首页  -   学术科研  -   研究前沿

研究前沿

王未卿:有限的信息限制了准确性:集合经验模式分解是否改善了原油现货价格预测?

研究成果:Limited information limits accuracy: Whether ensemble empirical mode decomposition improves crude oil spot price prediction?

作者:Xu Kunliang,王未卿(通讯作者)

发表期刊:International Review of Financial AnalysisABS3

A reliable crude oil price forecast is important for market pricing. Despite the widespread use of ensemble empirical mode decomposition (EEMD) in financial time series forecasting, the one-time decomposition on the entire time series leads the in-sample data to be affected by the out-of-sample data. Consequently, the forecasting accuracy is overstated. This study incorporates a rolling window into two prevalent EEMD-based modeling paradigms, namely decomposition-ensemble and denoising, to ensure that only in-sample time series is processed by EEMD and used for model training. Given the time-consuming process of stepwise preprocessing and model fitting, two non-iterative machine learning algorithms, random vector functional link (RVFL) neural network and extreme learning machine (ELM), are used as predictors. Hence, we develop the rolling decomposition-ensemble and rolling denoising paradigms, respectively. Contrary to the majority of prior studies, empirical results based on monthly spot price time series for the Brent and West Texas Intermediate (WTI) markets indicate that EEMD plays a weak role in improving crude oil price forecasts when only the in-sample set is preprocessed. This is compatible with the weak form of the efficient market hypothesis (EMH). Nevertheless, the suggested rolling EEMD-denoising model has an advantage over other employed models for long-term forecasting.


文献来源:Xu, K., & Wang, W. (2023). Limited information limits accuracy: Whether ensemble empirical mode decomposition improves crude oil spot price prediction?. International Review of Financial Analysis, 87, 102625.