A new crude oil price forecasting model based on variational mode decomposition
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摘要
Crude oil price prediction helps to get a better understanding of the global economic situation. Recently, variational mode decomposition (VMD) is introduced into the field of crude oil price forecasting. However, there is a lack of general selection rule for VMD-parameter and the widely adopted one-time decomposition strategy seems not suitable for practical application. Thus, an improved signal-energy based (ISE) rule is proposed as an improvement of the existing signal-energy based (SE) rule for the VMD-parameter selection. The moving-window strategy is put forward as a supplement for the decomposition strategy. Finally, a prediction model (VMD-LSTM-MW model) is built by combining the VMD, the long short-term memory (LSTM) network, and the moving-window strategy. The effectiveness of the ISE rule, the validity of the moving-window strategy, and the superiority of the VMD-LSTM-MW model are demonstrated by conducting monthly and daily crude oil price prediction experiments.
论文关键词:Crude oil price forecasting,Variational mode decomposition,Long short-term memory network
论文评审过程:Received 26 February 2020, Revised 9 October 2020, Accepted 8 December 2020, Available online 24 December 2020, Version of Record 4 January 2021.
论文官网地址:https://doi.org/10.1016/j.knosys.2020.106669