A novel interval-valued carbon price analysis and forecasting system based on multi-objective ensemble strategy for carbon trading market

被引:15
作者
Hao, Yan [1 ]
Wang, Xiaodi [1 ]
Wang, Jianzhou [2 ]
Yang, Wendong [3 ,4 ]
机构
[1] Shandong Normal Univ, Business Sch, Jinan 250014, Shandong, Peoples R China
[2] Macau Univ Sci & Technol, Inst Syst Engn, Macau 999078, Peoples R China
[3] Shandong Univ Finance & Econ, Sch Management Sci & Engn, Jinan 250014, Shandong, Peoples R China
[4] Shandong Univ Finance & Econ, Inst Marine Econ & Management, Jinan 250014, Shandong, Peoples R China
基金
中国国家自然科学基金;
关键词
Interval -valued carbon price forecasting; Symbolic transfer entropy; Modified multivariate variational mode; decomposition; Multi -objective ensemble strategy; DECOMPOSITION; OPTIMIZATION; NETWORK; MODELS; POINT;
D O I
10.1016/j.eswa.2023.122912
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
Accurate forecasting of carbon price is crucial for the efficient management and stable operation of carbon markets. Earlier studies are limited to point and interval forecasts based on single-valued carbon price and lack analysis and forecasting based on interval-valued carbon price. Therefore, this study proposes a novel analysis and forecasting system from a new perspective of interval-valued carbon price. Specifically, a carbon price analysis sub-system is developed to investigate the directional causal relationship between the upper and lower bounds of the interval-valued carbon price series. The carbon price forecasting sub-system is developed by designing a data preprocessing module, sub-model forecasting module, and multi-objective ensemble module. The data preprocessing module adopts the decomposition algorithm to preprocess the interval-valued carbon price. Then the sub-model forecasting module utilizes multiple neural network models to predict the highest and lowest prices. Finally, the multi-objective ensemble module adopts a non-linear and multi-objective ensemble strategy to ensemble the forecasting results of the sub-models. It can be found that the consideration of both upper and lower bounds of interval-valued carbon price within the range leads to higher prediction accuracy for the highest or lowest price predictions. Additionally, the ensemble model can effectively leverage the strengths of individual sub-models, resulting in more precise and stable predictions. The average absolute percentage errors for the highest and lowest price predictions in the Hubei and Guangzhou carbon trading markets are 0.8574%, 1.2738%, 0.9774%, and 1.8217% respectively, vividly demonstrating the effectiveness of the proposed system in carbon price prediction.
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页数:18
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