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Analysis of Chaos and Predicting the Price of Crude Oil in Ecuador Using Deep Learning Models

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Advanced Research in Technologies, Information, Innovation and Sustainability (ARTIIS 2021)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 1485))

Abstract

This paper studied deterministic chaotic behaviour and prediction of WTI crude oil daily price time series from 2015 to 2020 in Ecuador. To understand the price of crude oil, the dynamics and time delay of the system were reconstructed through the Average Mutual Information and False Nearest Neighbours methods, the chaotic characteristics was determined using the Lyapunov exponent, and finally a BDS test was applied to determine the nonlinearity of the series. Then, three neural networks are used to predict oil prices, which were validated by estimating four goodness-of-fit measures. The results show that the neural network models produce a good prediction rate, confirmed by a maximum error of \(0.0058927\%\) from the Radial Basis Function, which indicates a significant similarity between the prediction and the real data. Predictions made with monthly values perform better than those made with daily values, possibly due to the level of noise in the daily time series. Among the three models, NARX performs best, with a percentage error of \(2.6213\cdot 10^{- 13}\%\).

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Authors and Affiliations

  1. Universidad Yachay Tech, Urcuquí, Imbabura, Ecuador

    Naomi Cedeño, Génesis Carillo, María J. Ayala, Sebastián Lalvay & Saba Infante

Authors
  1. Naomi Cedeño
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  2. Génesis Carillo
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  3. María J. Ayala
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  4. Sebastián Lalvay
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  5. Saba Infante
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Corresponding author

Correspondence to Naomi Cedeño .

Editor information

Editors and Affiliations

  1. Universidad Estatal Península de Santa Elena, La Libertad, Ecuador

    Teresa Guarda

  2. Universidade do Minho, Guimarães, Portugal

    Filipe Portela

  3. Universidade do Minho, Guimarães, Portugal

    Manuel Filipe Santos

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Cedeño, N., Carillo, G., Ayala, M.J., Lalvay, S., Infante, S. (2021). Analysis of Chaos and Predicting the Price of Crude Oil in Ecuador Using Deep Learning Models. In: Guarda, T., Portela, F., Santos, M.F. (eds) Advanced Research in Technologies, Information, Innovation and Sustainability. ARTIIS 2021. Communications in Computer and Information Science, vol 1485. Springer, Cham. https://doi.org/10.1007/978-3-030-90241-4_25

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  • DOI: https://doi.org/10.1007/978-3-030-90241-4_25

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-90240-7

  • Online ISBN: 978-3-030-90241-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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