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A Hybrid Deep Learning Approach for Crude Oil Price Prediction

Author

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  • Hind Aldabagh

    (Computer Science Department, Old Dominion University, Norfolk, VA 23529, USA)

  • Xianrong Zheng

    (Information Technology & Decision Sciences Department, Old Dominion University, Norfolk, VA 23529, USA)

  • Ravi Mukkamala

    (Computer Science Department, Old Dominion University, Norfolk, VA 23529, USA)

Abstract

Crude oil is one of the world’s most important commodities. Its price can affect the global economy, as well as the economies of importing and exporting countries. As a result, forecasting the price of crude oil is essential for investors. However, crude oil price tends to fluctuate considerably during significant world events, such as the COVID-19 pandemic and geopolitical conflicts. In this paper, we propose a deep learning model for forecasting the crude oil price of one-step and multi-step ahead. The model extracts important features that impact crude oil prices and uses them to predict future prices. The prediction model combines convolutional neural networks (CNN) with long short-term memory networks (LSTM). We compared our one-step CNN–LSTM model with other LSTM models, the CNN model, support vector machine (SVM), and the autoregressive integrated moving average (ARIMA) model. Also, we compared our multi-step CNN–LSTM model with LSTM, CNN, and the time series encoder–decoder model. Extensive experiments were conducted using short-, medium-, and long-term price data of one, five, and ten years, respectively. In terms of accuracy, the proposed model outperformed existing models in both one-step and multi-step predictions.

Suggested Citation

  • Hind Aldabagh & Xianrong Zheng & Ravi Mukkamala, 2023. "A Hybrid Deep Learning Approach for Crude Oil Price Prediction," JRFM, MDPI, vol. 16(12), pages 1-22, December.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:503-:d:1294853
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    References listed on IDEAS

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    1. Cen, Zhongpei & Wang, Jun, 2019. "Crude oil price prediction model with long short term memory deep learning based on prior knowledge data transfer," Energy, Elsevier, vol. 169(C), pages 160-171.
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