Crude Oil Price Forecasting Using Ensemble Empirical Mode Decomposition and Generalized Regression Neural Networks

2017 ◽  
Vol 23 (12) ◽  
pp. 12413-12416
Author(s):  
Sri Herawati ◽  
M Latif
Keyword(s):  
Neural Networks ◽  
Crude Oil ◽  
Empirical Mode Decomposition ◽  
Ensemble Empirical Mode Decomposition ◽  
Oil Price ◽  
Price Forecasting ◽  
Crude Oil Price ◽  
Generalized Regression Neural Networks ◽  
Mode Decomposition ◽  
Generalized Regression

scholarly journals A New Approach for Forecasting Crude Oil Prices Using Median Ensemble Empirical Mode Decomposition and Group Method of Data Handling

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Waqas Ahmad ◽  
Muhammad Aamir ◽  
Umair Khalil ◽  
Muhammad Ishaq ◽  
Nadeem Iqbal ◽  
...  
Keyword(s):  
Time Series ◽  
Crude Oil ◽  
Empirical Mode Decomposition ◽  
Ensemble Empirical Mode Decomposition ◽  
Oil Price ◽  
Group Method ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Mode Decomposition ◽  
Proposed Model

The accuracy of time series forecasting is more important and can assist organizations to take up-to-date decisions for better planning and management. Several classical econometrics and computational approaches show promising results for the ordinary time series forecasting tasks, but they are not satisfactory in crude oil price forecasting. Ensemble empirical mode decomposition (EEMD) not only resolves the problem of nonlinearity and nonstationarity of time series prediction but also creates some problems (i.e., mood mixing and splitting). In this study, we proposed a new hybrid method that combines the median ensemble empirical mode decomposition and group method of data handling (MEEMD-GMDH) to reduce mood splitting problems and forecast crude oil price. MEEMD is achieved by replacing the mean operator with the median operator during the EEMD process. For testing and validation purposes of the different models, the two-seat stamp benchmarked crude oil price data are used (i.e., Brent and West Texas Intermediate (WTI)). To check the proposed model performance, different evaluation measures are used including Root Mean Square Error (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and Diebold-Mariano (DM) test. All the forecasting accuracy measures confirmed that our proposed model performs well in crude oil prices forecasting as compared to other hybrid models.

scholarly journals Forecasting Daily Crude Oil Prices Using Improved CEEMDAN and Ridge Regression-Based Predictors

Energies ◽  
2019 ◽  
Vol 12 (19) ◽  
pp. 3603 ◽  
Author(s):  
Taiyong Li ◽  
Yingrui Zhou ◽  
Xinsheng Li ◽  
Jiang Wu ◽  
Ting He
Keyword(s):  
Crude Oil ◽  
Ridge Regression ◽  
Global Economy ◽  
Evaluation Criteria ◽  
Oil Prices ◽  
Ensemble Empirical Mode Decomposition ◽  
Oil Price ◽  
Price Forecasting ◽  
Crude Oil Price ◽  
Crude Oil Prices

As one of the leading types of energy, crude oil plays a crucial role in the global economy. Understanding the movement of crude oil prices is very attractive for producers, consumers and even researchers. However, due to its complex features of nonlinearity and nonstationarity, it is a very challenging task to accurately forecasting crude oil prices. Inspired by the well-known framework “decomposition and ensemble” in signal processing and/or time series forecasting, we propose a new approach that integrates the improved complete ensemble empirical mode decomposition with adaptive noise (ICEEMDAN), differential evolution (DE) and several types of ridge regression (RR), namely, ICEEMDAN-DE-RR, for more accurate crude oil price forecasting in this paper. The proposed approach consists of three steps. First, we use the ICEEMDAN to decompose the complex daily crude oil price series into several relatively simple components. Second, ridge regression or kernel ridge regression is employed to forecast each decomposed component. To enhance the accuracy of ridge regression, DE is used to jointly optimize the regularization item, the weights and parameters of each single kernel for each component. Finally, the predicted results of all components are aggregated as the final predicted results. The publicly available West Texas Intermediate (WTI) daily crude oil spot prices are used to validate the performance of the proposed approach. The experimental results indicate that the proposed approach can achieve better performance than some state-of-the-art approaches in terms of several evaluation criteria, demonstrating that the proposed ICEEMDAN-DE-RR is very promising for daily crude oil price forecasting.

scholarly journals Crude Oil Prices Forecasting: An Approach of Using CEEMDAN-Based Multi-Layer Gated Recurrent Unit Networks

Energies ◽  
2020 ◽  
Vol 13 (7) ◽  
pp. 1543 ◽  
Author(s):  
Hualing Lin ◽  
Qiubi Sun
Keyword(s):  
Time Series ◽  
Crude Oil ◽  
Empirical Mode Decomposition ◽  
Oil Prices ◽  
Oil Price ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Mode Decomposition ◽  
Gated Recurrent Unit ◽  
Mode Mixing

Accurate prediction of crude oil prices is meaningful for reducing firm risks, stabilizing commodity prices and maintaining national financial security. Wrong crude oil price forecasts can bring huge losses to governments, enterprises, investors and even cause economic and social instability. Many classic econometrics and computational approaches show good performance for the ordinary time series prediction tasks, but not satisfactory in crude oil price predictions. They ignore the characteristics of non-linearity and non-stationarity of crude oil prices data, which hinder an accurate prediction and eventually lead to poor accuracy or the wrong result. Empirical mode decomposition (EMD) and ensemble EMD (EEMD) solve the problems of non-stationary time series forecasting, but they also generate new problems of mode mixing and reconstruction errors. We propose a hybrid method that is combination of the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and multi-layer gated recurrent unit (ML-GRU) neural network to solve the abovementioned issues. This not only deals with the issue of mode mixing effectively, but also makes the reconstruction error of data close to zero. Multi-layer GRU has an excellent ability of nonlinear data-fitting. The experimental results of real WTI crude oil dataset show that the proposed approach perform better in crude oil prices forecasts than some state-of-the-art models.

A New Hybrid Model for Forecasting Crude Oil Price and the Techniques in the Model

2014 ◽  
Vol 974 ◽  
pp. 310-317 ◽  
Author(s):  
Jing Wen Zheng ◽  
Shi Xiao Li ◽  
Yang Kun
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Crude Oil ◽  
Hybrid Model ◽  
Oil Prices ◽  
Oil Price ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Mode Decomposition

Being able to predict crude oil prices with a reputation of intransigence to analysis or the directions of changing in crude oil price is of increasing value. We seek a method to forecast oil prices with precise predictions. In this paper, a hybrid model was proposed, which firstly decomposes the crude oil prices into several time series with different frequencies,then predict these time series which are not white noises, and at last integrate the predictions as the final results. We use Ensemble Empirical Mode Decomposition (EEMD) and Empirical Mode Decomposition (EMD) separately as the technique to decompose crude oil prices. Then we use Dynamic Artificial Neural Network (DAN2) and Back Propagation (BP) Neural Network separately as the technique to predict the deposed time series, and finally integrate the predictions produced by DAN2 or BP by Adaptive Linear Neural Network (ALNN) as the final result of predictions. EEMD has been proved as a very useful method to decompose the nonlinear and non-stationary time series, and DAN2, different from traditional artificial neural networks, also has obvious advantages over traditional ones. In this paper, EEMD and DAN2 are used to predict crude oil prices at the first time。 All in all, we build four models-EEMD-DAN2-ALNN, EMD-BP-ALNN, EEMD-BP-ALNN and EMD-DAN2-ALNN to test which technique, EMD or EEMD, could do better job in decomposition of crude oil prices in this kind of hybrid model and whetherDAN2 could outshine BP when used in this hybrid model. Experimental results of four hybrid models indicate EEMD-DAN2-ALNN could gives the most precise predictions of crude oil prices, and DAN2 has a better performance than traditional neural networks-BP,when used in this hybrid model and EEMD could do a better job than EMD in decomposition of crude oil prices to yield precise predictions of crude oil prices in this model.

scholarly journals Analisis Kinerja Gabungan Metode Ensemble Empirical Mode Decomposition Dan Generalized Regression Neural Network

2016 ◽  
Vol 8 (2) ◽  
pp. 132
Author(s):  
Sri Herawati ◽  
M Latif
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Crude Oil ◽  
Empirical Mode Decomposition ◽  
Learning Process ◽  
Ensemble Empirical Mode Decomposition ◽  
Generalized Regression Neural Network ◽  
Crude Oil Prices ◽  
Mode Decomposition ◽  
Generalized Regression

Abstract—The method of time series suitable for use when it checks each data patterns systematically and has many variables, such as in the case of crude oil prices. One study that utilizes the methods of time series is the integration between Ensemble Empirical Mode Decomposition (EEMD) and neural network algorithms based on Polak-Ribiere Conjugate Gradient (PCG). However, PCG requires setting free parameters in the learning process. Meanwhile, the appropriate parameters are needed to get accurate forecasting results. This research proposes the integration between EEMD and Generalized Regression Neural Network (GRNN). GRNN has advantages, such as: does not require any parameter settings and a quick learning process. For the evaluation, the performance of the method EEMD-GRNN compared with GRNN. The experimental results showed that the method EEMD-GRNN produce better forecasting of GRNN. Keywords-Forecasting crude oil price; EEMD;GRNN.

A Novel CEEMD-Based EELM Ensemble Learning Paradigm for Crude Oil Price Forecasting

2015 ◽  
Vol 14 (01) ◽  
pp. 141-169 ◽  
Author(s):  
Ling Tang ◽  
Wei Dai ◽  
Lean Yu ◽  
Shouyang Wang
Keyword(s):  
Crude Oil ◽  
Empirical Mode Decomposition ◽  
Ensemble Learning ◽  
Prediction Accuracy ◽  
Oil Price ◽  
Series Data ◽  
The Novel ◽  
Crude Oil Price ◽  
Learning Paradigm ◽  
Mode Decomposition

To enhance the prediction accuracy for crude oil price, a novel ensemble learning paradigm coupling complementary ensemble empirical mode decomposition (CEEMD) and extended extreme learning machine (EELM) is proposed. This novel method is actually an improved model under the effective "decomposition and ensemble" framework, especially for nonlinear, complex, and irregular data. In this proposed method, CEEMD, a current extension from the competitive decomposition family of empirical mode decomposition (EMD), is first applied to divide the original data (i.e., difficult task) into a number of components (i.e., relatively easy subtasks). Then, EELM, a recently developed, powerful, fast and stable intelligent learning technique, is implemented to predict all extracted components individually. Finally, these predicted results are aggregated into an ensemble result as the final prediction using simple addition ensemble method. With the crude oil spot prices of WTI and Brent as sample data, the empirical results demonstrate that the novel CEEMD-based EELM ensemble model statistically outperforms all listed benchmarks (including typical forecasting techniques and similar ensemble models with other decomposition and ensemble tools) in prediction accuracy. The results also indicate that the novel model can be used as a promising forecasting tool for complicated time series data with high volatility and irregularity.

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