Oil Price Forecasting Using Gene Expression Programming and Artificial Neural Networks

Download or read book Oil Price Forecasting Using Gene Expression Programming and Artificial Neural Networks written by Mohamed M. Mostafa and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to forecast oil prices using evolutionary techniques such as gene expression programming (GEP) and artificial neural network (NN) models to predict oil prices over the period from January 2, 1986 to June 12, 2012. Autoregressive integrated moving average (ARIMA) models are employed to benchmark evolutionary models. The results reveal that the GEP technique outperforms traditional statistical techniques in predicting oil prices. Further, the GEP model outperforms the NN and the ARIMA models in terms of the mean squared error, the root mean squared error and the mean absolute error. Finally, the GEP model also has the highest explanatory power as measured by the R-squared statistic. The results of this study have important implications for both theory and practice.