Crude oil price forecasting based on internet concern using an extreme learning machine

doi:10.1016/j.ijforecast.2018.03.009

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	Crude oil price forecasting based on internet concern using an extreme learning machine
	Wang, Jue1,2 ; Athanasopoulos, George 3; Hyndman, Rob J.3; Wang, Shouyang1,2
刊名	INTERNATIONAL JOURNAL OF FORECASTING
	2018-10-01
卷号	34 期号:4 页码:665-677
关键词	Crude oil futures price Internet concern BEMD ELM
ISSN号	0169-2070
DOI	10.1016/j.ijforecast.2018.03.009
英文摘要	The growing internet concern (IC) over the crude oil market and related events influences market trading, thus creating further instability within the oil market itself. We propose a modeling framework for analyzing the effects of IC on the oil market and for predicting the price volatility of crude oil's futures market. This novel approach decomposes the original time series into intrinsic modes at different time scales using bivariate empirical mode decomposition (BEMD). The relationship between the oil price volatility and IC at an individual frequency is investigated. By utilizing decomposed intrinsic modes as specified characteristics, we also construct extreme learning machine (ELM) models with variant forecasting schemes. The experimental results illustrate that ELM models that incorporate intrinsic modes and IC outperform the baseline ELM and other benchmarks at distinct horizons. Having the power to improve the accuracy of baseline models, internet searching is a practical way of quantifying investor attention, which can help to predict short-run price fluctuations in the oil market. (C) 2018 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
资助项目	Youth Innovation Promotion Association, CAS[2014004] ; National Center for Mathematics and Interdisciplinary Sciences (NCMIS)[629092ZZ1] ; CAS ; National Natural Science Foundation of China (NSFC)[71771208] ; National Natural Science Foundation of China (NSFC)[71271202]
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000447104600008
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/31393]
专题	系统科学研究所
通讯作者	Wang, Jue
作者单位	1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, CEFS, MADIS, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Monash Univ, Dept Econometr & Business Stat, Clayton, Vic, Australia
推荐引用方式 GB/T 7714	Wang, Jue,Athanasopoulos, George,Hyndman, Rob J.,et al. Crude oil price forecasting based on internet concern using an extreme learning machine[J]. INTERNATIONAL JOURNAL OF FORECASTING,2018,34(4):665-677.
APA	Wang, Jue,Athanasopoulos, George,Hyndman, Rob J.,&Wang, Shouyang.(2018).Crude oil price forecasting based on internet concern using an extreme learning machine.INTERNATIONAL JOURNAL OF FORECASTING,34(4),665-677.
MLA	Wang, Jue,et al."Crude oil price forecasting based on internet concern using an extreme learning machine".INTERNATIONAL JOURNAL OF FORECASTING 34.4(2018):665-677.