An Integrated Model Using Wavelet Decomposition And Least Squares Support Vector Machines For Monthly Crude Oil Prices Forecasting
AbstractIn 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.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal New Mathematics and Natural Computation.
Volume (Year): 07 (2011)
Issue (Month): 02 ()
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Web page: http://www.worldscinet.com/nmnc/nmnc.shtml
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