Forecasting Crude Oil Prices Using a Convolutional Neural Network with Time-Delay Embedding
This paper proposes a novel hybrid forecasting model, TDE-CNN, to model the complex dynamics of crude oil price movements. The model integrates Time-Delay Embedding (TDE) Method with a Convolutional Neural Network (CNN) to leverage both spatial and temporal information. The TDE-CNN model uses the TDE method to transform raw crude oil data into higher-dimensional space to reveal underlying spatio-temporal patterns, while the CNN effectively models these patterns for improved predictive accuracy. The TDE-CNN model is applied to forecast major crude oil spot price movements, and its forecasting performance has been comprehensively and rigorously evaluated. Empirical results demonstrate that the TDE-CNN model achieves lower forecasting errors compared to benchmark models, as measured by Mean Squared Error (MSE). Additionally, the Diebold-Mariano test confirms that the improvement in forecasting accuracy is statistically significant.
Authors
- Yingchao Zou
- Kaijian He (ORCID: https://orcid.org/0000-0001-8097-4435)
- Lean Yu (ORCID: https://orcid.org/0000-0002-8035-4938)
- Jia Liu (ORCID: https://orcid.org/0000-0001-8104-0079)
Institutions
- Hunan Normal University (CN)
- Sichuan University (CN)
- Changsha Normal University (CN)
- University of Portsmouth (GB)
Publication Details
- Journal
- International Journal of Information Technology & Decision Making
- Published
- 2025-01-10
- DOI
- https://doi.org/10.1142/s0219622025410020
- Primary Topic
- Currency Recognition and Detection
- Type
- article
- Field-Weighted Citation Impact
- 0.00