Linear Ensembles for WTI Oil Price Forecasting

• Published in: Energies (Basel) Vol. 17; no. 16; p. 4058
• Main Authors: Santos, João Lucas Ferreira dos, Vaz, Allefe Jardel Chagas, Kachba, Yslene Rocha, Stevan, Sergio Luiz, Antonini Alves, Thiago, Siqueira, Hugo Valadares
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01-08-2024
• Subjects: Accuracy; Adjustment; Algorithms; Data smoothing; Economic conditions; Energy consumption; ensembles; Estimates; Forecasting; Futures; Genetic algorithms; Geopolitics; Global economy; linear models; Mathematical optimization; metaheuristics; Natural gas; oil; Optimization techniques; Petroleum; Prediction theory; Prices; Prices and rates; Seasonal variations; Time series; Trends; Brazil; China
• DOI: 10.3390/en17164058
• EISSN: 1996-1073

This paper investigated the use of linear models to forecast crude oil futures prices (WTI) on a monthly basis, emphasizing their importance for financial markets and the global economy. The main objective was to develop predictive models using time series analysis techniques, such as autoregressive (AR), autoregressive moving average (ARMA), autoregressive integrated moving average (ARIMA), as well as ARMA variants adjusted by genetic algorithms (ARMA-GA) and particle swarm optimization (ARMA-PSO). Exponential smoothing techniques, including SES, Holt, and Holt-Winters , in additive and multiplicative forms, were also covered. The models were integrated using ensemble techniques, by the mean, median, Moore-Penrose pseudo-inverse, and weighted averages with GA and PSO. The methodology adopted included pre-processing that applied techniques to ensure the stationarity of the data, which is essential for reliable modeling. The results indicated that for one-step-ahead forecasts, the weighted average ensemble with PSO outperformed traditional models in terms of error metrics. For multi-step forecasts (3, 6, 9 and 12), the ensemble with the Moore-Penrose pseudo-inverse showed better results. This study has shown the effectiveness of combining predictive models to forecast future values in WTI oil prices, offering a useful tool for analysis and applications. However, it is possible to expand the idea of applying linear models to non-linear models.