Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology

International carbon market price forecasting using an integration model based on SVR

Authors
Linbo Jiang, Peng Wu
Corresponding Author
Linbo Jiang
Available Online November 2015.
DOI
https://doi.org/10.2991/emeeit-15.2015.61How to use a DOI?
Keywords
Carbon price forecasting; integration model; SVR; ARIMA; BP neural network; grey system; Genetic Programming
Abstract

Better forecast of carbon emission prices may increase risk control capabilities of emission market stakeholders, and provide decision support for policy makers, financial institutions and enterprises. However, the issue of carbon price forecasting is complicated and several existing prediction models are difficult to achieve satisfactory results. This paper proposes an integration model based on SVR to predict international carbon market price. The model we suggest includes two steps: we respectively establish ARIMA, BP neural network, grey model GM(1,1) and genetic programming to fit the original sequence of the carbon price at the first phase, and get four prediction results. Additionally, SVR is used to integrate these four results and eventually obtain prediction result. For verification and testing, EUA (DEC15) carbon price from December 3, 2012 to April 10, 2015 under the EU ETS was used to examine the forecasting ability of the proposed integration model. The result demonstrates the accuracy of integration model proposed in this paper is superior to the other three basic models.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology
Series
Advances in Computer Science Research
Publication Date
November 2015
ISBN
978-94-6252-121-6
ISSN
2352-538X
DOI
https://doi.org/10.2991/emeeit-15.2015.61How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Linbo Jiang
AU  - Peng Wu
PY  - 2015/11
DA  - 2015/11
TI  - International carbon market price forecasting using an integration model based on SVR
BT  - Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology
PB  - Atlantis Press
SP  - 303
EP  - 308
SN  - 2352-538X
UR  - https://doi.org/10.2991/emeeit-15.2015.61
DO  - https://doi.org/10.2991/emeeit-15.2015.61
ID  - Jiang2015/11
ER  -