Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting

doi:10.12973/ejmste/77926

CSpace > 系统科学研究所

	Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting
	Yu, Lean 1; Zhang, Xun2 ; Wang, Shouyang2
	2017-12-01
发表期刊	EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION
ISSN	1305-8215
卷号	13 期号:12 页码:7893-7904
摘要	Crude oil price forecasting is one of the most important topics in the field of energy research. Accordingly, numerous methods such as statistical, econometrical and intelligent approaches are applied for crude oil price forecasting. In this paper, a typical competitive learning algorithm, support vector machine (SVM), is empirically investigated to verify the feasibility and potentiality of SVM in crude oil price forecasting. For this purpose, five different prediction models, feed-forward neural networks (FNN), auto-regressive integrated moving average (ARIMA) model, fractional integrated ARIMA (ARFIMA) model, Markov-switching ARFIMA (MS-ARFIMA) model, and random walk (RW) model are used in the study. Experimental results obtained show that the SVM model outperforms the other five methods, implying that it is a fairly good candidate for crude oil price forecasting in terms of either one-step prediction or multi-step prediction.
关键词	support vector machines artificial neural networks ARIMA model ARFIMA model Markov-switching ARFIMA model
DOI	10.12973/ejmste/77926
语种	英语
资助项目	National Natural Science Foundation of China (NSFC)[71433001] ; National Natural Science Foundation of China (NSFC)[71622011] ; National Natural Science Foundation of China (NSFC)[71301006] ; National Program for Support of Top Notch Young Professionals ; Beijing Advanced Innovation Center for Soft Matter Science and Engineering
WOS研究方向	Education & Educational Research
WOS类目	Education & Educational Research
WOS记录号	WOS:000417628000027
出版者	ISER PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29217
专题	系统科学研究所
通讯作者	Yu, Lean
作者单位	1.Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yu, Lean,Zhang, Xun,Wang, Shouyang. Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting[J]. EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION,2017,13(12):7893-7904.
APA	Yu, Lean,Zhang, Xun,&Wang, Shouyang.(2017).Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting.EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION,13(12),7893-7904.
MLA	Yu, Lean,et al."Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting".EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION 13.12(2017):7893-7904.