A novel hybrid forecasting system for crude oil futures prices: A dual perspective of deterministic forecasting and uncertainty analysis

The crude oil market occupies a crucial place in the composition of the global economy, however, the high level of uncertainty in crude oil prices makes it a challenging task to construct reliable forecasting techniques to obtain reliable expected results. Therefore, to effectively cope with the high uncertainty and the technical limitations of existing forecasting studies, this study constructs a hybrid forecasting system from the dual perspectives of deterministic forecasting and uncertainty analysis. With the concept of "denoising-integration" as the core, the system integrates several denoising techniques, econometric methods, and artificial intelligence methods, and establishes a hybrid forecasting model with high accuracy and robustness with the assistance of multi-objective optimization theory. Furthermore, by introducing fuzzy theory onto the basis of deterministic prediction results, an interval forecasting model with a narrower interval width and better comprehensive performance is constructed under the premise of ensuring that the coverage of prediction intervals meets the requirements of the confidence level. In this study, the forecasting system is applied to four global core crude oil futures markets, and the empirical study finds that the performance is improved by more than 50 % compared with the benchmark model, which has an impressive performance advantage.