A new approach for crude oil price analysis based on Empirical Mode Decomposition
文献类型：期刊论文
| 作者 | Zhang, Xun1,2; Lai, K. K.3; Wang, Shou-Yang1,2
|
| 刊名 | ENERGY ECONOMICS
 |
| 出版日期 | 2008-05-01 |
| 卷号 | 30期号:3页码:905-918 |
| 关键词 | Empirical Mode Decomposition crude oil price forecasting composition volatility |
| ISSN号 | 0140-9883 |
| DOI | 10.1016/j.eneco.2007.02.012 |
| 英文摘要 | The importance of understanding the underlying characteristics of international crude oil price movements attracts much attention from academic researchers and business practitioners. Due to the intrinsic complexity of the oil market, however, most of them fail to produce consistently good results. Empirical Mode Decomposition (EMD), recently proposed by Huang et al., appears to be a novel data analysis method for nonlinear and non-stationary time series. By decomposing a time series into a small number of independent and concretely implicational intrinsic modes based on scale separation, EMD explains the generation of time series data from a novel perspective. Ensemble EMD (EEMD) is a substantial improvement of EMD which can better separate the scales naturally by adding white noise series to the original time series and then treating the ensemble averages as the true intrinsic modes. In this paper, we extend EEMD to crude oil price analysis. First, three crude oil price series with different time ranges and frequencies are decomposed into several independent intrinsic modes, from high to low frequency. Second, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend based on fine-to-coarse reconstruction. The economic meanings of the three components are identified as short term fluctuations caused by normal supply-demand disequilibrium or some other market activities, the effect of a shock of a significant event, and a long term trend. Finally, the EEMD is shown to be a vital technique for crude oil price analysis. (c) 2007 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000254883600015 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/5564]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wang, Shou-Yang |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Grad Univ, Sch Management, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhang, Xun,Lai, K. K.,Wang, Shou-Yang. A new approach for crude oil price analysis based on Empirical Mode Decomposition[J]. ENERGY ECONOMICS,2008,30(3):905-918. |
| APA | Zhang, Xun,Lai, K. K.,&Wang, Shou-Yang.(2008).A new approach for crude oil price analysis based on Empirical Mode Decomposition.ENERGY ECONOMICS,30(3),905-918. |
| MLA | Zhang, Xun,et al."A new approach for crude oil price analysis based on Empirical Mode Decomposition".ENERGY ECONOMICS 30.3(2008):905-918. |
入库方式： OAI收割
来源：数学与系统科学研究院
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