International Gold Price Forecast Based on CEEMDAN and Support Vector Regression with Grey Wolf Algorithm

Wanbo Lu, Tingting Qiu, Wenhui Shi, Xiaojun Sun and Eric Campos

Complexity, 2022, vol. 2022, 1-12

Abstract: Considering the complexity pattern of the gold price, this paper adopts the decomposition-reconstruction-forecast-mergence scheme to perform the international gold price forecast. The original gold price data are decomposed into 12 intrinsic mode functions and a residual by the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) method, and then the 13 sequences are reconstructed into a high-frequency subsequence (IMFH), a low-frequency subsequence (IMFL), and the residual (Res). According to the different characteristics of the subsequences, the IMFL and Res are forecasted by the support vector regression (SVR) model. Besides, in order to further improve the prediction accuracy of IMFH, we have developed a novel hybrid method based on the support vector regression (SVR) model and the grey wolf optimizer (GWO) algorithm with SVR for predicting the IMFH of gold prices, i.e., the CEEMDAN-GWO-SVR model. This hybrid model combines the methodology of complex systems with machine learning techniques, making it more appropriate for analyzing relationships such as high-frequency dependences and solving complex nonlinear problems. Finally, the final result is obtained by combining the forecasting results of the three subsequences. The empirical results show that the proposed model demonstrates the highest prediction ability among all of the investigated models in a comparison of prediction errors with other individual models.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2022/1511479.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2022/1511479.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:1511479

DOI: 10.1155/2022/1511479

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().