نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری رشته حسابداری، گروه حسابداری، واحد تهران غرب، دانشگاه آزاد اسلامی، تهران، ایران.
2 استادیار، گروه حسابداری، واحد تهران غرب، دانشگاه آزاد اسلامی، تهران، ایران.
چکیده
نوسانات زیاد قیمت نفت خام به عنوان منبع اصلی انرژی و ماده‌اولیه مهم صنعت شیمیایی جهانی، اهمیت تخمین دقیق و پیش‌بینی روند قیمت آنرا دوچندان کرده است. از اینرو هدف از انجام پژوهش کاربردی حاضر افزایش توان پیش‌بینی قیمت نفت‌خام با استفاده از الگوی‌های غیرخطی در هوش مصنوعی است. برای دستیابی به این هدف چهار شبکه پروسپترون ساده، شبکه بازگشتی، شبکه حافظه طولانی کوتاه‌مدت و شبکه عصبی واحدهای برگشتی گیت‌دار مدلسازی شده است سپس توانمندی آن‌ها نسبت به یکدیگر و مدل معیار مقایسه، و دقت پیش‌بینی آن‌ها با استفاده از روش خطای مربعات میانگین اشتباهات ارزیابی شده است. نمونه مورد مطالعه داده‌های نفت خام برنت دریای شمال از تاریخ 01/08/2007 لغایت 31/ 05/2024 به صورت روزانه و ماهانه و سالانه است. نتایج پژوهش نشان می‌دهد که معماری شبکه در این مدل‌ها نسبت به مدل‌های پیشین، در استخراج اطلاعات از داده‌ها توانمندتر بوده و زمان دستیابی به قیمت‌های آینده بهبود بخشیده شده است. همچنین از میان الگوهای غیرخطی، الگوی شبکه بازگشتی گیت‌دار در فرکانس‌های مختلف پیش‌بینی دقیق‌تر و با خطای کمتری از قیمت نفت را به دست می‌دهد
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
Modeling of Artificial Intelligence Non-linear Algorithms in Oil Price Forecasting
نویسندگان [English]
- Sajad Piri 1
- Zahra Farshadfar 2
1 Ph.D. Student of Accounting, Department of Accounting, West Tehran Branch, Islamic Azad University, Tehran, Iran.
2 Assistant Professor, Department of Accounting, West Tehran Branch, Islamic Azad University, Tehran, Iran.
چکیده [English]
High fluctuations in the price of crude oil, as the main source of energy and an important raw material of the global chemical industry, has doubled the importance of accurate estimation and forecasting of its price trend in recent years. The purpose of this applied research, is to increase the ability to predict crude oil prices using non-linear patterns by artificial intelligence. For this purpose, four artificial intelligence networks MLP, RNN, LSTM and GRU have been used and their capabilities compared to each other and the benchmark model, besides their prediction accuracy have been evaluated using the mean squared error method. The studied sample is North Sea Brent crude oil data from Aug 1st 2007 to May 31st 2024 on a daily, monthly and yearly basis.
The results of the research indicate that the network architecture in these models have several advantages in extracting information from the data in order to make more accurate predictions, and the time to obtain future prices is shorter and less error-prone. Also, among the selected non-linear models, GRU has more accurate predictions with less error in different frequencies and in a shorter time.
Introduction
As oil price fluctuations affect both oil exporting and importing countries in different ways, crude oil price is one of the most important key variables in international trade (Salik and Khorsandi, 2022), As a result, policymakers and oil market experts pay attention to its price and its fluctuations. The price of crude oil in the market is the result of many fundamental and non-fundamental factors (Shakri et al., 2018). Therefore, it is not simply possible to categorize and model all the factors affecting the price of crude oil. Since all the basic and non-basic factors that affect the price formation will finally appear in the price of crude oil, it is necessary to pay attention to the price and its fluctuations (Yadgari et al., 2022). Previous research indicate that the trend of oil price changes follows a non-linear pattern (Guo, 2019); and among the non-linear models used in predicting the price of oil, models based on artificial intelligence have shown better results (Gumus and Kiran, 2017; Zhao et al., 2017; Gao et al., 2022). Therefore, the purpose of this research is to improve crude oil prices out-of-sample prediction using non-linear machine learning algorithms. It is assumed that this non-linear long-short-term memory method has better performance than historical average method and multilayer perceptron network and recurrent network.
Methods and Material
The purpose of this applied research, is to increase the ability to predict crude oil prices using non-linear patterns by artificial intelligence. For this purpose, four artificial intelligence networks MLP, RNN, LSTM and GRU have been used and their capabilities compared to each other and the benchmark model, besides their prediction accuracy have been evaluated using the mean squared error method. The studied sample is North Sea Brent crude oil data from Aug 1st 2007 to May 31st 2024 on a daily, monthly and yearly basis.
Results and Discussion
The results of the research indicate that nonlinear neural network models have a better ability in predicting crude oil price in different daily, monthly and yearly frequencies with different volumes of training data compared to historical average linear model and it has less error. These findings are consistent with the results of Farshadfar and Prokopczuk (2019), Luo et al. (2022) and Zang et al. (2020).Calculations and estimation of the studied models show that the MSFE prediction criterion in all the samples used by the GRU is better than other networks. It also indicates that with the increase in training data amount, network prediction power increases.
Conclusion
It can be concluded that the network architecture in these models have several advantages in extracting information from the data in order to make more accurate predictions, and the time to obtain future prices is shorter and less error-prone. Besides that, among the selected non-linear models, GRU has provided more accurate predictions with less errors in different frequencies and in a shorter time.
Acknowledgments
Authors would like to appreciate Eng. Behzad Alipour for his kind collaboration in program coding.
کلیدواژه‌ها [English]
- Crude Oil
- Energy
- Machine learning
- Neural Network
- Recurrent Networks
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