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A novel hybrid method for crude oil price forecasting

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  1. Wang, Deyun & Luo, Hongyuan & Grunder, Olivier & Lin, Yanbing, 2017. "Multi-step ahead wind speed forecasting using an improved wavelet neural network combining variational mode decomposition and phase space reconstruction," Renewable Energy, Elsevier, vol. 113(C), pages 1345-1358.
  2. Li, Zheng & Zhou, Bo & Hensher, David A., 2022. "Forecasting automobile gasoline demand in Australia using machine learning-based regression," Energy, Elsevier, vol. 239(PD).
  3. Yuanrong Wang & Yinsen Miao & Alexander CY Wong & Nikita P Granger & Christian Michler, 2023. "Domain-adapted Learning and Interpretability: DRL for Gas Trading," Papers 2301.08359, arXiv.org, revised Sep 2023.
  4. Ding, Yishan, 2018. "A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting," Energy, Elsevier, vol. 154(C), pages 328-336.
  5. Wang, Delu & Wang, Yadong & Song, Xuefeng & Liu, Yun, 2018. "Coal overcapacity in China: Multiscale analysis and prediction," Energy Economics, Elsevier, vol. 70(C), pages 244-257.
  6. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
  7. Song, Zhouying & Zhu, Qiaoling & Han, Mengyao, 2021. "Tele-connection of global crude oil network: Comparisons between direct trade and embodied flows," Energy, Elsevier, vol. 217(C).
  8. Joseph D. Prusa & Ryan T. Sagul & Taghi M. Khoshgoftaar, 2019. "Extracting Knowledge from Technical Reports for the Valuation of West Texas Intermediate Crude Oil Futures," Information Systems Frontiers, Springer, vol. 21(1), pages 109-123, February.
  9. Nicholas Apergis, 2023. "Forecasting energy prices: Quantile‐based risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 17-33, January.
  10. Di Zhu & Yinghong Wang & Fenglin Zhang, 2022. "Energy Price Prediction Integrated with Singular Spectrum Analysis and Long Short-Term Memory Network against the Background of Carbon Neutrality," Energies, MDPI, vol. 15(21), pages 1-20, October.
  11. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
  12. Lei Jiang & Ling Bai, 2017. "Revisiting the Granger Causality Relationship between Energy Consumption and Economic Growth in China: A Multi-Timescale Decomposition Approach," Sustainability, MDPI, vol. 9(12), pages 1-17, December.
  13. Kaijian He & Rui Zha & Jun Wu & Kin Keung Lai, 2016. "Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price," Sustainability, MDPI, vol. 8(4), pages 1-11, April.
  14. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  15. Sen, Abhibasu & Dutta Choudhury, Karabi, 2024. "Forecasting the Crude Oil prices for last four decades using deep learning approach," Resources Policy, Elsevier, vol. 88(C).
  16. Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
  17. Zhao, Lu-Tao & Wang, Yi & Guo, Shi-Qiu & Zeng, Guan-Rong, 2018. "A novel method based on numerical fitting for oil price trend forecasting," Applied Energy, Elsevier, vol. 220(C), pages 154-163.
  18. Yun Bai & Xixi Li & Hao Yu & Suling Jia, 2020. "Crude oil price forecasting incorporating news text," Papers 2002.02010, arXiv.org, revised Jul 2021.
  19. Wang, Jue & Wang, Zhen & Li, Xiang & Zhou, Hao, 2022. "Artificial bee colony-based combination approach to forecasting agricultural commodity prices," International Journal of Forecasting, Elsevier, vol. 38(1), pages 21-34.
  20. Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
  21. Xu, Kunliang & Niu, Hongli, 2022. "Do EEMD based decomposition-ensemble models indeed improve prediction for crude oil futures prices?," Technological Forecasting and Social Change, Elsevier, vol. 184(C).
  22. Yulian Zhang & Shigeyuki Hamori, 2020. "Forecasting Crude Oil Market Crashes Using Machine Learning Technologies," Energies, MDPI, vol. 13(10), pages 1-14, May.
  23. Karasu, Seçkin & Altan, Aytaç, 2022. "Crude oil time series prediction model based on LSTM network with chaotic Henry gas solubility optimization," Energy, Elsevier, vol. 242(C).
  24. Peng, Yanni & Xiang, Wanli, 2020. "Short-term traffic volume prediction using GA-BP based on wavelet denoising and phase space reconstruction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  25. Abdollahi, Hooman & Ebrahimi, Seyed Babak, 2020. "A new hybrid model for forecasting Brent crude oil price," Energy, Elsevier, vol. 200(C).
  26. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
  27. Sun, Shaolong & Sun, Yuying & Wang, Shouyang & Wei, Yunjie, 2018. "Interval decomposition ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 76(C), pages 274-287.
  28. Babak Fazelabdolabadi, 2019. "A hybrid Bayesian-network proposition for forecasting the crude oil price," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-21, December.
  29. Chia-Yen Lee & Chen-Fu Chien, 2022. "Pitfalls and protocols of data science in manufacturing practice," Journal of Intelligent Manufacturing, Springer, vol. 33(5), pages 1189-1207, June.
  30. Safari, Ali & Davallou, Maryam, 2018. "Oil price forecasting using a hybrid model," Energy, Elsevier, vol. 148(C), pages 49-58.
  31. Yue-Jun Zhang & Han Zhang & Rangan Gupta, 2021. "Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach," Working Papers 202182, University of Pretoria, Department of Economics.
  32. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
  33. Zhao, Geya & Xue, Minggao & Cheng, Li, 2023. "A new hybrid model for multi-step WTI futures price forecasting based on self-attention mechanism and spatial–temporal graph neural network," Resources Policy, Elsevier, vol. 85(PB).
  34. Piersanti, Giovanni & Piersanti, Mirko & Cicone, Antonio & Canofari, Paolo & Di Domizio, Marco, 2020. "An inquiry into the structure and dynamics of crude oil price using the fast iterative filtering algorithm," Energy Economics, Elsevier, vol. 92(C).
  35. Zied Ftiti & Kais Tissaoui & Sahbi Boubaker, 2022. "On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach," Annals of Operations Research, Springer, vol. 313(2), pages 915-943, June.
  36. Meira, Erick & Cyrino Oliveira, Fernando Luiz & de Menezes, Lilian M., 2022. "Forecasting natural gas consumption using Bagging and modified regularization techniques," Energy Economics, Elsevier, vol. 106(C).
  37. Bangzhu Zhu & Xuetao Shi & Julien Chevallier & Ping Wang & Yi‐Ming Wei, 2016. "An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 633-651, November.
  38. Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah, 2020. "The role of the threshold effect for the dynamics of futures and spot prices of energy commodities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-20, December.
  39. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
  40. Wang, Minggang & Zhao, Longfeng & Du, Ruijin & Wang, Chao & Chen, Lin & Tian, Lixin & Eugene Stanley, H., 2018. "A novel hybrid method of forecasting crude oil prices using complex network science and artificial intelligence algorithms," Applied Energy, Elsevier, vol. 220(C), pages 480-495.
  41. Cheng Zhang & Nilam Nur Amir Sjarif & Roslina Ibrahim, 2023. "Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022," Papers 2305.04811, arXiv.org, revised Sep 2023.
  42. Sabet, Amir H. & Heaney, Richard, 2016. "An event study analysis of oil and gas firm acreage and reserve acquisitions," Energy Economics, Elsevier, vol. 57(C), pages 215-227.
  43. Yu, Hongchu & Fang, Zhixiang & Lu, Feng & Murray, Alan T. & Zhang, Hengcai & Peng, Peng & Mei, Qiang & Chen, Jinhai, 2019. "Impact of oil price fluctuations on tanker maritime network structure and traffic flow changes," Applied Energy, Elsevier, vol. 237(C), pages 390-403.
  44. Abdollahi, Hooman, 2020. "A novel hybrid model for forecasting crude oil price based on time series decomposition," Applied Energy, Elsevier, vol. 267(C).
  45. He, Kaijian & Liu, Youjin & Yu, Lean & Lai, Kin Keung, 2016. "Multiscale dependence analysis and portfolio risk modeling for precious metal markets," Resources Policy, Elsevier, vol. 50(C), pages 224-233.
  46. Zhenhua Liu & Zhihua Ding & Rui Li & Xin Jiang & JyS. Wu & Tao Lv, 2017. "Research on differences of spillover effects between international crude oil price and stock markets in China and America," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 88(1), pages 575-590, August.
  47. Bai, Yun & Li, Xixi & Yu, Hao & Jia, Suling, 2022. "Crude oil price forecasting incorporating news text," International Journal of Forecasting, Elsevier, vol. 38(1), pages 367-383.
  48. Huang, Wenyang & Gao, Tianxiao & Hao, Yun & Wang, Xiuqing, 2023. "Transformer-based forecasting for intraday trading in the Shanghai crude oil market: Analyzing open-high-low-close prices," Energy Economics, Elsevier, vol. 127(PA).
  49. Guliyev, Hasraddin & Mustafayev, Eldayag, 2022. "Predicting the changes in the WTI crude oil price dynamics using machine learning models," Resources Policy, Elsevier, vol. 77(C).
  50. Wang, Minggang & Tian, Lixin & Zhou, Peng, 2018. "A novel approach for oil price forecasting based on data fluctuation network," Energy Economics, Elsevier, vol. 71(C), pages 201-212.
  51. Zhang, Yuan-Yuan & Zhang, Yue-Jun, 2022. "The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models," International Review of Financial Analysis, Elsevier, vol. 84(C).
  52. Cheng, Zishu & Li, Mingchen & Sun, Yuying & Hong, Yongmiao & Wang, Shouyang, 2024. "Climate change and crude oil prices: An interval forecast model with interval-valued textual data," Energy Economics, Elsevier, vol. 134(C).
  53. Sun, Jie & Zhao, Xiaojun & Xu, Chao, 2021. "Crude oil market autocorrelation: Evidence from multiscale quantile regression analysis," Energy Economics, Elsevier, vol. 98(C).
  54. Zheng, Li & Sun, Yuying & Wang, Shouyang, 2024. "A novel interval-based hybrid framework for crude oil price forecasting and trading," Energy Economics, Elsevier, vol. 130(C).
  55. Zhang, Lei & Chen, Yan & Bouri, Elie, 2024. "Time-varying jump intensity and volatility forecasting of crude oil returns," Energy Economics, Elsevier, vol. 129(C).
  56. Quande Qin & Huangda He & Li Li & Ling-Yun He, 2020. "A Novel Decomposition-Ensemble Based Carbon Price Forecasting Model Integrated with Local Polynomial Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1249-1273, April.
  57. Lin, Ling & Jiang, Yong & Xiao, Helu & Zhou, Zhongbao, 2020. "Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 543(C).
  58. Li, Xuemei & Liu, Xiaoxing, 2023. "Functional classification and dynamic prediction of cumulative intraday returns in crude oil futures," Energy, Elsevier, vol. 284(C).
  59. Yu Zhao & Xi Zhang & Zhongshun Shi & Lei He, 2017. "Grain Price Forecasting Using a Hybrid Stochastic Method," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(05), pages 1-24, October.
  60. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
  61. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
  62. Du, Pei & Wang, Jianzhou & Yang, Wendong & Niu, Tong, 2018. "Multi-step ahead forecasting in electrical power system using a hybrid forecasting system," Renewable Energy, Elsevier, vol. 122(C), pages 533-550.
  63. Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
  64. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
  65. Zhu, Bangzhu & Ye, Shunxin & Wang, Ping & He, Kaijian & Zhang, Tao & Wei, Yi-Ming, 2018. "A novel multiscale nonlinear ensemble leaning paradigm for carbon price forecasting," Energy Economics, Elsevier, vol. 70(C), pages 143-157.
  66. Sauraj Verma, 2021. "Forecasting volatility of crude oil futures using a GARCH–RNN hybrid approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(2), pages 130-142, April.
  67. Xu, Kunliang & Wang, Weiqing, 2023. "Limited information limits accuracy: Whether ensemble empirical mode decomposition improves crude oil spot price prediction?," International Review of Financial Analysis, Elsevier, vol. 87(C).
  68. Xu, Mengjie & Li, Xiang & Li, Qianwen & Sun, Chuanwang, 2024. "LNBi-GRU model for coal price prediction and pattern recognition analysis," Applied Energy, Elsevier, vol. 365(C).
  69. Wang, Bin & Wang, Jun, 2020. "Energy futures and spots prices forecasting by hybrid SW-GRU with EMD and error evaluation," Energy Economics, Elsevier, vol. 90(C).
  70. Zeng, Sheng & Su, Bin & Zhang, Minglong & Gao, Yuan & Liu, Jun & Luo, Song & Tao, Qingmei, 2021. "Analysis and forecast of China's energy consumption structure," Energy Policy, Elsevier, vol. 159(C).
  71. Qi Zhang & Yi Hu & Jianbin Jiao & Shouyang Wang, 2022. "Exploring the Trend of Commodity Prices: A Review and Bibliometric Analysis," Sustainability, MDPI, vol. 14(15), pages 1-22, August.
  72. Emmanuel Senyo Fianu, 2022. "Analyzing and Forecasting Multi-Commodity Prices Using Variants of Mode Decomposition-Based Extreme Learning Machine Hybridization Approach," Forecasting, MDPI, vol. 4(2), pages 1-27, June.
  73. Debnath, Kumar Biswajit & Mourshed, Monjur, 2018. "Forecasting methods in energy planning models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 88(C), pages 297-325.
  74. Wang, Delu & Ma, Gang & Song, Xuefeng & Liu, Yun, 2017. "Energy price slump and policy response in the coal-chemical industry district: A case study of Ordos with a system dynamics model," Energy Policy, Elsevier, vol. 104(C), pages 325-339.
  75. Yee-Fan Tan & Lee-Yeng Ong & Meng-Chew Leow & Yee-Xian Goh, 2021. "Exploring Time-Series Forecasting Models for Dynamic Pricing in Digital Signage Advertising," Future Internet, MDPI, vol. 13(10), pages 1-24, September.
  76. Zhao, Yuan & Zhang, Weiguo & Gong, Xue & Wang, Chao, 2021. "A novel method for online real-time forecasting of crude oil price," Applied Energy, Elsevier, vol. 303(C).
  77. Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
  78. Na Fu & Liyan Geng & Junhai Ma & Xue Ding, 2023. "Price, Complexity, and Mathematical Model," Mathematics, MDPI, vol. 11(13), pages 1-30, June.
  79. Arash Sioofy Khoojine & Mahboubeh Shadabfar & Yousef Edrisi Tabriz, 2022. "A Mutual Information-Based Network Autoregressive Model for Crude Oil Price Forecasting Using Open-High-Low-Close Prices," Mathematics, MDPI, vol. 10(17), pages 1-20, September.
  80. Yao, Ting & Zhang, Yue-Jun & Ma, Chao-Qun, 2017. "How does investor attention affect international crude oil prices?," Applied Energy, Elsevier, vol. 205(C), pages 336-344.
  81. Jiang Wu & Yu Chen & Tengfei Zhou & Taiyong Li, 2019. "An Adaptive Hybrid Learning Paradigm Integrating CEEMD, ARIMA and SBL for Crude Oil Price Forecasting," Energies, MDPI, vol. 12(7), pages 1-23, April.
  82. Li, Jinchao & Zhu, Shaowen & Wu, Qianqian, 2019. "Monthly crude oil spot price forecasting using variational mode decomposition," Energy Economics, Elsevier, vol. 83(C), pages 240-253.
  83. Lucey, Brian & Ren, Boru, 2021. "Does news tone help forecast oil?," Economic Modelling, Elsevier, vol. 104(C).
  84. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
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  92. Yue-Jun Zhang & Han Zhang & Rangan Gupta, 2023. "A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
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