Carbon emission price forecasting in China using a novel secondary decomposition hybrid model of CEEMD-SE-VMD-LSTM

Li, Ni and Venus Liew, Khim Sen (2024) Carbon emission price forecasting in China using a novel secondary decomposition hybrid model of CEEMD-SE-VMD-LSTM. Systems Science & Control Engineering, 12 (1). pp. 1-13. ISSN 2164-2583

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Effective forecasting of carbon prices helps investors to judge carbon market conditions and promotes the environment and economic sustainability. The contribution of this paper is constructing a novel secondary decomposition hybrid carbon price forecasting model, namely CEEMD-SE-VMD-LSTM. It is noteworthy that the sample entropy is introduced to identify the highly complex signals rather than empirically determined in previous studies. Specifically, the complementary ensemble empirical mode decomposition (CEEMD) model is used to decompose the original price signals. The sample entropy (SE) and variational mode decomposition (VMD) are conducted to recognize and secondary decompose the highly complex components, while the long short-term memory (LSTM) model is employed to forecast the carbon price by summing up the predicted intrinsic mode function (IMF) components. The conclusion shows the proposed model has the smallest forecasting errors with the values of RMSE, MAE and MAPE are 0.2640, 0.1984 and 0.0044, respectively, the secondary decomposition models are better than other primary decomposition models and the forecasting performances of LSTM-type models are better than those of other GRU-type models. Further evidence convinces us that short-term forecasting accuracy is superior to long-term forecasting. Those conclusions and model innovation can provide a valuable reference for investors to make trading decisions.

Item Type: Article
Additional Information: This work was supported by the University Humanities and Social Sciences Research Project of Anhui Province of China, the grant number is SK2021A1105; the Youth Fund Project for Humanities and Social Sciences of the Ministry of Education of China , the grant number is 21YJC79015; the Domestic Visit and Training Program for Outstanding Young Teachers in Anhui Province of China, the grant number is gxgnfx2021098. Humanities and Social Science Fund of Ministry of Education of China. The authors acknowledge the UNIMAS for its research facilities provided. We also greatly appreciate the valuable comments from the anonymous reviewers.
Uncontrolled Keywords: Carbon price forecasting; secondary decomposition; CEEMD; sample entropy; VMD; LSTM.
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Faculties, Institutes, Centres > Faculty of Economics and Business
Depositing User: Sen
Date Deposited: 16 Jan 2024 03:23
Last Modified: 16 Jan 2024 03:23

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