Abstract
Oil prices movements is very important macroeconomic factor for decision making. The accuracy of results fordifferent types of oil brands depends on models and algorithms. This paper evaluates the effectiveness of usingfuzzy sets to forecast daily Brent oil prices. It also contains possible modifications of the proposed method and incomparison with basic methods. The results suggest that Brent oil prices series have short memory because usinginformation about last 2-days prices shows better forecast accuracy. Forecasting based on fixed universe ofdiscourse shows better efficiency and it also proves that oil prices series has short memory. Adding theprobability of switching between linguistic terms in defuzzification function could be used to improve accuracyof predictions. Also the approach can take into consideration expert’s opinion about direction of future variation.The effective expert’s work can reduce errors of forecast from 1.5% till 0.76%. But this modification can be usedif experts correctly guess the direction of the change in trend in eight out of ten cases and more. The reasonableobtained results can be used by analysts dealing with the prediction of oil prices.
Highlights
Oil is the most important energy resources in the world
This paper evaluates the effectiveness of using fuzzy sets to forecast daily Brent oil prices
The results suggest that Brent oil prices series have short memory because using information about last 2-days prices shows better forecast accuracy
Summary
Oil is the most important energy resources in the world. Total turnover of oil takes a large share of world trade. Much has been said and written about influencing factors like weather, stock level, political games and psychological expectations It has been establish by recent studies that high oil prices directly affect macroeconomic indicators such inflation in Cologni and Manera (2009), Farzanegan and Markwardt (2009), GDP in researches of Cologni and Manera, Doroodian and Boyd (2003), Prasad et al (Prasad, Narayan, & Narayan, 2007), investments in researches of Abel (1990), Hamilton (2003), Rafiq et al (Rafiq & Mallick, 2008) and generating financial crisis that confirmed in researches of Gisser and Goodwin (1986), Jones et al (Jones, Leiby, & PAIK, 2004). These dependences have nonlinear and even chaotic character so that forecasting oil prices is difficult and always actual problem
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
