 A deep learning ensemble approach for crude oil price forecastingYang Zhao, Jianping Li and Lean Yu () Energy Economics, 2017, vol. 66, issue C, 9-16 Abstract: As crude oil price is influenced by numerous factors, capturing its behavior precisely is quite challenging, and thus leads to the difficulty of forecasting. In this study, a deep learning ensemble approach is proposed to deal with this problem. In our approach, two techniques are utilized. One is an advanced deep neural network model named stacked denoising autoencoders (SDAE) which is used to model the nonlinear and complex relationships of oil price with its factors. The other is a powerful ensemble method named bootstrap aggregation (bagging) which generates multiple data sets for training a set of base models (SDAEs). Our approach combines the merits of these two techniques and is especially suitable for oil price forecasting. In the empirical study, the WTI crude oil price series are investigated and 198 economic series are used as exogenous variables. Our approach is tested against some competing approaches and shows superior forecasting ability that is statistically proved by three tests. Keywords: Crude oil price forecasting; Deep learning; Ensemble learning; Stacked denoising autoencoder; Bagging; Multivariate forecasting (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:66:y:2017:i:c:p:9-16 DOI: 10.1016/j.eneco.2017.05.023 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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