KMS Of Academy of mathematics and systems sciences, CAS
| A novel multiscale forecasting model for crude oil price time series | |
| Li, Ranran1; Hu, Yucai1; Heng, Jiani2; Chen, Xueli3,4 | |
| 2021-12-01 | |
| Source Publication | TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
 |
| ISSN | 0040-1625 |
| Volume | 173Pages:15 |
| Abstract | Forecasting crude oil prices is an essential research field in the international bulk commodities market. However, price movements present more complex nonlinear behavior due to an increasingly diverse range of risk factors. To achieve better accuracy, this study explores a novel multiscale hybrid paradigm to estimate crude oil prices. The method takes advantage of the variational mode decomposition method to decompose the crude oil price into several simple models, which can be explained using regular factors, irregular factors and trends. Data characteristic analysis is conducted to identify the complexity of different components of the time series. It is important for a multiscale model to select an appropriate model to produce the optimal forecasts. Thus, the final forecasted values are generated by reconstituting all these forecasting items. By investigating the West Texas Intermediate and Brent crude oil prices, this paper presents how data characteristic identification and analysis are conducted in a multiscale paradigm. The empirical analysis proves that the proposed model can achieve superior forecasting results, which indicates the effectiveness of the multiscale model at forecasting complex time series, especially crude oil prices. |
| Keyword | Crude oil price forecasting Decomposition-ensemble method Support vector machine Multiscale strategy Complexity analysis |
| DOI | 10.1016/j.techfore.2021.121181 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | S&T Program of Hebei[G2021203007] ; Science and Technology Project of Hebei Education Department[BJ2021060] ; National Natural Sciences Foundation of China[7210031644] |
| WOS Research Area | Business & Economics ; Public Administration |
| WOS Subject | Business ; Regional & Urban Planning |
| WOS ID | WOS:000701823900014 |
| Publisher | ELSEVIER SCIENCE INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59360 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Chen, Xueli |
| Affiliation | 1.Yanshan Univ, Sch Econ & Management, Qinhuangdao 066004, Hebei, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Anhui Univ Finance & Econ, Sch Languages & Media, 962 Caoshan Rd, Bengbu 233030, Peoples R China 4.Chinese Acad Social Sci, Inst Journalism & Commun, Beijing 100732, Peoples R China |
| Recommended Citation GB/T 7714 | Li, Ranran,Hu, Yucai,Heng, Jiani,et al. A novel multiscale forecasting model for crude oil price time series[J]. TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,2021,173:15. |
| APA | Li, Ranran,Hu, Yucai,Heng, Jiani,&Chen, Xueli.(2021).A novel multiscale forecasting model for crude oil price time series.TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,173,15. |
| MLA | Li, Ranran,et al."A novel multiscale forecasting model for crude oil price time series".TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE 173(2021):15. |
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