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.
Authors
- Xianrong Zheng (ORCID: https://orcid.org/0000-0003-2695-9642)
- Ravi Mukkamala (ORCID: https://orcid.org/0000-0001-6323-9789)
- Hind Aldabagh
- Mohammad Najand
Institutions
- Decision Sciences (United States) (US)
- Old Dominion University (US)
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