气候变化领域集成服务门户(CCPortal): Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis

CCPortal

DOI	10.3390/en17051001
	Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis
	Kim, Hyeon-Seok; Kim, Hui-Sang; Choi, Sun-Yong
发表日期	2024
EISSN	1996-1073
起始页码	17
结束页码	5
卷号	17 期号:5
英文摘要	Accurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices and volatility. We used various machine learning models to forecast oil forward prices and volatility based on their superior predictive power. Furthermore, we employed the SHAP framework to analyze individual features to identify their contributions in terms of the prediction. According to our findings, factors contributing to oil forward prices and volatility can be summarized into four key focal outcomes. First, it was confirmed that soybean forward pricing overwhelmingly contributes to oil forward pricing predictions. Second, the SSEC is the second-largest contributor to oil forward pricing predictions, surpassing the contributions of the S&P 500 or oil volatility. Third, the contribution of oil forward prices is the highest in predicting oil volatility. Lastly, the contribution of the DXY significantly influences both oil forward price and volatility predictions, with a particularly notable impact on oil volatility predictions. In summary, through the SHAP framework, we identified that soybean forward prices, the SSEC, oil volatility, and the DXY are the primary contributors to oil forward price predictions, while oil forward prices, the S&P 500, and the DXY are the main contributors to oil volatility predictions. These research findings provide valuable insights into the most-influential factors for predicting oil forward prices and oil volatility, laying the foundation for informed investment decisions and robust risk-management strategies.
英文关键词	oil forward; oil volatility; forecasting factors; machine learning; SHAP
语种	英语
WOS研究方向	Energy & Fuels
WOS类目	Energy & Fuels
WOS记录号	WOS:001182884000001
来源期刊	ENERGIES
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/300768
作者单位	Gachon University; Gachon University
推荐引用方式 GB/T 7714	Kim, Hyeon-Seok,Kim, Hui-Sang,Choi, Sun-Yong. Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis[J],2024,17(5).
APA	Kim, Hyeon-Seok,Kim, Hui-Sang,&Choi, Sun-Yong.(2024).Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis.ENERGIES,17(5).
MLA	Kim, Hyeon-Seok,et al."Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis".ENERGIES 17.5(2024).