Predicting oil price movements: A dynamic Artificial Neural Network approach

Ali Abbasi Godarzi; Rohollah Madadi Amiri; Alireza Talaei; Tooraj Jamasb

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Predicting oil price movements: A dynamic Artificial Neural Network approach

机译：预测油价走势：动态人工神经网络方法

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Price of oil is important for the economies of oil exporting and oil importing countries alike. Therefore, insight into the likely future behaviour and patterns of oil prices can improve economic planning and reduce the impacts of oil market fluctuations. This paper aims to improve the application of Artificial Neural Network (ANN) techniques to prediction of oil price. We develop a dynamic Nonlinear Auto Regressive model with exogenous input (NARX) as a form of ANN to account for the time factor. We estimate the model using macroeconomic data from OECD countries. In order to compare the results, we develop time series and ANN static models. We then use the output of time series model to develop a NARX model. The NARX model is trained with historical data from 1974 to 2004 and the results are verified with data from 2005 to 2009. The results show that NARX model is more accurate than time series and static ANN models in predicting oil prices in general as well as in predicting the occurrence of oil price shocks.

机译：石油价格对石油出口国和石油进口国的经济都很重要。因此，深入了解石油价格未来的行为和模式可以改善经济计划并减少石油市场波动的影响。本文旨在改进人工神经网络技术在预测油价中的应用。我们使用外来输入（NARX）作为ANN的形式开发了一种动态非线性自回归模型，以说明时间因素。我们使用来自经合组织国家的宏观经济数据估算模型。为了比较结果，我们开发了时间序列和ANN静态模型。然后，我们使用时间序列模型的输出来开发NARX模型。使用1974年至2004年的历史数据对NARX模型进行了训练，并使用2005年至2009年的数据对结果进行了验证。结果表明，NARX模型在预测总体和当前油价方面比时间序列和静态ANN模型更为准确。预测石油价格冲击的发生。

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来源
《Energy Policy》 |2014年第5期|371-382|共12页
作者
Ali Abbasi Godarzi; Rohollah Madadi Amiri; Alireza Talaei; Tooraj Jamasb;
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作者单位

Department of Energy Systems Engineering, Sharif University of Technology, Tehran, Iran,Azadi Street, P.O. Box 11155-8639, Tehran, Iran;

School of Economic Science, University of Economic Sciences, Tehran, Iran;

Department of Mechanical Engineering, University of Alberta, Edmonton, Canada;

Durham University Business School, Durham, UK;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Oil price forecasting; Time series model; NARX model;

机译：石油价格预测;时间序列模型;NARX模型;

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7. Predicting oil price movements : a dynamic Artificial Neural Network approach. [O] . Godarzi A.A., Madadi Amiri R., Talaei A., 2014

机译：预测油价走势：动态的人工神经网络方法。

Predicting oil price movements: A dynamic Artificial Neural Network approach

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