Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron

Mengrui Zhu, Hua Xu, Minggang Wang and Lixin Tian

Physica A: Statistical Mechanics and its Applications, 2024, vol. 636, issue C

Abstract: Low-carbon development is an inevitable choice under global climate change, and carbon markets have emerged accordingly. Carbon price forecasting is a crucial aspect of research on carbon-reduction strategies. Traditional forecasting methods are mostly focused on point-valued time series and contain limited information, which causes point forecasting to lose volatility information. Such limitations highlight the importance of proposing a precise interval-valued time series prediction system. To address this issue, we propose a carbon price interval forecasting framework based on a probability density recurrence network and interval multi-layer perceptron (MLPI) from the perspective of uncertainty in the presence of carbon price fluctuations. First, we convert the original data into a probability density sequence using kernel density estimation and then build the network. To extract valid information and exclude abnormal data in the carbon price sample data, we clean the data using network topology and link prediction theory; then, the MLPI model is used for interval forecasting. To verify the forecasting performance of this method, we conduct an empirical analysis using real interval-valued carbon futures price data from the EU carbon market and compare its forecasting precision with other models under the same conditions. The results show that the proposed carbon price interval prediction framework is superior to traditional methods in terms of forecasting precision.

Keywords: Carbon price; Interval forecast; Probability density recurrence network; Interval multi-layer perceptron (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:636:y:2024:i:c:s0378437124000517

DOI: 10.1016/j.physa.2024.129543

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