A multi-granularity heterogeneous combination approach to crude oil price forecasting

doi:10.1016/j.eneco.2020.104790

	A multi-granularity heterogeneous combination approach to crude oil price forecasting
	Wang, Jue 2,3; Zhou, Hao 2,3; Hong, Tao 1; Li, Xiang 2,3; Wang, Shouyang 2,3
刊名	ENERGY ECONOMICS
	2020-09-01
卷号	91 页码:9
关键词	Crude oil Price Forecast combination Feature selection Multi-granularity Artificial bee colony
ISSN号	0140-9883
DOI	10.1016/j.eneco.2020.104790
英文摘要	Crude oil price forecasting has attracted much attention due to its significance on commodities market as well as nonlinear complexity in prediction task. Combining forecasts in different granular spaces, we propose a multi-granularity heterogeneous combination approach to enhance forecasting accuracy in the study. Firstly, we introduce various feature selection techniques including filter, wrapper and embedded methods, to identify key factors that affect crude oil price and construct different granular spaces. Secondly, distinct feature subsets distinguished by different feature selection methods are incorporated to generate individual forecasts using three popular forecasting models including Linear regression (LR), Artificial neural network (ANN) and Support vector machine (SVR). Finally, the final forecasts are obtained by combining the forecasts from individual forecasting model in each granular space and the optimal weighting vector is achieved by artificial bee colony (ABC) techniques. The experimental results demonstrate that the proposed multi-granularity heterogeneous combination approach based on ABC can outperform not only individual competitive benchmarks but also single-granularity heterogeneous and multi-granularity homogenous approaches. (C) 2020 Elsevier B.V. All rights reserved.
资助项目	National Center for Mathematics and Interdisciplinary Sciences (NCMIS) ; Chinese Academy of Sciences (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
WOS记录号	WOS:000582639700002
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/52436]
专题	中国科学院数学与系统科学研究院
通讯作者	Hong, Tao
作者单位	1.Univ North Carolina Charlotte, Syst Engn & Engn Management Dept, Charlotte, NC 28223 USA 2.Chinese Acad Sci, Acad Math & Syst Sci, MADIS, CEFS, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wang, Jue,Zhou, Hao,Hong, Tao,et al. A multi-granularity heterogeneous combination approach to crude oil price forecasting[J]. ENERGY ECONOMICS,2020,91:9.
APA	Wang, Jue,Zhou, Hao,Hong, Tao,Li, Xiang,&Wang, Shouyang.(2020).A multi-granularity heterogeneous combination approach to crude oil price forecasting.ENERGY ECONOMICS,91,9.
MLA	Wang, Jue,et al."A multi-granularity heterogeneous combination approach to crude oil price forecasting".ENERGY ECONOMICS 91(2020):9.