雲亭數學講壇2022第66講——郭精軍教授

    應學院邀請，蘭州财經大學郭精軍教授将在線作學術報告。

    報告題目：Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework

    報告摘要：Crude oil is an important global commodity, and its price fluctuation affects the political and economic security of a country. Therefore, it is necessary to conduct crude oil price forecasting. Based on the forecasting research of multi-source information and decomposition-ensemble, we combine the two into a model and propose a multiperspective crude oil price forecasting model under a new decomposition-ensemble framework. Specifically, the crude oil price series is decomposed and reconstructed into several modes through variational mode decomposition (VMD) and fuzzy entropy (FE). Further, we screen the effective predictors from structured and unstructured multi-source data using the Granger causality test, and select the optimal input features through random forest - recursive feature elimination (RF-RFE). Finally, each reconstruction mode is individually forecasted on the basis of the selected different input features and the forecasting values obtained are combined and integrated; the final result is obtained from the integrating prediction results through the error evaluation criterion. The West Texas Intermediate (WTI) daily spot price is adopted to validate the performance of our proposed model. The empirical results show that compared with the benchmark models, the proposed model can significantly improve forecasting accuracy.  

 報告時間：2022年10月27日8:30

 報告地點：騰訊會議号703 868 614

 邀 請 人：韓琦 副教授

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報告人簡介

郭精軍，蘭州财經大學教授，博士，博士生導師，統計學院副院長。擔任全國青年統計學家協會理事、管理科學與工程學會金融計量與風險管理分會學理事等。入選甘肅省飛天學者人選。研究興趣：随機分析、金融統計與風險管理等。主持或參與國家級、省級項目10餘項。發表學術論文30餘篇。合作出版學術著作2部，參與編著教材3部。獲首屆甘肅省優秀碩士論文指導教師稱号。