Which risk factors drive oil futures price curves?
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104676
Abstract: We develop extensions that introduce regression structure to the multi-factor stochastic models of commodity futures price term structure dynamics. We demonstrate the accuracy with which these models can be calibrated to oil futures data and… read more here.
Keywords: factors drive; oil futures; risk factors; futures price ... See more keywords
Decomposition-selection-ensemble forecasting system for energy futures price forecasting based on multi-objective version of chaos game optimization algorithm
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102234
Abstract: Abstract Effective crude oil and natural gas futures price forecasting is a crucial endeavor for financial energy markets and is also a challenging work due to the nonlinear and fluctuant characteristic of futures price time… read more here.
Keywords: forecasting system; energy; futures price; selection ... See more keywords
A Stock Index Futures Price Prediction Approach Based on the MULTI-GARCH-LSTM Mixed Model
Sign Up to like & getrecommendations! Published in 2024 at "Mathematics"
DOI: 10.3390/math12111677
Abstract: As a type of financial derivative, the price fluctuation of futures is influenced by a multitude of factors, including macroeconomic conditions, policy changes, and market sentiment. The interaction of these factors makes the future trend… read more here.
Keywords: index futures; stock index; futures price; price ... See more keywords
Enhanced futures price-spread forecasting based on an attention-driven optimized LSTM network: integrating an improved grey wolf optimizer algorithm for enhanced accuracy
Sign Up to like & getrecommendations! Published in 2025 at "PeerJ Computer Science"
DOI: 10.7717/peerj-cs.2865
Abstract: Financial market prediction faces significant challenges due to the complex temporal dependencies and heterogeneous data relationships inherent in futures price-spread data. Traditional machine learning methods struggle to effectively mine these patterns, while conventional long short-term… read more here.
Keywords: improved grey; wolf optimizer; price spread; grey wolf ... See more keywords