Topology Approach for Crude Oil Price Forecasting of Particle Swarm Optimization and Long Short-Term Memory

Forecasting crude oil prices hold significant importance in finance, energy, and economics, given its extensive impact on worldwide markets and socio-economic equilibrium. Using Long Short-Term Memory (LSTM) neural networks has exhibited noteworthy achievements in time series forecasting, specifically in predicting crude oil prices. Nevertheless, LSTM models frequently depend on the manual adjustment of hyperparameters, a task that can be laborious and demanding. This study presents a novel methodology incorporating Particle Swarm Optimization (PSO) into LSTM networks to optimize the network architecture and minimize the error. This study employs historical data on crude oil prices to explore and identify optimal hyperparameters autonomously and embedded with the star and ring topology of PSO to address the local and global search capabilities. The findings demonstrate that LSTM+starPSO is superior to LSTM+ringPSO, previous hybrid LSTM-PSO, conventional LSTM networks, and statistical time series methods in its predictive accuracy. LSTM+starPSO model offers a better RMSE of about +0.16% and +22.82% for WTI and BRENT datasets, respectively. The results indicate that the LSTM model, when enhanced with PSO, demonstrates a better proficiency in capturing the patterns and inherent dynamics data changes of crude oil prices. The proposed model offers a dual benefit by alleviating the need for manual hyperparameter tuning and serving as a valuable resource for stakeholders in the energy and financial industries interested in obtaining dependable insights into fluctuations in crude oil prices.

@article{Yusoff2024,
  title     = {Topology Approach for Crude Oil Price Forecasting of Particle Swarm Optimization and Long Short-Term Memory},
  journal   = {International Journal of Advanced Computer Science and Applications},
  volume    = {15},
  number    = {1},
  year      = {2024},
  publisher = {The Science and Information Organization},
  author    = {Marina Yusoff and Darul Ehsan and Muhammad Yusof Sharif and Mohamad Taufik Mohd Sallehud-din},
  doi       = {10.14569/IJACSA.2024.0150150},
  url       = {https://doi.org/10.14569/IJACSA.2024.0150150}
}