A novel multiscale forecasting model for crude oil price time series
Li, Ranran1; Hu, Yucai1; Heng, Jiani2; Chen, Xueli3,4
AbstractForecasting 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.
KeywordCrude oil price forecasting Decomposition-ensemble method Support vector machine Multiscale strategy Complexity analysis
Indexed BySCI
Funding ProjectS&T Program of Hebei[G2021203007] ; Science and Technology Project of Hebei Education Department[BJ2021060] ; National Natural Sciences Foundation of China[7210031644]
WOS Research AreaBusiness & Economics ; Public Administration
WOS SubjectBusiness ; Regional & Urban Planning
WOS IDWOS:000701823900014
Citation statistics
Document Type期刊论文
Corresponding AuthorChen, Xueli
Affiliation1.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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Li, Ranran]'s Articles
[Hu, Yucai]'s Articles
[Heng, Jiani]'s Articles
Baidu academic
Similar articles in Baidu academic
[Li, Ranran]'s Articles
[Hu, Yucai]'s Articles
[Heng, Jiani]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Li, Ranran]'s Articles
[Hu, Yucai]'s Articles
[Heng, Jiani]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.