BRT oil price combination forecasting based on the dispersion degree of triangular fuzzy numbers

Abstract

Combination forecasting is an effective tool to improve the forecasting rate by combining single forecasting methods. The purpose of this paper is to apply a new combination forecasting model to predicting the BRT crude oil price based on the dispersion degree of two triangular fuzzy numbers with the circumcenter distance and radius of the circumcircle. First, a dispersion degree of two triangular fuzzy numbers is proposed to measure the triangular fuzzy numbers with the circumcenter distance and radius of the circumcircle, which can be used to predict the fluctuating trend and is suitable for crude oil futures price. Second, three single prediction methods (ARIMA, LSSVR and GRNN) are then presented to combine traditional statistical time set prediction with the latest machine learning time prediction methods which can strengthen the advantage and weaken the disadvantage. Finally, the practical example of crude oil price forecasting for London Brent crude futures is employed to illustrate the validity of the proposed forecasting method. The experimental results show that the proposed forecasting method produces much better forecasting performance than some existing triangular fuzzy models. The prediction error is reduced to 2.7 from 3–5 in oil price combination forecasting, in another comparison experiment the error is reduced to 0.0135 from 1. The proposed combination forecasting method, which fully capitalizes on the time sets forecasting model and intelligent algorithm, makes the triangular fuzzy prediction more accurate than before and has effective applicability.