TEI@I Methodologyfor Forecasting.pptVIP

Data Mining: Concepts and Techniques TEI@I Methodologyfor Forecasting Shouyang Wang Academy of Mathematics and Systems Science Chinese Academy of Sciences Jointly with Lean Yu and K.K.Lai Email: sywang@ and Outline Introduction The TEI@I methodology for crude oil price forecasting A simulation study Concluding remarks Introduction I Importance of oil price forecasting: The role of oil in the world economy becomes more and more significant because nearly two-thirds of the world’s energy consumption comes from the crude oil and natural gas. For example, worldwide consumption of crude oil exceeds $500 billion, roughly 10% of the USA’s GDP. crude oil is also the world’s most actively traded commodity, accounting for about 10% of total world trade. Introduction II Determination of oil price : Basically, crude oil price is determined by its supply and demand, and is strongly influenced by many irregular future events like the weather, stock levels, GDP growth, political aspects and even people’s expectation. The above facts lead to a strongly fluctuating and interacting market whose fundamental mechanism governing the complex dynamics is not well understood. Furthermore, because sharp oil price movements are likely to disturb aggregate economic activity, researchers have shown considerable interests for volatile oil prices. Therefore, forecasting oil prices is an important and very hard topic due to its intrinsic difficulty and practical applications. Introduction III Main literature about oil price forecasting: Watkins, G.C., Plourde, A.: How volatile are crude oil prices? OPEC Review, 18(4), (1994) 220-245. Hagen, R.: How is the international price of a particular crude determining? OPEC Review, 18 (1), (1994) 145-158 Stevens, P.: The determination of oil prices 1945-1995. Energy Policy, 23(10), (1995) 861-870 Huntington, H.G.: Oil price forecasting in the 1980s: what went wrong? The Energy Journal, 15(2), (1994) 1-22. Abramson, B., Finizza, A.: Probabi