No Cover Image

Journal article 378 views 44 downloads

Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network

Ahmed Bouteska, Petr Hajek, Ben Fisher, Abedin Abedin

Research in International Business and Finance, Volume: 64, Start page: 101863

Swansea University Author: Abedin Abedin

  • 64246.VOR.pdf

    PDF | Version of Record

    © 2022 The Authors. Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution 4.0 License (CC BY 4.0).

    Download (3.31MB)

Check full text

DOI (Published version): 10.1016/j.ribaf.2022.101863

Abstract

This paper aims to develop an artificial neural network-based forecasting model employing a nonlinear focused time-delayed neural network (FTDNN) for energy commodity market forecasts. To validate the proposed model, crude oil and natural gas prices are used for the period 2007–2020, including the C...

Full description

Published in: Research in International Business and Finance
ISSN: 0275-5319
Published: Elsevier BV 2023
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa64246
Tags: Add Tag
No Tags, Be the first to tag this record!
Abstract: This paper aims to develop an artificial neural network-based forecasting model employing a nonlinear focused time-delayed neural network (FTDNN) for energy commodity market forecasts. To validate the proposed model, crude oil and natural gas prices are used for the period 2007–2020, including the Covid-19 period. Empirical findings show that the FTDNN model outperforms existing baselines and artificial neural network-based models in forecasting West Texas Intermediate and Brent crude oil prices and National Balancing Point and Henry Hub natural gas prices. As a result, we demonstrate the predictability of energy commodity prices during the volatile crisis period, which is attributed to the flexibility of the model parameters, implying that our study can facilitate a better understanding of the dynamics of commodity prices in the energy market.
Keywords: Energy market, Natural gas, Crude oil, Nonlinear focused time-delayed neural network
College: Faculty of Humanities and Social Sciences
Funders: This work has been supported by the European Cooperation in Science & Technology COST Action grant CA19130 - Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry.
Start Page: 101863

Similar Items