Forecasting crude oil price with multilingual search engine data

doi:10.1016/j.physa.2020.124178

	Forecasting crude oil price with multilingual search engine data
	Li, Jingjing 2; Tang, Ling 2; Wang, Shouyang 1,3
刊名	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
	2020-08-01
卷号	551 页码:14
关键词	Big data Multilingual search engine index Crude oil price forecasting Google Trends Artificial intelligence
ISSN号	0378-4371
DOI	10.1016/j.physa.2020.124178
英文摘要	In the big data era, search engine data (SED) have presented new opportunities for improving crude oil price prediction; however, the existing research were confined to single-language (mostly English) search keywords in SED collection. To address such a language bias and grasp worldwide investor attention, this study proposes a novel multilingual SED-driven forecasting methodology from a global perspective. The proposed methodology includes three main steps: (1) multilingual index construction, based on multilingual SED; (2) relationship investigation, between the multilingual index and crude oil price; and (3) oil price prediction, with the multilingual index as an informative predictor. With WTI spot price as studying samples, the empirical results indicate that SED have a powerful predictive power for crude oil price; nevertheless, multilingual SED statistically demonstrate better performance than single-language SED, in terms of enhancing prediction accuracy and model robustness. (C) 2020 Elsevier B.V. All rights reserved.
资助项目	National Natural Science Foundation of China[71622011] ; National Natural Science Foundation of China[71971007]
WOS研究方向	Physics
语种	英语
出版者	ELSEVIER
WOS记录号	WOS:000534417600038
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/51519]
专题	中国科学院数学与系统科学研究院
通讯作者	Tang, Ling
作者单位	1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Beihang Univ, Sch Econ & Management, 37 Xueyuan Rd, Beijing 100191, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Li, Jingjing,Tang, Ling,Wang, Shouyang. Forecasting crude oil price with multilingual search engine data[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,551:14.
APA	Li, Jingjing,Tang, Ling,&Wang, Shouyang.(2020).Forecasting crude oil price with multilingual search engine data.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,551,14.
MLA	Li, Jingjing,et al."Forecasting crude oil price with multilingual search engine data".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 551(2020):14.