Advanced Search
MyIDEAS: Login

An Integrated Model Using Wavelet Decomposition And Least Squares Support Vector Machines For Monthly Crude Oil Prices Forecasting

Contents:

Author Info

  • YEJING BAO

    () (Department of Economics and Management, College of Pilot, Beijing University of Technology, Beijing 101101, China; Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)

  • XUN ZHANG

    () (Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)

  • LEAN YU

    () (Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)

  • KIN KEUNG LAI

    () (Department of Management Sciences, City University of Hong Kong, Kowloon, Hong Kong)

  • SHOUYANG WANG

    () (Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)

Registered author(s):

Abstract

In this paper, a hybrid model integrating wavelet decomposition and least squares support machines (LSSVM) is proposed for crude oil price forecasting. In this model, the Haar à trous wavelet transform is first selected to decompose an original time series into several sub-series with different scales. Then the LSSVM is used to predict each sub-series. Subsequently, the final oil price forecast is obtained by reconstructing the results of the sub-series forecasts. The experimental results show that the integrated model, based on multi-scale wavelet decomposition, outperforms the traditional single-scale models. Furthermore, the proposed hybrid model is the best among all the models compared in this study. To fully integrate the advantages of several models, a combined forecasting model is presented. The study shows that the combined forecasting model is clearly better than any individual model for crude oil price forecasting.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S1793005711001949
Download Restriction: Access to full text is restricted to subscribers.
File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S1793005711001949
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal New Mathematics and Natural Computation.

Volume (Year): 07 (2011)
Issue (Month): 02 ()
Pages: 299-311

as in new window
Handle: RePEc:wsi:nmncxx:v:07:y:2011:i:02:p:299-311

Contact details of provider:
Web page: http://www.worldscinet.com/nmnc/nmnc.shtml

Order Information:
Email:

Related research

Keywords: Crude oil price forecasting; Haar à trous wavelet transform; least squares support vector machines; hybrid model;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wsi:nmncxx:v:07:y:2011:i:02:p:299-311

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.