal Univ, Sch Informat Management, Wuhan 430079, Peoples R China 5.Hefei Univ, Dept Mathmat & Phys, Hefei 230601, Peoples R China 6.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Xiao, Jin,Hu, Yi,Xiao, Yi,et al. A hybrid transfer learning model for crude oil price forecasting[J]. STATISTICS AND ITS INTERFACE,2017,10(1):119-130.
APA	Xiao, Jin,Hu, Yi,Xiao, Yi,Xu, Lixiang,&Wang, Shouyang.(2017).A hybrid transfer learning model for crude oil price forecasting.STATISTICS AND ITS INTERFACE,10(1),119-130.
MLA	Xiao, Jin,et al."A hybrid transfer learning model for crude oil price forecasting".STATISTICS AND ITS INTERFACE 10.1(2017):119-130.