IDEAS home Printed from https://ideas.repec.org/a/eco/journ2/2019-05-1.html
   My bibliography  Save this article

Oil Price Predictors: Machine Learning Approach

Author

Listed:
  • Jaehyung An

    (College of Business, Hankuk University of Foreign Studies, Seoul, Korea)

  • Alexey Mikhaylov

    (Department of Financial Markets and Banks, Financial University Under the Government of the Russian Federation, Moscow, Russia,)

  • Nikita Moiseev

    (Department of Mathematical Methods in Economics, Plekhanov Russian University of Economics, Moscow, Russia)

Abstract

The paper proposes a machine-learning approach to predict oil price. Market participants can forecast prices using such factors as: US key rate, US dollar index, S&P500 index, VIX index, US consumer price index. After analyzing the results and comparing the accuracy of the model first, we can conclude that oil prices in 2019-2022 will have a slight upward trend and will generally be stable. At the time of the fall in June 2012 the price of Brent fell to a minimum of 17 months. The reason for this was the weak demand for oil futures, which was caused by poor data on the state of the US labor market.

Suggested Citation

  • Jaehyung An & Alexey Mikhaylov & Nikita Moiseev, 2019. "Oil Price Predictors: Machine Learning Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 9(5), pages 1-6.
    • Handle: RePEc:eco:journ2:2019-05-1
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijeep/article/download/7597/4490
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijeep/article/view/7597/4490
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
    2. Robert B. Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134, Fall.
    3. Alexey Yurievich Mikhaylov, 2018. "Pricing in Oil Market and Using Probit Model for Analysis of Stock Market Effects," International Journal of Energy Economics and Policy, Econjournals, vol. 8(2), pages 69-73.
    4. Paul Segal, 2011. "Oil price shocks and the macroeconomy," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 27(1), pages 169-185, Spring.
    5. Claudio Morana, 2013. "The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    6. Anthony Msafiri Nyangarika & Alexey Yurievich Mikhaylov & Bao-jun Tang, 2018. "Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 42-48.
    7. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
    8. Huang, Ying & Guo, Feng, 2007. "The role of oil price shocks on China's real exchange rate," China Economic Review, Elsevier, vol. 18(4), pages 403-416.
    9. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
    10. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Oil Price Factors: Forecasting on the Base of Modified Auto-regressive Integrated Moving Average Model," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 149-159.
    11. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
    12. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
    13. Backus, David K. & Crucini, Mario J., 2000. "Oil prices and the terms of trade," Journal of International Economics, Elsevier, vol. 50(1), pages 185-213, February.
    14. Christiane Baumeister & Gert Peersman, 2013. "Time-Varying Effects of Oil Supply Shocks on the US Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
    15. Tuzova, Yelena & Qayum, Faryal, 2016. "Global oil glut and sanctions: The impact on Putin’s Russia," Energy Policy, Elsevier, vol. 90(C), pages 140-151.
    16. Maurizio Michael Habib & Sascha Bützer & Livio Stracca, 2016. "Global Exchange Rate Configurations: Do Oil Shocks Matter?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(3), pages 443-470, August.
    17. Farzanegan, Mohammad Reza & Markwardt, Gunther, 2009. "The effects of oil price shocks on the Iranian economy," Energy Economics, Elsevier, vol. 31(1), pages 134-151, January.
    18. Alexey Yurievich Mikhaylov, 2018. "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 321-326.
    19. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Influence Oil Price towards Macroeconomic Indicators in Russia," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 123-129.
    20. Lutz Kilian & Daniel P. Murphy, 2014. "The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 454-478, April.
    21. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pavel Baboshkin & Mafura Uandykova, 2021. "Multi-source Model of Heterogeneous Data Analysis for Oil Price Forecasting," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 384-391.
    2. Razmi, Seyedeh Fatemeh & Razmi, Seyed Mohammad Javad, 2023. "The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement," Resources Policy, Elsevier, vol. 81(C).
    3. Leal Filho, Walter & Wall, Tony & Rui Mucova, Serafino Afonso & Nagy, Gustavo J. & Balogun, Abdul-Lateef & Luetz, Johannes M. & Ng, Artie W. & Kovaleva, Marina & Safiul Azam, Fardous Mohammad & Alves,, 2022. "Deploying artificial intelligence for climate change adaptation," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    4. Pavel Baboshkin, 2020. "Strategic Energy Partnership between Russia and China," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 158-163.
    5. Ramesh Bollapragada & Akash Mankude & V. Udayabhanu, 2021. "Forecasting the price of crude oil," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(2), pages 207-231, June.
    6. Evgeniy Lopatin, 2020. "Cost of Heating Pump Systems in Russia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 219-223.
    7. Xenia Tabachkova, 2021. "Consequences of Oil Supply and Demand on the Electricity Market: Coronavirus Effect," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 573-580.
    8. Schultz, Michael & Rosenow, Judith & Olive, Xavier, 2022. "Data-driven airport management enabled by operational milestones derived from ADS-B messages," Journal of Air Transport Management, Elsevier, vol. 99(C).
    9. Radosław Puka & Bartosz Łamasz, 2020. "Using Artificial Neural Networks to Find Buy Signals for WTI Crude Oil Call Options," Energies, MDPI, vol. 13(17), pages 1-20, August.
    10. Anton Lisin & Tomonobu Senjyu, 2021. "Renewable Energy Transition: Evidence from Spillover Effects in Exchange-Traded Funds," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 184-190.
    11. Artur Meynkhard, 2020. "Long-Term Prospects for the Development Energy Complex of Russia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 224-232.
    12. Martin Johnsen & Oliver Brandt & Sergio Garrido & Francisco C. Pereira, 2020. "Population synthesis for urban resident modeling using deep generative models," Papers 2011.06851, arXiv.org.
    13. Xenia Tabachkova & Sergey Prosekov & Natalia Sokolinskaya, 2020. "Energy System Structure in Russian Arctic: Coal Production Forecast," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 476-481.
    14. Jihad El Hokayem & Joseph Gemayel & Dany Mezher, 2022. "Forecasting Oil Prices: A Comparative Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(7), pages 1-55, July.
    15. Bartosz Lamasz & Natalia Iwaszczuk, 2020. "Crude Oil Option Market Parameters and Their Impact on the Cost of Hedging by Long Strap Strategy," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 471-480.
    16. Uyeh Daniel Dooyum & Alexey Mikhaylov & Igor Varyash, 2020. "Energy Security Concept in Russia and South Korea," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 102-107.
    17. Ivan Udalov, 2021. "The Transition to Renewable Energy Sources as a Threat to Resource Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 460-467.
    18. Jaehyung An & Mikhail Dorofeev & Shouxian Zhu, 2020. "Development of Energy Cooperation between Russia and China," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 134-139.
    19. Minxing Si & Ling Bai & Ke Du, 2021. "Discovering Energy Consumption Patterns with Unsupervised Machine Learning for Canadian In Situ Oil Sands Operations," Sustainability, MDPI, vol. 13(4), pages 1-16, February.
    20. Mikhail Bondarev, 2020. "Energy Consumption of Bitcoin Mining," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 525-529.
    21. Fe Amor Parel Gudmundsson & Sergey Prosekov & Natalia Sokolinskaya & Sergey Tarakanov & Evgeniy Lopatin, 2020. "Factors of the Formation of Modern Energetic Reality in North Western Europe," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 539-544.
    22. Paul Schwarzbach & Julia Engelbrecht & Albrecht Michler & Michael Schultz & Oliver Michler, 2020. "Evaluation of Technology-Supported Distance Measuring to Ensure Safe Aircraft Boarding during COVID-19 Pandemic," Sustainability, MDPI, vol. 12(20), pages 1-15, October.
    23. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
    24. Nikol Tryndina & Nikita Moiseev & Evgeniy Lopatin & Sergey Prosekov & Jiang Kejun, 2020. "Trends in Corporate Energy Strategy of Russian Companies," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 202-207.
    25. Thomas Burkhardt & Diana Stepanova & Leonid Ratkin & Ismail Ismailov & Oleg Lavrushin & Natalia Sokolinskaya & Mir Sayed Shah Danish & Tomonobu Senjyu & Serhat Yuksel & Hasan Dincer, 2021. "Introduction of Biofuels as a Way of Solving Ecological Problems," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 187-193.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Oil Price Factors: Forecasting on the Base of Modified Auto-regressive Integrated Moving Average Model," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 149-159.
    2. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Influence Oil Price towards Macroeconomic Indicators in Russia," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 123-129.
    3. Xenia Tabachkova, 2021. "Consequences of Oil Supply and Demand on the Electricity Market: Coronavirus Effect," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 573-580.
    4. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
    5. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
    6. Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
    7. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    8. Stavros Degiannakis, George Filis, and Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    9. Gnimassoun, Blaise & Joëts, Marc & Razafindrabe, Tovonony, 2017. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," International Economics, Elsevier, vol. 152(C), pages 63-78.
    10. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, vol. 28(C), pages 132-146.
    11. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
    12. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016. "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 97-131, June.
    13. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    14. Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
    15. A. Mikhailov Yu. & D. Burakov B. & V. Didenko Yu. & А. Михайлов Ю. & Д. Бураков В. & В. Диденко Ю., 2019. "Взаимосвязь цен на нефть и макроэкономических показателей в России // Relationship between Oil Price and Macroeconomic Indicators in Russia," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(2), pages 105-116.
    16. Mikhail Bondarev, 2020. "Energy Consumption of Bitcoin Mining," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 525-529.
    17. Degiannakis, Stavros & Filis, George, 2018. "Forecasting oil prices: High-frequency financial data are indeed useful," Energy Economics, Elsevier, vol. 76(C), pages 388-402.
    18. Artur Meynkhard, 2020. "Priorities of Russian Energy Policy in Russian-Chinese Relations," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 65-71.
    19. Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," Working Papers hal-04141574, HAL.
    20. Fe Amor Parel Gudmundsson & Sergey Prosekov & Natalia Sokolinskaya & Sergey Tarakanov & Evgeniy Lopatin, 2020. "Factors of the Formation of Modern Energetic Reality in North Western Europe," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 539-544.

    More about this item

    Keywords

    oil price shocks; economic growth; oil impact; factors; dollar index; inflation; key rate; volatility index; S&P500 index.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ2:2019-05-1. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.