Forecasting Crude Oil Prices: A Deep Learning based Model

Forecasting Crude Oil Prices: A Deep Learning based Model

Forecasting

Deep learning

Crude oil price

Costs

Learning systems

Autoregressive moving average model

Random processes

With the popularity of the deep learning model in the engineering fields, it has attracted significant research interests in the economic and finance fields. In this paper, we use the deep learning model to capture the unknown complex nonlinear characteristics of the crude oil price movement. We further propose a new hybrid crude oil price forecasting model based on the deep learning model. Using the proposed model, major crude oil price movement is analyzed and modeled. The performance of the proposed model is evaluated using the price data in the WTI crude oil markets. The empirical results show that the proposed model achieves the improved forecasting accuracy.

300-307

122

5th International Conference on Information Technology and Quantitative Management, ITQM 2017, December 8, 2017 - December 10, 2017

2017

Chen, Yanhui

He, Kaijian

Tso, Geoffrey K.F.

conferencePaper

18770509

10.1016/j.procs.2017.11.373