Journal
ENERGY
Volume 213, Issue -, Pages -Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.energy.2020.118787
Keywords
Energy market; Prediction neural network for energy; futures; Gated recurrent unit; Stochastic time intensity; Prediction accuracy estimate; Composite multiscale cross-sample entropy
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Funding
- National Natural Science Foundation of China [71271026]
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Energy futures market has occupied an extremely significant position in financial markets, attracting a large amount of scholars to search out its price formation mechanism. To predict the price of energy futures has become a pivotal issue. For the sake of enhancing the forecasting accuracy of energy futures prices, a novel model ST-GRU is proposed by embedding stochastic time intensity function into gated recurrent unit model (GRU). ST-GRU, GRU, LSTM, WNN and BPNN models are applied to predict the daily closing prices of West Texas Intermediate crude oil, Brent crude oil, Natural gas and Heating oil respectively. In error assessment, the prediction effects of various models are compared by general benchmarks. Then composite multiscale cross-sample entropy (CMSCE) algorithm is utilized to analyze the synchronization between the predicted value and the real value. In order to further predict the volatility of futures closing price and demonstrate the superiority of the ST-GRU model, the abovementioned five models are used to predict and analyze 5-day, 10-day and 20-day moving average logarithmic return (MALR) series of four energy indexes. Finally, comparative experiments indicate that ST-GRU model has the highest prediction precision and the best learning performance. (C) 2020 Elsevier Ltd. All rights reserved.
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