A new approach for crude oil price analysis based on Empirical Mode Decomposition

doi:10.1016/j.eneco.2007.02.012

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	A new approach for crude oil price analysis based on Empirical Mode Decomposition
	Zhang, Xun 1,2; Lai, K. K.3; Wang, Shou-Yang1,2
	2008-05-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	30 期号:3 页码:905-918
摘要	The importance of understanding the underlying characteristics of international crude oil price movements attracts much attention from academic researchers and business practitioners. Due to the intrinsic complexity of the oil market, however, most of them fail to produce consistently good results. Empirical Mode Decomposition (EMD), recently proposed by Huang et al., appears to be a novel data analysis method for nonlinear and non-stationary time series. By decomposing a time series into a small number of independent and concretely implicational intrinsic modes based on scale separation, EMD explains the generation of time series data from a novel perspective. Ensemble EMD (EEMD) is a substantial improvement of EMD which can better separate the scales naturally by adding white noise series to the original time series and then treating the ensemble averages as the true intrinsic modes. In this paper, we extend EEMD to crude oil price analysis. First, three crude oil price series with different time ranges and frequencies are decomposed into several independent intrinsic modes, from high to low frequency. Second, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend based on fine-to-coarse reconstruction. The economic meanings of the three components are identified as short term fluctuations caused by normal supply-demand disequilibrium or some other market activities, the effect of a shock of a significant event, and a long term trend. Finally, the EEMD is shown to be a vital technique for crude oil price analysis. (c) 2007 Elsevier B.V. All rights reserved.
关键词	Empirical Mode Decomposition crude oil price forecasting composition volatility
DOI	10.1016/j.eneco.2007.02.012
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000254883600015
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/5565
专题	系统科学研究所
通讯作者	Wang, Shou-Yang
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Grad Univ, Sch Management, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Xun,Lai, K. K.,Wang, Shou-Yang. A new approach for crude oil price analysis based on Empirical Mode Decomposition[J]. ENERGY ECONOMICS,2008,30(3):905-918.
APA	Zhang, Xun,Lai, K. K.,&Wang, Shou-Yang.(2008).A new approach for crude oil price analysis based on Empirical Mode Decomposition.ENERGY ECONOMICS,30(3),905-918.
MLA	Zhang, Xun,et al."A new approach for crude oil price analysis based on Empirical Mode Decomposition".ENERGY ECONOMICS 30.3(2008):905-918.