[논문]기계학습기법에 기반한 국제 유가 예측 모델

박강희; 신현정

doi:10.7232/jkiie.2011.37.1.064

기계학습기법에 기반한 국제 유가 예측 모델
Oil Price Forecasting Based on Machine Learning Techniques 원문보기

대한산업공학회지 = Journal of the Korean Institute of Industrial Engineers, v.37 no.1, 2011년, pp.64 - 73

박강희 (아주대학교 산업공학과) , (아주대학교 산업공학과) , 신현정 (아주대학교 산업정보시스템공학부)

Abstract ▼ AI-Helper

Oil price prediction is an important issue for the regulators of the government and the related industries. When employing the time series techniques for prediction, however, it becomes difficult and challenging since the behavior of the series of oil prices is dominated by quantitatively unexplained irregular external factors, e.g., supply- or demand-side shocks, political conflicts specific to events in the Middle East, and direct or indirect influences from other global economical indices, etc. Identifying and quantifying the relationship between oil price and those external factors may provide more relevant prediction than attempting to unclose the underlying structure of the series itself. Technically, this implies the prediction is to be based on the vectoral data on the degrees of the relationship rather than the series data. This paper proposes a novel method for time series prediction of using Semi-Supervised Learning that was originally designed only for the vector types of data. First, several time series of oil prices and other economical indices are transformed into the multiple dimensional vectors by the various types of technical indicators and the diverse combination of the indicator-specific hyper-parameters. Then, to avoid the curse of dimensionality and redundancy among the dimensions, the wellknown feature extraction techniques, PCA and NLPCA, are employed. With the extracted features, a timepointspecific similarity matrix of oil prices and other economical indices is built and finally, Semi-Supervised Learning generates one-timepoint-ahead prediction. The series of crude oil prices of West Texas Intermediate (WTI) was used to verify the proposed method, and the experiments showed promising results : 0.86 of the average AUC.

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기계학습기법에 기반한 국제 유가 예측 모델
Oil Price Forecasting Based on Machine Learning Techniques 원문보기

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기계학습기법에 기반한 국제 유가 예측 모델 Oil Price Forecasting Based on Machine Learning Techniques 원문보기

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기계학습기법에 기반한 국제 유가 예측 모델
Oil Price Forecasting Based on Machine Learning Techniques 원문보기