Multiscale Combined Model Based on Run-Length-Judgment Method and Its Application in Oil Price Forecasting

Wang Shu-ping, Hu Ai-mei, Wu Zhen-xin, Liu Ya-qing and Bai Xiao-wei

Mathematical Problems in Engineering, 2014, vol. 2014, 1-9

Abstract:

Forecasting of oil price is an important area of energy market research. Based on the idea of decomposition-reconstruction-integration, this paper built a new multiscale combined forecasting model with the methods of empirical mode decomposition (EMD), artificial neural network (ANN), support vector machine (SVM), and time series methods. While building the model, we proposed a new idea to use run length judgment method to reconstruct the component sequences. Then this model was applied to analyze the fluctuation and trend of international oil price. Oil price series was decomposed and reconstructed into high frequency, medium frequency, low frequency, and trend sequences. Different features of fluctuation can be explained by irregular factors, season factors, major events, and long-term trend. Empirical analysis showed that the multiscale combined model obtained the best forecasting result compared with single models including ARIMA, Elman, SVM, and GARCH and combined models including ARIMA-SVM model and EMD-SVM-SVM method.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:513201

DOI: 10.1155/2014/513201

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