Forecasting crude oil prices: a novel model combined multisource predictors, factor screening, and forecast combination

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Authors: Yilin Ma, Yudong Wang, Weizhong Wang
Cited by: 0
References: 76

Abstract

Abstract Crude oil prices play a critical role in the real economy and environmental sustainability. Given the complexity of forecasting crude oil prices, this paper proposes a novel model that integrates multisource predictors, factor screening, and forecast combination. First, the multisource predictors encompass factors from eight distinct categories. Second, the predictors are refined sequentially using the mutual information method followed by six feature selection techniques. Third, the selected predictors are paired with powerful machine learning models to forecast crude oil prices. These individual forecasts are then aggregated using the mean combination method. This study conducts a comprehensive empirical analysis employing the sliding window technique, using data from February 1986 to March 2023. The results demonstrate that the proposed model considerably outperforms alternative models, underscoring the effectiveness of combining the above three components. Furthermore, the out-of-sample forecasts and factor screening results are examined across different sub-periods. Finally, a series of robustness checks confirms the strong predictive performance of the proposed model.

Fields of Study & Subjects

Stock Market Forecasting Methods Forecasting Techniques and Applications Market Dynamics and Volatility

Publication details

Journal / source
Financial Innovation
Volume
12
Issue
1
Publication date
29 January 2026
Language
EN