Forecasting the Direction of Short-Term Crude Oil Price Changes with Genetic-Fuzzy Information Distribution

Abstract

This paper proposes a novel approach to the directional forecasting problem of short-term oil price changes. In this approach, the short-term oil price series is associated with incomplete fuzzy information, and a new fused genetic-fuzzy information distribution method is developed to process such a fuzzy incomplete information set; then a feasible coding method of multidimensional information controlling points is adopted to fit genetic-fuzzy information distribution to time series forecasting. Using the crude oil spot prices of West Texas Intermediate (WTI) and Brent as sample data, the empirical analysis results demonstrate that the novel fused genetic-fuzzy information distribution method statistically outperforms the benchmark of logistic regression model in prediction accuracy. The results indicate that this new approach is effective in direction accuracy.

How Does Internet Information Affect Oil Price Fluctuations? Evidence from the Hot Degree of Market

“…According to the principle proposed by Toda and Yamamoto, the VAR lag order selected here is 2. e SVAR model is estimated on the basis of equations ( 5) to (7), and the impact matrix is shown in equation (8). Observing the impact of various errors in fluctuations of oil prices, the value of b 41 is smaller than zero, indicating that the fluctuation of global oil supply has a certain negative impact on oil prices.…”

“…e fluctuation of oil prices will have an important impact on economic growth, stock exchange rates, bond markets, and national security, so the forecasting of crude oil prices has received much attention [3,4]. However, crude oil price prediction is a typical Nondeterministic Polynomial Complete (NP-C) problem, and the indicators affecting its price fluctuations are complex [5][6][7], not only being related to the supply and demand of fundamentals, but also to the USD exchange rate, emergencies, market speculation, and big country games [8,9]. e fluctuations of nonfundamental factors mostly lead to psychological changes in investors, triggering market speculation [10,11], which further causes changes in fundamental supply and demand.…”