Forecasting crude oil price with multilingual search engine data

doi:10.1016/j.physa.2020.124178

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	Forecasting crude oil price with multilingual search engine data
	Li, Jingjing 1; Tang, Ling 1; Wang, Shouyang2,3
	2020-08-01
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	551 页码:14
摘要	In the big data era, search engine data (SED) have presented new opportunities for improving crude oil price prediction; however, the existing research were confined to single-language (mostly English) search keywords in SED collection. To address such a language bias and grasp worldwide investor attention, this study proposes a novel multilingual SED-driven forecasting methodology from a global perspective. The proposed methodology includes three main steps: (1) multilingual index construction, based on multilingual SED; (2) relationship investigation, between the multilingual index and crude oil price; and (3) oil price prediction, with the multilingual index as an informative predictor. With WTI spot price as studying samples, the empirical results indicate that SED have a powerful predictive power for crude oil price; nevertheless, multilingual SED statistically demonstrate better performance than single-language SED, in terms of enhancing prediction accuracy and model robustness. (C) 2020 Elsevier B.V. All rights reserved.
关键词	Big data Multilingual search engine index Crude oil price forecasting Google Trends Artificial intelligence
DOI	10.1016/j.physa.2020.124178
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71622011] ; National Natural Science Foundation of China[71971007]
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000534417600038
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51520
专题	系统科学研究所
通讯作者	Tang, Ling
作者单位	1.Beihang Univ, Sch Econ & Management, 37 Xueyuan Rd, Beijing 100191, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Li, Jingjing,Tang, Ling,Wang, Shouyang. Forecasting crude oil price with multilingual search engine data[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,551:14.
APA	Li, Jingjing,Tang, Ling,&Wang, Shouyang.(2020).Forecasting crude oil price with multilingual search engine data.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,551,14.
MLA	Li, Jingjing,et al."Forecasting crude oil price with multilingual search engine data".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 551(2020):14.