报告题目：Crude oil futures price forecasting based on variational and empirical mode decompositions and transformer model

报告人：赖永增

报告时间：12月23日（周一）下午15:00开始

报告地点：数学楼315学术报告厅

报告摘要：Crude oil is a raw, natural, but non-renewable resource. It is one of the world's most important commodities, and its price can have ripple effects through the broader economy. Prediction of crude oil prices plays a crucial role in the investment of crude oil and remains challenging. Due to the deficiencies neglecting residual factors when forecasting using conventional combination models, such as the autoregressive moving average and the long short-term memory for prediction, the variational mode decomposition (VMD)-empirical mode decomposition (EMD)-Transformer model is proposed to predict the crude oil prices in this study. This model integrates a second decomposition and Transformer model-based machine learning method. More specifically, we employ the VMD technique to decompose the original sequence into variational mode filtering (VMF) and a residual sequence, followed by using EMD to decompose the residual sequence. Ultimately, we apply the Transformer model to predict the decomposed modal components and superimpose the results to produce the final forecasted prices. Further empirical test results demonstrate that the proposed quadratic decomposition composite model can comprehensively identify the characteristics of WTI and Brent crude oil futures daily price series. The test results also illustrate that the proposed VMD-EMD-Transformer model outperforms the other three models—long short-term memory (LSTM), Transformer, and VMD-Transformer—in forecasting crude oil prices. Details will be presented.

报告人简介：赖永增(Yongzeng Lai, ylai@wlu.ca) 是加拿大罗瑞尔大学数学系(Department of Mathematics, Wilfrid Laurier University, Waterloo, Ontario, Canada) 的教授，1983年和1988年分别在中山大学数学系获得学士学位和硕士学位，2000年1月在美国加州克莱蒙研究生大学 (The Claremont Graduate University, Claremont, California, USA) 获得博士学位，2000年5月至2002年6月在加拿大滑铁卢大学高级金融研究中心和统计与精算学系做博士后研究员(Post-doctoral fellow, Center for Advanced Studies in Finance and Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada). 2002年6月至今为加拿大罗瑞尔大学数学系教授。