Abstract
Crude oil price prediction helps to get a better understanding of the global economic situation. Recently, variational mode decomposition (VMD) is introduced into the field of crude oil price forecasting. However, there is a lack of general selection rule for VMD-parameter and the widely adopted one-time decomposition strategy seems not suitable for practical application. Thus, an improved signal-energy based (ISE) rule is proposed as an improvement of the existing signal-energy based (SE) rule for the VMD-parameter selection. The moving-window strategy is put forward as a supplement for the decomposition strategy. Finally, a prediction model (VMD-LSTM-MW model) is built by combining the VMD, the long short-term memory (LSTM) network, and the moving-window strategy. The effectiveness of the ISE rule, the validity of the moving-window strategy, and the superiority of the VMD-LSTM-MW model are demonstrated by conducting monthly and daily crude oil price prediction experiments.
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