TY - CHAP
T1 - An EMD-based neural network ensemble learning model for world crude oil spot price forecasting
AU - Yu, Lean
AU - Wang, Shouyang
AU - Lai, Kin Keung
PY - 2008
Y1 - 2008
N2 - In this study, an empirical mode decomposition (EMD) based neural network ensemble learning model is proposed for world crude oil spot price modeling and forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite and often small number of intrinsic mode functions (IMFs). Then the three-layer feed-forward neural network (FNN) model was used to model each extracted IMFs so that the tendencies of these IMFs can be accurately predicted. Finally, the prediction results of each IMFs are combined with an adaptive linear neural network (ALNN) to formulate a ensemble output for the original oil series. For verification, two main crude oil price series, West Texas Intermediate (WTI) crude oil spot price and Brent crude oil spot price are used to test the effectiveness of this proposed neural network ensemble methodology. © 2008 Springer-Verlag Berlin Heidelberg.
AB - In this study, an empirical mode decomposition (EMD) based neural network ensemble learning model is proposed for world crude oil spot price modeling and forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite and often small number of intrinsic mode functions (IMFs). Then the three-layer feed-forward neural network (FNN) model was used to model each extracted IMFs so that the tendencies of these IMFs can be accurately predicted. Finally, the prediction results of each IMFs are combined with an adaptive linear neural network (ALNN) to formulate a ensemble output for the original oil series. For verification, two main crude oil price series, West Texas Intermediate (WTI) crude oil spot price and Brent crude oil spot price are used to test the effectiveness of this proposed neural network ensemble methodology. © 2008 Springer-Verlag Berlin Heidelberg.
KW - Adaptive linear neural network
KW - Crude oil price prediction
KW - Empirical mode decomposition
KW - Ensemble learning
KW - Feed-forward neural network
UR - http://www.scopus.com/inward/record.url?scp=42349110398&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-42349110398&origin=recordpage
U2 - 10.1007/978-3-540-79005-1_14
DO - 10.1007/978-3-540-79005-1_14
M3 - RGC 12 - Chapter in an edited book (Author)
SN - 9783540790044
VL - 230
T3 - Studies in Fuzziness and Soft Computing
SP - 261
EP - 271
BT - Soft Computing Applications in Business
ER -