Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks

摘要

This paper proposes a novel approach, based on convolutional neural network (CNN)models, that forecasts the short-term crude oil futures prices with good performance. In ourstudy, we confirm that artificial intelligence (AI)-based deep-learning approaches can providemore accurate forecasts of short-term oil prices than those of the benchmark Naive Forecast(NF) model. We also provide strong evidence that CNN models with matrix inputs are betterat short-term prediction than neural network (NN) models with single-vector input, which indicatesthat strengthening the dependence of inputs and providing more useful information can improveshort-term forecasting performance.