1. Predicting carbon futures prices based on a new hybrid machine learning: Comparative study of carbon prices in different periods.
- Author
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Zhang, Xi, Yang, Kailing, Lu, Qin, Wu, Jingyu, Yu, Liang, and Lin, Yu
- Subjects
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CARBON pricing , *FUTURES sales & prices , *CONVOLUTIONAL neural networks , *MACHINE learning , *STANDARD deviations - Abstract
Accurate prediction of carbon price is of great significance to national energy security and climate environment policies. This paper comes up with a new forecasting model variational mode decomposition, convolutional neural network, bidirectional long short-term memory, and multi-layer perceptron (VMD–CNN–BILSTM-MLP) to predict EUA carbon futures prices in two periods of five years before and after the introduction of emission reduction policies. The parameters of the VMD model are determined by genetic algorithm (GA) firstly, carbon futures prices are broken down into subsequences of different frequencies using the model. The MLP model is then applied to predict the highest frequency sequence. The CNN-BILSTM model is applied to predict other subsequences later. Finally, the predicted values of each subsequence are linearly added to obtain the final result of the entire model. The prediction effect of the model is mainly tested by root mean squared error (RMSE), mean absolute error (MAE), mean absolute percentage error (MAPE), coefficient of determination (R2) and the modification of Diebold-Mariano test (MDM). In both periods, the proposed model predicts better than the other models, and the prediction effect of carbon futures price in the first five years is a little better than that in the second five years. In general, the experiment of predicting carbon futures prices in two different periods, the experiment of changing the proportion of data set and the experiment of predicting the whole sample all prove that the mixed model proposed in this paper has good prediction effect. • Carbon futures prices are predicted by a hybrid model VMD–CNN–BILSTM-MLP. • Genetic algorithm is used to optimize variational mode decomposition. • The hierarchical prediction based on subsequence features is better. • The model has great prediction effect before and after emission reduction policies. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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