KMS Of Academy of mathematics and systems sciences, CAS
Crude oil price forecasting based on internet concern using an extreme learning machine | |
Wang, Jue1,2; Athanasopoulos, George3; Hyndman, Rob J.3; Wang, Shouyang1,2 | |
2018-10-01 | |
发表期刊 | INTERNATIONAL JOURNAL OF FORECASTING |
ISSN | 0169-2070 |
卷号 | 34期号:4页码:665-677 |
摘要 | The growing internet concern (IC) over the crude oil market and related events influences market trading, thus creating further instability within the oil market itself. We propose a modeling framework for analyzing the effects of IC on the oil market and for predicting the price volatility of crude oil's futures market. This novel approach decomposes the original time series into intrinsic modes at different time scales using bivariate empirical mode decomposition (BEMD). The relationship between the oil price volatility and IC at an individual frequency is investigated. By utilizing decomposed intrinsic modes as specified characteristics, we also construct extreme learning machine (ELM) models with variant forecasting schemes. The experimental results illustrate that ELM models that incorporate intrinsic modes and IC outperform the baseline ELM and other benchmarks at distinct horizons. Having the power to improve the accuracy of baseline models, internet searching is a practical way of quantifying investor attention, which can help to predict short-run price fluctuations in the oil market. (C) 2018 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. |
关键词 | Crude oil futures price Internet concern BEMD ELM |
DOI | 10.1016/j.ijforecast.2018.03.009 |
语种 | 英语 |
资助项目 | Youth Innovation Promotion Association, CAS[2014004] ; National Center for Mathematics and Interdisciplinary Sciences (NCMIS)[629092ZZ1] ; CAS ; National Natural Science Foundation of China (NSFC)[71771208] ; National Natural Science Foundation of China (NSFC)[71271202] |
WOS研究方向 | Business & Economics |
WOS类目 | Economics ; Management |
WOS记录号 | WOS:000447104600008 |
出版者 | ELSEVIER SCIENCE BV |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/31394 |
专题 | 系统科学研究所 |
通讯作者 | Wang, Jue |
作者单位 | 1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, CEFS, MADIS, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Monash Univ, Dept Econometr & Business Stat, Clayton, Vic, Australia |
推荐引用方式 GB/T 7714 | Wang, Jue,Athanasopoulos, George,Hyndman, Rob J.,et al. Crude oil price forecasting based on internet concern using an extreme learning machine[J]. INTERNATIONAL JOURNAL OF FORECASTING,2018,34(4):665-677. |
APA | Wang, Jue,Athanasopoulos, George,Hyndman, Rob J.,&Wang, Shouyang.(2018).Crude oil price forecasting based on internet concern using an extreme learning machine.INTERNATIONAL JOURNAL OF FORECASTING,34(4),665-677. |
MLA | Wang, Jue,et al."Crude oil price forecasting based on internet concern using an extreme learning machine".INTERNATIONAL JOURNAL OF FORECASTING 34.4(2018):665-677. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论