Hidden Markov Model and Forward-Backward Algorithm in Crude Oil Price Forecasting

International Engineering Research and Innovation Symposium

Bon, Abdul Talib^1 ; Isah, Nuhu^1

Faculty of Technology Management, Business and Entrepreneurship, University Tun Hussein Onn Malaysia, Parit Raja, Johor, Batu Pahat

86400, Malaysia^1

关键词: Crude oil price forecasting;    Crude oil prices;    Economic activities;    Energy commodity;    Forward / backward algorithms;    Maple software;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/160/1/012067/pdf
DOI  :  10.1088/1757-899X/160/1/012067

来源: IOP

【 摘 要 】

In light of the importance of crude oil to the world's economy, it is not surprising that economists have devoted great efforts towards developing methods to forecast price and volatility levels. Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile such as economic, political and social. Hence, forecasting the crude oil prices is essential to avoid unforeseen circumstances towards economic activity. In this study, daily crude oil prices data was obtained from WTI dated 2ndJanuary to 29thMay 2015. We used Hidden Markov Model (HMM) and Forward-Backward Algorithm to forecasting the crude oil prices. In this study, the analyses were done using Maple software. Based on the study, we concluded that model (0 3 0) is able to produce accurate forecast based on a description of history patterns in crude oil prices.