Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression

Bangzhu Zhu, Dong Han, Ping Wang, Zhanchi Wu, Tao Zhang and Yi-Ming Wei

Applied Energy, 2017, vol. 191, issue C, 530 pages

Abstract: Conventional methods are less robust in terms of accurately forecasting non-stationary and nonlineary carbon prices. In this study, we propose an empirical mode decomposition-based evolutionary least squares support vector regression multiscale ensemble forecasting model for carbon price forecasting. Firstly, each carbon price is disassembled into several simple modes with high stability and high regularity via empirical mode decomposition. Secondly, particle swarm optimization-based evolutionary least squares support vector regression is used to forecast each mode. Thirdly, the forecasted values of all the modes are composed into the ones of the original carbon price. Finally, using four different-matured carbon futures prices under the European Union Emissions Trading Scheme as samples, the empirical results show that the proposed model is more robust than the other popular forecasting methods in terms of statistical measures and trading performances.

Keywords: Carbon price forecasting; Empirical mode decomposition; Least squares support vector regression; Particle swarm optimization (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (88)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:191:y:2017:i:c:p:521-530

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DOI: 10.1016/j.apenergy.2017.01.076

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