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A semi-heterogeneous approach to combining crude oil price forecasts
Wang, Jue1,2; Li, Xiang1,2; Hong, Tao3; Wang, Shouyang1,2
2018-09-01
Source PublicationINFORMATION SCIENCES
ISSN0020-0255
Volume460Pages:279-292
AbstractCrude oil price forecasting has received increased attentions due to its significant role in the global economy. Accurate crude oil price forecasts often lead to a rapid new production development with higher quality and less cost. Making such accurate forecasts, however, is challenging due to the intrinsic complexity of oil market mechanism. Many techniques have been tested in the crude oil price forecasting literature. Although forecast combination is a well-known method to improve forecast accuracy, generating forecasts using various techniques tend to be labor intensive. How to efficiently generate many individual forecasts for combination becomes a research question in crude oil price forecasting. Recently, several signal decomposition methods have been suggested for processing the oil price signals. In this paper, we propose a semi-heterogeneous approach to combining crude oil price forecasts, which interacts a set of decomposition methods with a set of forecasting techniques. We first decompose the original price series using four decomposition methods, such as Wavelet Analysis, Singular Spectral Analysis, Empirical Mode Decomposition, and Variational Mode Decomposition. We then use four different forecasting techniques, such as Autoregressive Models, Autoregressive Integrated Moving Average Models, Artificial Neural Networks, and Support Vector Regression Models, to forecast the components from each decomposition methods. Finally, we reconstruct the price forecasts from the forecasted components. This process generates 16 price forecasts in total for combination. We test the combination based on all individual forecasts, as well as a subset of the individual forecasts selected using Tabu Search. The experimental results demonstrate that the forecasting models with the addition of a decomposition technique can have an error reduction of 30.6% compared to benchmark models on average. The combined forecasts outperform the individual forecasts on average. Furthermore, comparing with the heterogeneous combination of 4 individual forecasts, the semi-heterogeneous combinations reduce the errors by 56.6% (w/o Tabu Search) and 61.6% (w/ Tabu Search). (C) 2018 Elsevier Inc. All rights reserved.
KeywordCrude oil price Decomposition and reconstruction Forecast combination Model selection
DOI10.1016/j.ins.2018.05.026
Language英语
Funding ProjectYouth Innovation Promotion Association, CAS ; National Center for Mathematics and Interdisciplinary Sciences (NCMIS), CAS ; National Natural Science Foundation of China (NSFC)[71771208] ; National Natural Science Foundation of China (NSFC)[71271202]
WOS Research AreaComputer Science
WOS SubjectComputer Science, Information Systems
WOS IDWOS:000441494000018
PublisherELSEVIER SCIENCE INC
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/31081
Collection系统科学研究所
Affiliation1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, MDIS, CFS, Beijing 100190, Peoples R China
3.Univ N Carolina, Syst Engn & Engn Management Dept, Charlotte, NC 28223 USA
Recommended Citation
GB/T 7714
Wang, Jue,Li, Xiang,Hong, Tao,et al. A semi-heterogeneous approach to combining crude oil price forecasts[J]. INFORMATION SCIENCES,2018,460:279-292.
APA Wang, Jue,Li, Xiang,Hong, Tao,&Wang, Shouyang.(2018).A semi-heterogeneous approach to combining crude oil price forecasts.INFORMATION SCIENCES,460,279-292.
MLA Wang, Jue,et al."A semi-heterogeneous approach to combining crude oil price forecasts".INFORMATION SCIENCES 460(2018):279-292.
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