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Interval Forecasting of Carbon Futures Prices Using a Novel Hybrid Approach with Exogenous Variables
Joint Authors
Xiong, Tao
Zhang, Lu
Zhang, Junbiao
Su, Chiao
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-08-09
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper examines the interval forecasting of carbon futures prices in one of the most important carbon futures market.
Specifically, the purpose of this study is to present a novel hybrid approach, which is composed of multioutput support vector regression (MSVR) and particle swarm optimization (PSO), in the task of forecasting the highest and lowest prices of carbon futures on the next trading day.
Furthermore, we set out to investigate if considering some potential predictors, which have strong influence on carbon futures prices, in modeling process is useful for achieving better prediction performance.
Aiming at testing its effectiveness, we benchmark the forecasting performance of our approach against four competitors.
The daily interval prices of carbon futures contracts traded in the Intercontinental Futures Exchange from August 12, 2010, to November 13, 2014, are used as the experiment dataset.
The statistical significance of the interval forecasts is examined.
The proposed hybrid approach is found to demonstrate the higher forecasting performance relative to all other competitors.
Our application offers practitioners a promising set of results with interval forecasting in carbon futures market.
American Psychological Association (APA)
Zhang, Lu& Zhang, Junbiao& Xiong, Tao& Su, Chiao. 2017. Interval Forecasting of Carbon Futures Prices Using a Novel Hybrid Approach with Exogenous Variables. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-12.
https://search.emarefa.net/detail/BIM-1151588
Modern Language Association (MLA)
Zhang, Lu…[et al.]. Interval Forecasting of Carbon Futures Prices Using a Novel Hybrid Approach with Exogenous Variables. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-12.
https://search.emarefa.net/detail/BIM-1151588
American Medical Association (AMA)
Zhang, Lu& Zhang, Junbiao& Xiong, Tao& Su, Chiao. Interval Forecasting of Carbon Futures Prices Using a Novel Hybrid Approach with Exogenous Variables. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-12.
https://search.emarefa.net/detail/BIM-1151588
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151588