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Forecasting crude oil price with multilingual search engine data

文献类型：期刊论文

作者Li, Jingjing1; Tang, Ling1; Wang, Shouyang2,3
刊名PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
出版日期2020-08-01
卷号551页码:14
ISSN号0378-4371
关键词Big data Multilingual search engine index Crude oil price forecasting Google Trends Artificial intelligence
DOI10.1016/j.physa.2020.124178
英文摘要In the big data era, search engine data (SED) have presented new opportunities for improving crude oil price prediction; however, the existing research were confined to single-language (mostly English) search keywords in SED collection. To address such a language bias and grasp worldwide investor attention, this study proposes a novel multilingual SED-driven forecasting methodology from a global perspective. The proposed methodology includes three main steps: (1) multilingual index construction, based on multilingual SED; (2) relationship investigation, between the multilingual index and crude oil price; and (3) oil price prediction, with the multilingual index as an informative predictor. With WTI spot price as studying samples, the empirical results indicate that SED have a powerful predictive power for crude oil price; nevertheless, multilingual SED statistically demonstrate better performance than single-language SED, in terms of enhancing prediction accuracy and model robustness. (C) 2020 Elsevier B.V. All rights reserved.
资助项目National Natural Science Foundation of China[71622011] ; National Natural Science Foundation of China[71971007]
WOS研究方向Physics
语种英语
出版者ELSEVIER
WOS记录号WOS:000534417600038
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/51519]  
专题系统科学研究所
通讯作者Tang, Ling
作者单位1.Beihang Univ, Sch Econ & Management, 37 Xueyuan Rd, Beijing 100191, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Li, Jingjing,Tang, Ling,Wang, Shouyang. Forecasting crude oil price with multilingual search engine data[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,551:14.
APA Li, Jingjing,Tang, Ling,&Wang, Shouyang.(2020).Forecasting crude oil price with multilingual search engine data.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,551,14.
MLA Li, Jingjing,et al."Forecasting crude oil price with multilingual search engine data".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 551(2020):14.

入库方式： OAI收割

来源：数学与系统科学研究院

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