Intelligent crude oil price probability forecasting: Deep learning models and industry applications

• Published in: Computers in industry Vol. 163; p. 104150
• Main Authors: Shen, Liang, Bao, Yukun, Hasan, Najmul, Huang, Yanmei, Zhou, Xiaohong, Deng, Changrui
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.12.2024
• Subjects: Bidirectional long short-term memory; Convolutional neural network; Crude oil price; Ensemble empirical mode decomposition; Probability density forecast; Quantile regression; Probability density forecast; Crude oil price; Ensemble empirical mode decomposition; Quantile regression; Bidirectional long short-term memory; Convolutional neural network
• ISSN: 0166-3615
• DOI: 10.1016/j.compind.2024.104150

The crude oil price has been subject to periodic fluctuations because of seasonal changes in industrial demand and supply, weather, natural disasters and global political unrest. An accurate forecast of crude oil prices is of utmost importance for decision makers and industry players in the energy sector. Despite this, the volatility of crude oil prices contributes to the uncertainty of the energy industry, which was particularly challenging following the recent global spread of the COVID-19 epidemic and the Russia–Ukraine conflict. This paper proposes a hybrid deep learning (DL) modelling framework to deal with the volatility of crude oil prices, applying ensemble empirical mode decomposition (EEMD), convolutional neural network (CNN) and bidirectional long short-term memory (BiLSTM) integrated with quantile regression (QR); named EEMD-CNN-BiLSTM-QR. Two real-world datasets on crude oil prices from the West Texas Intermediate and Brent Crude Oil markets were employed to validate the EEMD-CNN-BiLSTM-QR hybrid modelling framework. Given that the probability density forecast can capture uncertainty, an in-depth analysis was carried out and prediction accuracy calculated. The findings of this study demonstrate that the proposed EEMD-CNN-BiLSTM-QR DL modelling framework, which uses the probability density forecast method, is superior to other tested models in terms of its ability to forecast crude oil prices. The novelty of this study stems mainly from its use of QR, which allows for the description of the conditional distribution of predicted variables and the extraction of more uncertain information for probability density forecasts. •A decomposition ensemble technique can effectively improve forecasting accuracy.•The proposed EEMD-CNN-BiLSTM-QR hybrid model exhibits superior forecasting accuracy.•A CNN-BiLSTM model can extract relevant spatial and temporal features from time series.•Energy companies may improve their safeguarding policies and reduce losses due to price volatility.