Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm

doi:10.1016/j.eneco.2008.05.003

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	Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm
	Yu, Lean 1; Wang, Shouyang1 ; Lai, Kin Keung 2
	2008-09-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	30 期号:5 页码:2623-2635
摘要	In this study, an empirical mode decomposition (EMD) based neural network ensemble learning paradigm is proposed for world crude oil spot price forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite, and often small, number of intrinsic mode functions (IMFs). Then a three-layer feed-forward neural network (FNN) model was used to model each of the extracted IMFs, so that the tendencies of these IMFs could be accurately predicted. Finally, the prediction results of all IMF's are combined with an adaptive linear neural network (ALNN), to formulate an ensemble output for the original crude oil price Series. For verification and testing, two main crude oil price series, West Texas Intermediate (WTI) crude oil spot price and Brent crude oil spot price, are used to test the effectiveness of the proposed EMD-based neural network ensemble learning methodology. Empirical results obtained demonstrate attractiveness of the proposed EMD-based neural network ensemble learning paradigm. (C) 2008 Elsevier B.V. All rights reserved.
关键词	empirical mode decomposition ensemble learning feed-forward neural network adaptive linear neural network crude oil price prediction
DOI	10.1016/j.eneco.2008.05.003
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000258805100032
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/6287
专题	系统科学研究所
通讯作者	Yu, Lean
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm[J]. ENERGY ECONOMICS,2008,30(5):2623-2635.
APA	Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2008).Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm.ENERGY ECONOMICS,30(5),2623-2635.
MLA	Yu, Lean,et al."Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm".ENERGY ECONOMICS 30.5(2008):2623-2635.