A combined model using secondary decomposition for crude oil futures price and volatility forecasting: Analysis based on comparison and ablation experiments
Expert Systems with Applications(2024)
Abstract
To accurately forecast crude oil futures price and volatility, this article presents a novel deep learning combined model using secondary decomposition with West Texas Intermediate crude oil futures (WTI) and North Sea Brent crude oil futures (Brent) as examples. Firstly, a trend subsequence and several noise subsequences are obtained by decomposing the crude oil futures price or volatility using the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and the secondary decomposition is performed on the highest frequency noise subsequence using the variational mode decomposition (VMD). Secondly, the remaining subsequences obtained from CEEMDAN and the subsequences obtained from VMD are predicted separately using the BiGRU-Attention-CNN model. Finally, the predicted crude oil futures price or volatility is calculated by linearly integrating the predicted values of each subsequence. The empirical analysis shows that the novel combined model using secondary decomposition proposed in this paper has the best forecasting performance among many models, both in the comparison experiments and in the ablation experiments. The model is also shown to have good robustness by predicting the volatility at different maturities, varying the ratio of the training set and the test set for crude oil futures price prediction, and predicting the price of crude oil futures after extreme events. Overall, the novel combined forecasting model using secondary decomposition proposed in this paper can help countries grasp the direction of the crude oil market and improve national economic and political security.
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Key words
Crude oil futures price and volatility forecasting,Secondary decomposition,Bidirectional gated recurrent unit,Combined prediction model,Diebold Mariano test
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