Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model

المؤلفون المشاركون

Zhu, Qing
Lai, Kin Keung
He, Kaijian
Zou, Yingchao

المصدر

The Scientific World Journal

العدد

المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-10، 10ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2014-06-25

دولة النشر

مصر

عدد الصفحات

10

التخصصات الرئيسية

الطب البشري
تكنولوجيا المعلومات وعلم الحاسوب

الملخص EN

As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity.

Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact.

The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement.

This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets.

Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure.

The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process.

Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Zhu, Qing& He, Kaijian& Zou, Yingchao& Lai, Kin Keung. 2014. Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model. The Scientific World Journal،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1049252

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Zhu, Qing…[et al.]. Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model. The Scientific World Journal No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-1049252

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Zhu, Qing& He, Kaijian& Zou, Yingchao& Lai, Kin Keung. Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model. The Scientific World Journal. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-1049252

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-1049252