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- W3081905268 abstract "Energy futures that is no less influential than the spot market is an important part of commodity futures. A novel ST-LSTM model based on long short-term memory network (LSTM) model is proposed to improve the prediction accuracy of energy futures index. In the process of establishing this model, stochastic time strength function that represents different effects on current and future information at various times is introduced into weights and errors of LSTM model, which makes the model more consistent with the randomness and volatility of futures markets. The empirical research, including six evaluation prediction criteria and fitting curve methods, verifies that the prediction accuracy is improved by ST-LSTM model. Furthermore, a new multi-scale complex synchronization method q-MCCS is proposed to evaluate the models. The ST-LSTM model is also utilized to predict the energy futures price of different time interval lengths, such as one month, three months, six months and one year, which demonstrates that the longer the time interval length is and the less volatile the energy futures price is, the superior the forecast effect is." @default.
- W3081905268 created "2020-09-08" @default.
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- W3081905268 creator A5051788465 @default.
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- W3081905268 date "2020-11-01" @default.
- W3081905268 modified "2023-09-29" @default.
- W3081905268 title "Energy market prediction with novel long short-term memory network: Case study of energy futures index volatility" @default.
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- W3081905268 doi "https://doi.org/10.1016/j.energy.2020.118634" @default.
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