国际原油现货价格预测指标构建及应用研究——以WTI原油价格为例

Research on the construction and application of forecast indicators for international crude oil spot price——Take WTI crude oil price as an example

科学预判国际油价走势对我国稳经济、稳金融、稳物价,以及防范市场风险、促进经济高质量发展具有重要意义。鉴于原油市场影响机制的复杂性,以WTI原油现货价格数据为例,在同一框架下整合8个维度的92个预测指标,提出基于效率的两阶段模型,分析影响油价变动的主要驱动力,将具有预测能力的指标子集纳入随机森林算法,旨在提高原油价格预测精度。结果表明:原油市场的金融化特征越来越显著,金融指标的预测信息越具有突出价值。损失函数标准和统计检验分析结果显示:相比于其他竞争模型,基于效率两阶段模型的预测性能更具有优越性。基于上述结论,提出建议:应重视利用原油市场的金融化信息,加强油价波动风险技术监测,规避国际原油市场风险。

Scientific prediction of the trend of international oil prices is of great significance for China’s to stabilize the economy,finance,and prices,as well as prevent market risks and promote high-quality economic development.In view of the complexity of the impact mechanism of the crude oil market,taking the spot price data of WTI crude oil as an example,integrating 92 forecasting indicators in 8 dimensions under the same framework,a two-stage model based on efficiency is proposed to analyze the main driving forces affecting oil price changes.A subset of indicators with predictive ability are incorporated into the random forest algorithm,aiming to improve the accuracy of crude oil price prediction.The results show that the financialization characteristics of the crude oil market are becoming more and more obvious,and the prediction information of financial indicators has more outstanding value.Loss function standard and statistical test analysis results show that the prediction performance of the efficiency-based two-stage model is more superior than other competing models.Based on the above conclusions,suggestions are made:attention should be paid to the use of financial information in the crude oil market,technical monitoring of oil price fluctuation risks should be strengthened,and risks in the international crude oil market should be avoided.