Multi-Source Model of Heterogeneous Data Analysis for Oil Price Forecasting

Baboshkin, Pavel; Uandykova, Mafura

doi:10.32479/ijeep.10853

Cited by 10 publications

(1 citation statement)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Furthermore, forecasting the return on gold price for shorter and longer periods can provide valuable information for investors, enabling them to devise effective buying and selling strategies [14][15][16][17][18][19]. Additionally, accurate forecasting of gold prices can benefit commodity markets and the global economy.…”

Section: Introductionmentioning

confidence: 99%

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

Bunnag

2024

Ekon. J. Econ.

View full text Add to dashboard Cite

This paper studies the importance of gold's effect on investment and the fact that gold is often seen as a safe-haven asset during economic uncertainty. When inflation rates rise, investors may turn to gold to preserve their wealth; the government will reserve gold to reduce the exchange rate risk. To provide a comprehensive analysis, the study incorporates forecasting the price of gold using both the Autoregressive Integrated Moving Average (ARIMA) and ARIMA-Generalized Autoregressive Conditional Heteroskedasticity (ARIMA-GARCH) models. The gold price data is daily from 1/01/2021 to 3/01/2024. We perform model comparisons that the ARIMA (2,1,3) and the ARIMA (2,1,3)-GARCH (1,1), which model gives lower mean absolute error (MAE) and root mean squared error (RMSE) values. The results show that the MAE and RMSE predictions of the ARIMA (2,1,3)-GARCH (1,1) model are 80.1371 and 96.8299, better than those of the other model. Therefore, the ARIMA (2,1,3)-GARCH (1,1) model forecast results are better precise. It gives a forecast value for gold prices in the world market at the end of 2024 of 1942.094 USD per troy ounce. Hence, the recommendation for investors and policymakers is that if the price is higher than 1942.094 USD per troy ounce in 2024, investors and policymakers should slow down to buy and wait for it to adjust first, or investors and policymakers with gold should gradually sell to make some profit. Moreover, good portfolio management will reduce the exchange rate risk by including an optimized amount of gold in currency portfolios. However, holding gold is risky; its prices may fluctuate due to factors beyond our control, such as war, uncertainty about world economic growth, and inflation. Therefore, investors and policymakers should consider the abovementioned factors and be careful when hedging in gold.

show abstract

Section: Introductionmentioning

confidence: 99%

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

Bunnag

2024

Ekon. J. Econ.

View full text Add to dashboard Cite

show abstract

Unifying Economic and Language Models for Enhanced Sentiment Analysis of the Oil Market

Kaplan,

Mundani,

Rölke

et al. 2024

Enterprise Information Systems

View full text Add to dashboard Cite

Crude oil, a critical component of the global economy, has its prices influenced by various factors such as economic trends, political events, and natural disasters. Traditional prediction methods based on historical data have their limits in forecasting, but recent advancements in natural language processing bring new possibilities for event-based analysis. In particular, Language Models (LM) and their advancement, the Generative Pre-trained Transformer (GPT), have shown potential in classifying vast amounts of natural language. However, these LMs often have difficulty with domain-specific terminology, limiting their effectiveness in the crude oil sector. Addressing this gap, we introduce CrudeBERT, a fine-tuned LM specifically for the crude oil market. The results indicate that CrudeBERT's sentiment scores align more closely with the WTI Futures curve and significantly enhance price predictions, underscoring the crucial role of integrating economic principles into LMs.

show abstract

Theoretical Foundations of the Relationship between Energy Investment, Monetary Conditions, Financial Development, and Economic Growth

Uandykova¹

2022

Multidimensional Strategic Outlook on Global Competitive Energy Economics and Finance

View full text Add to dashboard Cite

Multi-Source Model of Heterogeneous Data Analysis for Oil Price Forecasting

Cited by 10 publications

References 26 publications

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

Unifying Economic and Language Models for Enhanced Sentiment Analysis of the Oil Market

Theoretical Foundations of the Relationship between Energy Investment, Monetary Conditions, Financial Development, and Economic Growth

Contact Info

Product

Resources

About