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Fortify the investment performance of crude oil market by integrating sentiment analysis and an interval-based trading strategy

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  • Yang, Kun
  • Cheng, Zishu
  • Li, Mingchen
  • Wang, Shouyang
  • Wei, Yunjie

Abstract

To mitigate the impact of market uncertainty on trading investments, this paper proposes a forecasting and investing framework for crude oil market by integrating interval models and machine learning models. Firstly, natural language processing technique is employed to analyze text information from social and news media, enabling the capture of market and societal sentiment. Subsequently, deep learning models are integrated to combine sentiment data with other economic variables for more accurate predictions of crude oil prices. Furthermore, this paper introduces a trading strategy with interval constraints based on interval prediction models to reduce trading risk arising from the uncertainty of point forecasts in investments. Through trading simulations, it is discovered that employing the interval constrained strategy is more effective in reducing trading risk and enhancing investment returns compared to point-based trading strategies. This interval-based strategy offers a novel approach to mitigating investment risk in the crude oil market.

Suggested Citation

  • Yang, Kun & Cheng, Zishu & Li, Mingchen & Wang, Shouyang & Wei, Yunjie, 2024. "Fortify the investment performance of crude oil market by integrating sentiment analysis and an interval-based trading strategy," Applied Energy, Elsevier, vol. 353(PA).
    • Handle: RePEc:eee:appene:v:353:y:2024:i:pa:s0306261923014666
    DOI: 10.1016/j.apenergy.2023.122102
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