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Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting

文献类型：期刊论文

作者Yu, Lean1; Zhang, Xun2; Wang, Shouyang2
刊名EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION
出版日期2017-12-01
卷号13期号:12页码:7893-7904
关键词support vector machines artificial neural networks ARIMA model ARFIMA model Markov-switching ARFIMA model
ISSN号1305-8215
DOI10.12973/ejmste/77926
英文摘要Crude oil price forecasting is one of the most important topics in the field of energy research. Accordingly, numerous methods such as statistical, econometrical and intelligent approaches are applied for crude oil price forecasting. In this paper, a typical competitive learning algorithm, support vector machine (SVM), is empirically investigated to verify the feasibility and potentiality of SVM in crude oil price forecasting. For this purpose, five different prediction models, feed-forward neural networks (FNN), auto-regressive integrated moving average (ARIMA) model, fractional integrated ARIMA (ARFIMA) model, Markov-switching ARFIMA (MS-ARFIMA) model, and random walk (RW) model are used in the study. Experimental results obtained show that the SVM model outperforms the other five methods, implying that it is a fairly good candidate for crude oil price forecasting in terms of either one-step prediction or multi-step prediction.
资助项目National Natural Science Foundation of China (NSFC)[71433001] ; National Natural Science Foundation of China (NSFC)[71622011] ; National Natural Science Foundation of China (NSFC)[71301006] ; National Program for Support of Top Notch Young Professionals ; Beijing Advanced Innovation Center for Soft Matter Science and Engineering
WOS研究方向Education & Educational Research
语种英语
WOS记录号WOS:000417628000027
出版者ISER PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/29216]  
专题系统科学研究所
通讯作者Yu, Lean
作者单位1.Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Yu, Lean,Zhang, Xun,Wang, Shouyang. Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting[J]. EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION,2017,13(12):7893-7904.
APA Yu, Lean,Zhang, Xun,&Wang, Shouyang.(2017).Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting.EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION,13(12),7893-7904.
MLA Yu, Lean,et al."Assessing Potentiality of Support Vector Machine Method in Crude Oil Price Forecasting".EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION 13.12(2017):7893-7904.

入库方式： OAI收割

来源：数学与系统科学研究院

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