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Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model

A new method based on integrating discrete wavelet transform and artificial neural networks (WANN) model for daily crude oil price forecasting is proposed. The discrete Mallat wavelet transform is used to decompose the crude price series into one approximation series and some details series (DS). Th...

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Main Authors: Shabri, Ani, Samsudin, Ruhaidah
Format: Article
Language:English
Published: Hindawi Publishing Corporation 2014
Subjects:
Q Science
Online Access:http://eprints.utm.my/id/eprint/52283/1/AniShabri2014_DailyCrudeOilForecastingUsingHybriding.pdf
http://eprints.utm.my/id/eprint/52283/
http://dx.doi.org/10.1155/2014/201402
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spelling my.utm.522832018-09-17T04:01:36Z http://eprints.utm.my/id/eprint/52283/ Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model Shabri, Ani Samsudin, Ruhaidah Q Science A new method based on integrating discrete wavelet transform and artificial neural networks (WANN) model for daily crude oil price forecasting is proposed. The discrete Mallat wavelet transform is used to decompose the crude price series into one approximation series and some details series (DS). The new series obtained by adding the effective one approximation series and DS component is then used as input into the ANN model to forecast crude oil price. The relative performance of WANN model was compared to regular ANN model for crude oil forecasting at lead times of 1 day for two main crude oil price series, West Texas Intermediate (WTI) and Brent crude oil spot prices. In both cases, WANN model was found to provide more accurate crude oil prices forecasts than individual ANN model Hindawi Publishing Corporation 2014 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/52283/1/AniShabri2014_DailyCrudeOilForecastingUsingHybriding.pdf Shabri, Ani and Samsudin, Ruhaidah (2014) Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model. Mathematical Problems in Engineering . ISSN 1024-123X http://dx.doi.org/10.1155/2014/201402 DOI: 10.1155/2014/201402
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic Q Science
spellingShingle Q Science
Shabri, Ani
Samsudin, Ruhaidah
Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
description A new method based on integrating discrete wavelet transform and artificial neural networks (WANN) model for daily crude oil price forecasting is proposed. The discrete Mallat wavelet transform is used to decompose the crude price series into one approximation series and some details series (DS). The new series obtained by adding the effective one approximation series and DS component is then used as input into the ANN model to forecast crude oil price. The relative performance of WANN model was compared to regular ANN model for crude oil forecasting at lead times of 1 day for two main crude oil price series, West Texas Intermediate (WTI) and Brent crude oil spot prices. In both cases, WANN model was found to provide more accurate crude oil prices forecasts than individual ANN model
format Article
author Shabri, Ani
Samsudin, Ruhaidah
author_facet Shabri, Ani
Samsudin, Ruhaidah
author_sort Shabri, Ani
title Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
title_short Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
title_full Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
title_fullStr Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
title_full_unstemmed Daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
title_sort daily crude oil price forecasting using hybridizing wavelet and artificial neural network model
publisher Hindawi Publishing Corporation
publishDate 2014
url http://eprints.utm.my/id/eprint/52283/1/AniShabri2014_DailyCrudeOilForecastingUsingHybriding.pdf
http://eprints.utm.my/id/eprint/52283/
http://dx.doi.org/10.1155/2014/201402
_version_ 1643653177788071936
score 13.214268

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