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Forecasting oil commodity spot price in a data-rich environment.
- Source :
-
Annals of Operations Research . Oct2022, p1-18. - Publication Year :
- 2022
-
Abstract
- Statistical properties that vary with time represent a challenge for time series forecasting. This paper proposes a change point-adaptive-RNN (CP-ADARNN) framework to predict crude oil prices with high-dimensional monthly variables. We first detect the structural breaks in predictors using the change point technique, and subsequently train a prediction model based on ADARNN. Using 310 economic series as exogenous factors from 1993 to 2021 to predict the monthly return on the WTI crude oil real price, CP-ADARNN outperforms competing benchmarks by 12.5% in terms of the root mean square error and achieves a correlation of 0.706 between predicted and actual returns. Furthermore, the superiority of CP-ADARNN is robust for Brent oil price as well as during the COVID-19 pandemic. The findings of this paper provide new insights for investors and researchers in the oil market. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02545330
- Database :
- Academic Search Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 159497320
- Full Text :
- https://doi.org/10.1007/s10479-022-05004-8