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A multiscale time-series decomposition learning for crude oil price forecasting

Author

Listed:
  • Tan, Jinghua
  • Li, Zhixi
  • Zhang, Chuanhui
  • Shi, Long
  • Jiang, Yuansheng

Abstract

Crude oil price forecasting is important for market participants and policymakers. However, accurately tracking oil prices is quite a challenging task due to the complexity of temporal oil data and the nonlinear relationships involved in the forecasting task. In this study, a multiscale time-series decomposition learning framework is proposed to deal with this issue. First, a multiscale temporal processing module is designed to capture different frequency time-series patterns in historical data at various scales. Then, a multiscale decomposition technique is applied to decompose historical crude oil data into various temporal modes, involving global shared information across multiple scales, as well as local specific information that varies at each scale. Finally, a multiscale fusion mechanism is employed to combine these information, which are further used as inputs to construct nonlinear and complex predictive models for crude oil prices. A series of experiments conducted on Shanghai crude oil market demonstrate that the proposed approach outperforms several econometric and machine learning models.

Suggested Citation

  • Tan, Jinghua & Li, Zhixi & Zhang, Chuanhui & Shi, Long & Jiang, Yuansheng, 2024. "A multiscale time-series decomposition learning for crude oil price forecasting," Energy Economics, Elsevier, vol. 136(C).
  • Handle: RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004419
    DOI: 10.1016/j.eneco.2024.107733
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    More about this item

    Keywords

    Price forecasting; Multiscale sequences; Mode decomposition;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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