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Authors: Neha Sehgal 1 and Krishan K. Pandey 2

Affiliations: 1 O. P. Jindal Global University, India ; 2 University of Petroleum & Energy Studies, India

Keyword(s): Feature Selection, Mutual Information, Interaction Information, Neural Networks, Oil Price Forecasting.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Business Analytics ; Computational Intelligence ; Data Analytics ; Data Engineering ; Data Reduction and Quality Assessment ; Evolutionary Computing ; Knowledge Discovery and Information Retrieval ; Knowledge-Based Systems ; Machine Learning ; Soft Computing ; Symbolic Systems

Abstract: Geopolitical and economic events had strong impact on crude oil markets for over 40 years. Oil prices steadily rose for several years and in July 2008 stood at a record high of $145 per barrel. Further, it plunged to $43 per barrel by end of 2008. There is need to identify appropriate features (factors) explaining the characteristics of oil markets during booming and downturn period. Feature selection can help in identifying the most informative and influential input variables before and after financial crisis. The study used an extended version of MI3 algorithm i.e. I2MI2 algorithm together with general regression neural network as forecasting engine to examine the explanatory power of selected features and their contribution in driving oil prices. The study used features selected from proposed methodology for one-month ahead and twelve-month ahead forecast horizon. The forecast from the proposed methodology outperformed in comparison to EIA’s STEO estimates. Results shows that rese rves and speculations were main players before the crisis and the overall mechanism was broken due to 2008 global financial crisis. The contribution of emerging economy (China) emerged as important variable in explaining the directions of oil prices. EPPI and CPI remain the building blocks before and after crisis while influence of Non-OECD consumption rises after the crisis. (More)

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Paper citation in several formats:
Sehgal, N. and Pandey, K. (2015). Aftermath of 2008 Financial Crisis on Oil Prices. In Proceedings of the 7th International Joint Conference on Knowledge Discovery, Knowledge Engineering and Knowledge Management (IC3K 2015) - KDIR; ISBN 978-989-758-158-8; ISSN 2184-3228, SciTePress, pages 235-240. DOI: 10.5220/0005596902350240

@conference{kdir15,
author={Neha Sehgal and Krishan K. Pandey},
title={Aftermath of 2008 Financial Crisis on Oil Prices},
booktitle={Proceedings of the 7th International Joint Conference on Knowledge Discovery, Knowledge Engineering and Knowledge Management (IC3K 2015) - KDIR},
year={2015},
pages={235-240},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005596902350240},
isbn={978-989-758-158-8},
issn={2184-3228},
}

TY - CONF

JO - Proceedings of the 7th International Joint Conference on Knowledge Discovery, Knowledge Engineering and Knowledge Management (IC3K 2015) - KDIR
TI - Aftermath of 2008 Financial Crisis on Oil Prices
SN - 978-989-758-158-8
IS - 2184-3228
AU - Sehgal, N.
AU - Pandey, K.
PY - 2015
SP - 235
EP - 240
DO - 10.5220/0005596902350240
PB - SciTePress

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