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Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm

文献类型：期刊论文

作者Yu, Lean1; Wang, Shouyang1; Lai, Kin Keung2
刊名ENERGY ECONOMICS
出版日期2008-09-01
卷号30期号:5页码:2623-2635
关键词empirical mode decomposition ensemble learning feed-forward neural network adaptive linear neural network crude oil price prediction
ISSN号0140-9883
DOI10.1016/j.eneco.2008.05.003
英文摘要In this study, an empirical mode decomposition (EMD) based neural network ensemble learning paradigm is proposed for world crude oil spot price forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite, and often small, number of intrinsic mode functions (IMFs). Then a three-layer feed-forward neural network (FNN) model was used to model each of the extracted IMFs, so that the tendencies of these IMFs could be accurately predicted. Finally, the prediction results of all IMF's are combined with an adaptive linear neural network (ALNN), to formulate an ensemble output for the original crude oil price Series. For verification and testing, two main crude oil price series, West Texas Intermediate (WTI) crude oil spot price and Brent crude oil spot price, are used to test the effectiveness of the proposed EMD-based neural network ensemble learning methodology. Empirical results obtained demonstrate attractiveness of the proposed EMD-based neural network ensemble learning paradigm. (C) 2008 Elsevier B.V. All rights reserved.
WOS研究方向Business & Economics
语种英语
WOS记录号WOS:000258805100032
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/6286]  
专题系统科学研究所
通讯作者Yu, Lean
作者单位1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm[J]. ENERGY ECONOMICS,2008,30(5):2623-2635.
APA Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2008).Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm.ENERGY ECONOMICS,30(5),2623-2635.
MLA Yu, Lean,et al."Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm".ENERGY ECONOMICS 30.5(2008):2623-2635.

入库方式： OAI收割

来源：数学与系统科学研究院

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