Publications

Authors:

Alruqimi, Mohammed; Di Persio, Luca

Title:

Multistep Brent oil price forecasting with a multi-aspect aeta-heuristic optimization and ensemble deep learning model

Year:

2024

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Format:

Elettronico

Referee:

Sì

Name of journal:

ENERGY INFORMATICS

ISSN of journal:

2520-8942

N° Volume:

7

Number or Folder:

1

Page numbers:

1-19

Keyword:

Crude oil price forecasting, Brent oil analysis, Time series forecasting, Ensemble learning, Grey Wolf Optimizer

Short description of contents:

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 that integrates metaheuristic optimisation with an ensemble of five widely used neural network architectures for 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.

Web page:

https://energyinformatics.springeropen.com/articles/10.1186/s42162-024-00421-4#Sec18

Product ID:

142912

Handle IRIS:

11562/1146187

Last Modified:

February 12, 2025

Bibliographic citation:

Alruqimi, Mohammed; Di Persio, Luca, Multistep Brent oil price forecasting with a multi-aspect aeta-heuristic optimization and ensemble deep learning model «ENERGY INFORMATICS» , vol. 7 , n. 1 , 2024 , pp. 1-19

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