Multi-WRNN model for pricing the crude oil futures market

Zeinab Hajiabotorabi,Faramarz F. Samavati,Farid Mohammad Maalek Ghaini, Akbar Shahmoradi

Expert Systems with Applications（2021）

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摘要

•Proposing a multi-factor wavelet-based recurrent neural network model for crude oil futures pricing.•Using multiresolution decomposition in the model to predict non-stationary time series.•Introducing a flexible and versatile model to include new key factors.•Analyzing several local wavelets for constructing the wavelet-based model for the pricing.

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关键词

Discrete wavelet transform (DWT),B-spline multiresolution,Deep recurrent neural network (DRNN),Pricing future market,Time series forecasting,Volatility predicting

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