A New Hybrid Forecasting Model Based on SW-LSTM and Wavelet Packet Decomposition: A Case Study of Oil Futures Prices

摘要

The crude oil futures prices forecasting is a significant research topic for the management of the energy futures market. In order to optimize the accuracy of energy futures prices prediction, a new hybrid model is established in this paper which combines wavelet packet decomposition (WPD) based on long short-term memory network (LSTM) with stochastic time effective weight (SW) function method (WPD-SW-LSTM). In the proposed framework, WPD is a signal processing method employed to decompose the original series into subseries with different frequencies and the SW-LSTM model is constructed based on random theory and the principle of LSTM network. To investigate the prediction performance of the new forecasting approach, SVM, BPNN, LSTM, WPD-BPNN, WPD-LSTM, CEEMDAN-LSTM, VMD-LSTM, and ST-GRU are considered as comparison models. Moreover, a new error measurement method (multiorder multiscale complexity invariant distance, MMCID) is improved to evaluate the forecasting results from different models, and the numerical results demonstrate that the high-accuracy forecast of oil futures prices is realized.