云亭数学讲坛2022第66讲——郭精军教授

    应学院邀请，兰州财经大学郭精军教授将在线作学术报告。

    报告题目：Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework

    报告摘要：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.  

 报告时间：2022年10月27日8:30

 报告地点：腾讯会议号703 868 614

 邀 请 人：韩琦 副教授

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报告人简介

郭精军，兰州财经大学教授，博士，博士生导师，统计学院副院长。担任全国青年统计学家协会理事、管理科学与工程学会金融计量与风险管理分会学理事等。入选甘肃省飞天学者人选。研究兴趣：随机分析、金融统计与风险管理等。主持或参与国家级、省级项目10余项。发表学术论文30余篇。合作出版学术著作2部，参与编著教材3部。获首届甘肃省优秀硕士论文指导教师称号。