Enhancing Multistep Brent Oil Price Forecasting with a Multi-Aspect Metaheuristic Optimization Approach and Ensemble Deep Learning Models

• URL: http://arxiv.org/abs/2407.12062v1
• Date: Mon, 15 Jul 2024 22:27:14 GMT
• Title: Enhancing Multistep Brent Oil Price Forecasting with a Multi-Aspect Metaheuristic Optimization Approach and Ensemble Deep Learning Models
• Authors: Mohammed Alruqimi, Luca Di Persio,
• Abstract summary: We propose a hybrid approach combining metaheuristic optimisation and an ensemble of five popular neural network architectures. We exploit the GWO metaheuristic optimiser at four levels: feature selection, data preparation, model training, and forecast blending. The proposed approach has been evaluated for forecasting three-ahead days using real-world Brent crude oil price data.
• Score: 1.03590082373586
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Accurate crude oil price forecasting is crucial for various economic activities, including energy trading, risk management, and investment planning. Although deep learning models have emerged as powerful tools for crude oil price forecasting, achieving accurate forecasts remains challenging. Deep learning models' performance is heavily influenced by hyperparameters tuning, and they are expected to perform differently under various circumstances. Furthermore, price volatility is also sensitive to external factors such as world events. To address these limitations, we propose a hybrid approach combining metaheuristic optimisation and an ensemble of five popular neural network architectures used in time series forecasting. Unlike existing methods that apply metaheuristics to optimise hyperparameters within the neural network architecture, we exploit the GWO metaheuristic optimiser at four levels: feature selection, data preparation, model training, and forecast blending. The proposed approach has been evaluated for forecasting three-ahead days using real-world Brent crude oil price data, and the obtained results demonstrate that the proposed approach improves the forecasting performance measured using various benchmarks, achieving 0.000127 of MSE.

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