A Crude Oil Spot Price Forecasting Method Incorporating Quadratic Decomposition and Residual Forecasting

IF 1.3 4区 数学 Q1 MATHEMATICS Journal of Mathematics Pub Date : 2024-04-15 DOI:10.1155/2024/6652218
Yonghui Duan, Ziru Ming, Xiang Wang
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Abstract

The world economy is affected by fluctuations in the price of crude oil, making precise and effective forecasting of crude oil prices essential. In this study, we propose a combined forecasting scheme, which combines a quadratic decomposition and optimized support vector regression (SVR). In the decomposition part, the original crude oil price series are first decomposed using empirical modal decomposition (CEEMDAN), and then the residuals of the first decomposition (RES) are decomposed using variational modal decomposition (VMD). Additionally, this work proposes to optimize the support vector regression model (SVR) by the seagull optimization algorithm (SOA). Ultimately, the empirical investigation created the feature-variable system and predicted the filtered features. By computing evaluation indices like MAE, MSE, , and MAPE and validating using Brent and WTI crude oil spot, the prediction errors of the CEEMDAN -RES.-VMD -SOA-SVR combination prediction model presented in this paper are assessed and compared with those of the other twelve comparative models. The empirical evidence shows that the combination model being proposed in this paper outperforms the other related comparative models and improves the accuracy of the crude oil price forecasting model.
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包含二次分解和残差预测的原油现货价格预测方法
世界经济受到原油价格波动的影响,因此对原油价格进行精确有效的预测至关重要。在本研究中,我们提出了一种结合二次分解和优化支持向量回归(SVR)的组合预测方案。在分解部分,首先使用经验模态分解(CEEMDAN)对原始原油价格序列进行分解,然后使用变异模态分解(VMD)对第一次分解的残差(RES)进行分解。此外,本研究还提出通过海鸥优化算法(SOA)来优化支持向量回归模型(SVR)。最终,实证调查创建了特征变量系统,并预测了过滤后的特征。通过计算 MAE、MSE 和 MAPE 等评价指标,并使用布伦特和 WTI 原油现货进行验证,评估了本文提出的 CEEMDAN -RES.-VMD -SOA-SVR 组合预测模型的预测误差,并与其他 12 个比较模型的预测误差进行了比较。实证结果表明,本文提出的组合模型优于其他相关比较模型,提高了原油价格预测模型的准确性。
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来源期刊
Journal of Mathematics
Journal of Mathematics Mathematics-General Mathematics
CiteScore
2.50
自引率
14.30%
发文量
0
期刊介绍: Journal of Mathematics is a broad scope journal that publishes original research articles as well as review articles on all aspects of both pure and applied mathematics. As well as original research, Journal of Mathematics also publishes focused review articles that assess the state of the art, and identify upcoming challenges and promising solutions for the community.
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