Stochastic Neural Network For Financial Price Prediction And Statistical Analysis

Crude oil and natural gas play the most important role in energy markets.Besides,crude oil price fluctuations are closely linked to financial markets.Forecasting energy market volatility by artificial neural network has long been a focus of economic research.A novel hybrid neural network,DPFWR neural network,is put forward in this paper.The proposed DPFWR combines double parallel feedforward neural network and wavelet analysis theory with a random time effective function.We apply the DPFWR to forecast the energy futures price time series,including WTI crude oil,Brent crude oil,natural gas,gasoline,heating oil and Rotterdam coal.In order to compare the accuracy of forecasting results,several error criteria are applied to evaluate the forecasting errors of several models.A new method for error evaluation,called double-scale complexity invariant distance,is developed to evaluate the forecasting errors in an attempt to observe the superiority of DPFWR neural network.Based on the empirical analysis,the forecast performance of DPFWR can be distinguished from other models by its great accuracy in this research.Based on the discriminatory attitude to the historical price information,a novel hybrid forecasting model of gated recurrent unit with stochastic time effective weights(SW-GRU)is proposed and applied to global energy prices forecasting with empirical mode decomposition(EMD).Since crude oil and gasoline count much in global energy markets,the futures and spots prices of them are adopted.After real energy price series is decomposed into intrinsic mode functions and a residual,the forecasting intrinsic mode functions and residual in the test set can be performed by SW-GRU and utilized to calculate the prediction prices.With several error criteria and double-scale complexity invariant distance,the forecasting errors of proposed model SW-GRU with EMD and other models are evaluated and compared.According to the empirical study in energy markets,the forecasting model of SW-GRU with EMD is distinguished from other models by its best performances.