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:: Volume 10, Issue 43 (زمستان 1393 2015) ::
QEER 2015, 10(43): 129-154 Back to browse issues page
A Comparison of the Predictive Ability of Artificial Neural Network (ANN), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Wavelet Transform- Neuro Models: OPEC's Basket Crude Oil Price
Ali Emami Meibodi *1 , Sabah Bagheri2
1- Allameh Tabataba'i University , Ali_meibodi@yahoo.com
2- Power and Water University Technology
Abstract:   (8069 Views)

Forecasting crude oil price is among the most important issues facing energy economists. Forecasting Suitable of oil price and OPEC crude oil price too, due to involvement many of developing countries in the organization with oil price, can be planning by the organization and its member states, has special significance. Estimation and forecasting of oil price trend is a cumbersome task due to lack of significance historical data and limitations on information regarding of economic indicators affecting the oil price trend. This, in turn, intensifies the amounts of parametric noise, complexity and uncertainty associated with estimation of oil price trend. Nevertheless, the success in formulating a reliable model to describe the complex dynamics of this commodity is limited. In this study, artificial neural network, Neuro-Fuzzy network and wavelet transform-neuro hybrid model and daily OPEC basket oil price, for modeling and prediction of short-term OPEC crude oil price is used. The results of these models based on criteria of measuring forecast accuracy, are compared. Results of the study shows that, firstly, de-noise data can improve network performance and secondly, Neuro-Fuzzy network than other models used in this paper has better predictive power.

Keywords: Short-term forecast, OPEC crude oil basket, artificial neural network, Neuro-Fuzzy network, wavelets transform.
Full-Text [PDF 694 kb]   (8299 Downloads)    
Type of Study: Thesis(M.A.) | Subject: Oil-Market
Received: 2013/08/17 | Accepted: 2014/06/10 | Published: 2015/11/7 | ePublished: 2015/11/7
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Emami Meibodi A, Bagheri S. A Comparison of the Predictive Ability of Artificial Neural Network (ANN), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Wavelet Transform- Neuro Models: OPEC's Basket Crude Oil Price. QEER 2015; 10 (43) :129-154
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Volume 10, Issue 43 (زمستان 1393 2015) Back to browse issues page
فصلنامه مطالعات اقتصاد انرژی Quarterly Energy Economics Review
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