A novel link prediction model for interval-valued crude oil prices based on complex network and multi-source information

Jinpei Liu, Xiaoman Zhao, Rui Luo and Zhifu Tao

Applied Energy, 2024, vol. 376, issue PB, No S0306261924016441

Abstract: Accurate crude oil price forecasting is crucial for maintaining energy economy stability and enhancing investment and operational decision-making. Nowadays, the link prediction model for crude oil prices based on a complex network model has become an emerging and promising approach. However, existing link prediction methods are unable to extract complex information about interval-valued crude oil prices, and fail to consider the impact of multi-source information. Therefore, this paper proposes the link prediction model for interval-valued crude oil prices using complex network and multi-source information, which converts crude oil price interval series into complex networks. Through link prediction, it takes into account both the impact of past interval-crude oil prices on future interval time series and the interference of external real-time information on interval-valued prices. First, news headlines and geopolitical risk indices related to crude oil prices are captured, and search index data and news sentiment scores associated with interval data are analyzed. Subsequently, the interval sequence data and related influencing factors are decomposed and reconstructed respectively. The reconstructed interval center and radius sequence are then converted into a directed network, and node similarity in the network is calculated to generate similar nodes of the interval subsequence as feature values. Finally, multiple machine learning models are employed to acquire the optimal weighted combination prediction with interval prediction values. According to the experimental data, this approach outperforms other benchmark methods in terms of prediction accuracy.

Keywords: Interval-valued crude oil price; Directed visibility graph networks; Machine learning; Link prediction; Multi-source information (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.apenergy.2024.124261

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