Next Article in Journal / Special Issue
What Determines Utility of International Currencies?
Previous Article in Journal
Using Unconventional Wisdom to Re-Assess and Rebuild the BRICS
Previous Article in Special Issue
The Impact of Exchange Rate Volatility on Exports in Vietnam: A Bounds Testing Approach
Article Menu

Export Article

Open AccessArticle
J. Risk Financial Manag. 2019, 12(1), 9; https://doi.org/10.3390/jrfm12010009

Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks

1
Graduate School of System Informatics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan
2
Graduate School of Economics, Kobe University, 2-1 Rokkodai, Nada-Ku, Kobe 657-8501, Japan
*
Author to whom correspondence should be addressed.
Received: 21 November 2018 / Revised: 25 December 2018 / Accepted: 2 January 2019 / Published: 8 January 2019
(This article belongs to the Special Issue Empirical Finance)
Full-Text   |   PDF [1255 KB, uploaded 8 January 2019]   |  

Abstract

This paper proposes a novel approach, based on convolutional neural network (CNN) models, that forecasts the short-term crude oil futures prices with good performance. In our study, we confirm that artificial intelligence (AI)-based deep-learning approaches can provide more accurate forecasts of short-term oil prices than those of the benchmark Naive Forecast (NF) model. We also provide strong evidence that CNN models with matrix inputs are better at short-term prediction than neural network (NN) models with single-vector input, which indicates that strengthening the dependence of inputs and providing more useful information can improve short-term forecasting performance. View Full-Text
Keywords: crude oil futures prices forecasting; convolutional neural networks; short-term forecasting crude oil futures prices forecasting; convolutional neural networks; short-term forecasting
Figures

Graphical abstract

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed
Printed Edition Available!
A printed edition of this Special Issue is available here.

Share & Cite This Article

MDPI and ACS Style

Luo, Z.; Cai, X.; Tanaka, K.; Takiguchi, T.; Kinkyo, T.; Hamori, S. Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks. J. Risk Financial Manag. 2019, 12, 9.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top