Crude Oil Prices Forecasting: An Approach of Using CEEMDAN-Based Multi-Layer Gated Recurrent Unit Networks

Hualing Lin and Qiubi Sun
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Hualing Lin: The Department of Statistics, School of Economics and Management, Fuzhou University, Fuzhou 350018, China
Qiubi Sun: The Department of Statistics, School of Economics and Management, Fuzhou University, Fuzhou 350018, China

Energies, 2020, vol. 13, issue 7, 1-21

Abstract: Accurate prediction of crude oil prices is meaningful for reducing firm risks, stabilizing commodity prices and maintaining national financial security. Wrong crude oil price forecasts can bring huge losses to governments, enterprises, investors and even cause economic and social instability. Many classic econometrics and computational approaches show good performance for the ordinary time series prediction tasks, but not satisfactory in crude oil price predictions. They ignore the characteristics of non-linearity and non-stationarity of crude oil prices data, which hinder an accurate prediction and eventually lead to poor accuracy or the wrong result. Empirical mode decomposition (EMD) and ensemble EMD (EEMD) solve the problems of non-stationary time series forecasting, but they also generate new problems of mode mixing and reconstruction errors. We propose a hybrid method that is combination of the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and multi-layer gated recurrent unit (ML-GRU) neural network to solve the abovementioned issues. This not only deals with the issue of mode mixing effectively, but also makes the reconstruction error of data close to zero. Multi-layer GRU has an excellent ability of nonlinear data-fitting. The experimental results of real WTI crude oil dataset show that the proposed approach perform better in crude oil prices forecasts than some state-of-the-art models.

Keywords: crude oil prices; forecasting; complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN); multi-layer gated recurrent unit (ML-GRU) (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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