Forecasting Crude Oil Price Using Multiple Factors

In this paper, we predict crude oil price using various factors that may influence its price. The factors considered are physical market, financial, and trading market factors, including seven key factors and the dollar index. Firstly, we select the main factors that may greatly influence the prices. Then, we develop a hybrid model based on a convolutional neural network (CNN) and long short-term memory (LSTM) network to predict the prices. Lastly, we compare the CNN–LSTM model with other models, namely gradient boosting (GB), decision trees (DTs), random forests (RFs), neural networks (NNs), CNN, LSTM, and bidirectional LSTM (Bi–LSTM). The empirical results show that the CNN–LSTM model outperforms these models.

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Publication Details

Journal
Journal of risk and financial management
Published
2024-09-19
DOI
https://doi.org/10.3390/jrfm17090415
Citations
5
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
5.65
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article

Forecasting Crude Oil Price Using Multiple Factors

Xianrong Zheng, Ravi Mukkamala, Hind Aldabagh, Mohammad Najand
5 citations
Journal of risk and financial management
Market Dynamics and Volatility
5.65
article

Forecasting Crude Oil Price Using Multiple Factors

Xianrong Zheng, Ravi Mukkamala, Hind Aldabagh, Mohammad Najand
article en
5 citations

Abstract

In this paper, we predict crude oil price using various factors that may influence its price. The factors considered are physical market, financial, and trading market factors, including seven key factors and the dollar index. Firstly, we select the main factors that may greatly influence the prices. Then, we develop a hybrid model based on a convolutional neural network (CNN) and long short-term memory (LSTM) network to predict the prices. Lastly, we compare the CNN–LSTM model with other models, namely gradient boosting (GB), decision trees (DTs), random forests (RFs), neural networks (NNs), CNN, LSTM, and bidirectional LSTM (Bi–LSTM). The empirical results show that the CNN–LSTM model outperforms these models.

Journal of risk and financial managementVol. 17(9)
Decision Sciences (United States) (US), Old Dominion University (US)
Openalex Percentile: Top 4%
Market Dynamics and Volatility
5.65
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Forecasting Crude Oil Price Using Multiple Factors — Xianrong Zheng, Ravi Mukkamala, et al. · Journal of risk and financial management (2024) | TGRS Research Map | TGRS