Predicting the Carbon Price Sequence in the Shenzhen Emissions Exchange Using a Multiscale Ensemble Forecasting Model Based on Ensemble Empirical Mode Decomposition

Jianguo Zhou, Xuechao Yu and Xiaolei Yuan
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Jianguo Zhou: Department of Economics and Management, North China Electric Power University, 689 Huadian Road, Baoding 071000, China
Xuechao Yu: Department of Economics and Management, North China Electric Power University, 689 Huadian Road, Baoding 071000, China
Xiaolei Yuan: State Grid of Dezhou Power Supply Company, 1237 New Lake Street, Dezhou 253000, China

Energies, 2018, vol. 11, issue 7, 1-17

Abstract: Accurately predicting the carbon price sequence is important and necessary for promoting the development of China’s national carbon trading market. In this paper, a multiscale ensemble forecasting model that is based on ensemble empirical mode decomposition (EEMD-ADD) is proposed to predict the carbon price sequence. First, the ensemble empirical mode decomposition (EEMD) is applied to decompose a carbon price sequence, SZA2013, into several intrinsic mode functions (IMFs) and one residual. Second, the IMFs and the residual are restructured via a fine-to-coarse reconstruction algorithm to generate three stationary and regular frequency components that high frequency component, low frequency component, and trend component. The fluctuation of each component can effectively reveal the factors that influence market operation. Third, extreme learning machine (ELM) is applied to forecast the trend component, support vector machine (SVM) is applied to forecast the low frequency component and the high frequency component is predicted via PSO-ELM, which means extreme learning machine whose input weights and bias threshold were optimized by particle swarm optimization. Then, the predicted values are combined to form a final predicted value. Finally, using the relevant error-type and trend-type performance indexes, the proposed multiscale ensemble forecasting model is shown to be more robust and accurate than the single format models. Three additional emission allowances from the Shenzhen Emissions Exchange are used to validate the model. The empirical results indicate that the established model is effective, efficient, and practical in terms of its statistical measures and prediction performance.

Keywords: carbon price sequence; Shenzhen emission exchange; ensemble empirical mode decomposition; multiscale ensemble forecasting model (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: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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