Multiscale Combined Model Based on Run-Length-Judgment Method and Its Application in Oil Price Forecasting
Joint Authors
Zhen-xin, Wu
Ya-qing, Liu
Xiao-wei, Bai
Shu-ping, Wang
Ai-mei, Hu
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-12
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Forecasting of oil price is an important area of energy market research.
Based on the idea of decomposition-reconstruction-integration, this paper built a new multiscale combined forecasting model with the methods of empirical mode decomposition (EMD), artificial neural network (ANN), support vector machine (SVM), and time series methods.
While building the model, we proposed a new idea to use run length judgment method to reconstruct the component sequences.
Then this model was applied to analyze the fluctuation and trend of international oil price.
Oil price series was decomposed and reconstructed into high frequency, medium frequency, low frequency, and trend sequences.
Different features of fluctuation can be explained by irregular factors, season factors, major events, and long-term trend.
Empirical analysis showed that the multiscale combined model obtained the best forecasting result compared with single models including ARIMA, Elman, SVM, and GARCH and combined models including ARIMA-SVM model and EMD-SVM-SVM method.
American Psychological Association (APA)
Shu-ping, Wang& Ai-mei, Hu& Zhen-xin, Wu& Ya-qing, Liu& Xiao-wei, Bai. 2014. Multiscale Combined Model Based on Run-Length-Judgment Method and Its Application in Oil Price Forecasting. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-477584
Modern Language Association (MLA)
Shu-ping, Wang…[et al.]. Multiscale Combined Model Based on Run-Length-Judgment Method and Its Application in Oil Price Forecasting. Mathematical Problems in Engineering No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-477584
American Medical Association (AMA)
Shu-ping, Wang& Ai-mei, Hu& Zhen-xin, Wu& Ya-qing, Liu& Xiao-wei, Bai. Multiscale Combined Model Based on Run-Length-Judgment Method and Its Application in Oil Price Forecasting. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-477584
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-477584