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Open AccessArticle
Enhanced Carbon Price Forecasting Using Extended Sliding Window Decomposition with LSTM and SVR
by
Xiangjun Cai
Xiangjun Cai 1,
Dagang Li
Dagang Li 1,2,* and
Li Feng
Li Feng 1
1
School of Computer Science and Engineering, Macau University of Science and Technology, Macau 999078, China
2
Zhuhai-M.U.S.T. Science and Technology Research Institute, Zhuhai 519031, China
*
Author to whom correspondence should be addressed.
Mathematics 2024, 12(23), 3713; https://doi.org/10.3390/math12233713 (registering DOI)
Submission received: 22 September 2024
/
Revised: 12 November 2024
/
Accepted: 25 November 2024
/
Published: 26 November 2024
Abstract
Accurately forecasting carbon prices plays a vital role in shaping environmental policies, guiding investment strategies, and accelerating the development of low-carbon technologies. However, traditional forecasting models often face challenges related to information leakage and boundary effects. This study proposes a novel extended sliding window decomposition (ESWD) mechanism to prevent information leakage and mitigate boundary effects, thereby enhancing decomposition quality. Additionally, a fully data-driven multivariate empirical mode decomposition (MEMD) technique is incorporated to further improve the model’s capabilities. Partial decomposition operations, combined with high-resolution and full-utilization strategies, ensure mode consistency. An empirical analysis of China’s largest carbon market, using eight key indicators from energy, macroeconomics, international markets, and climate fields, validates the proposed model’s effectiveness. Compared to traditional LSTM and SVR models, the hybrid model achieves performance improvements of 66.6% and 23.5% in RMSE for closing price prediction, and 73.8% and 10.8% for opening price prediction, respectively. Further integration of LSTM and SVR strategies enhances RMSE performance by an additional 82.7% and 8.3% for closing prices, and 30.4% and 4.5% for opening prices. The extended window setup (EW10) yields further gains, improving RMSE, MSE, and MAE by 11.5%, 35.4%, and 23.7% for closing prices, and 4.5%, 8.4%, and 4.2% for opening prices. These results underscore the significant advantages of the proposed model in enhancing carbon price prediction accuracy and trend prediction capabilities.
Share and Cite
MDPI and ACS Style
Cai, X.; Li, D.; Feng, L.
Enhanced Carbon Price Forecasting Using Extended Sliding Window Decomposition with LSTM and SVR. Mathematics 2024, 12, 3713.
https://doi.org/10.3390/math12233713
AMA Style
Cai X, Li D, Feng L.
Enhanced Carbon Price Forecasting Using Extended Sliding Window Decomposition with LSTM and SVR. Mathematics. 2024; 12(23):3713.
https://doi.org/10.3390/math12233713
Chicago/Turabian Style
Cai, Xiangjun, Dagang Li, and Li Feng.
2024. "Enhanced Carbon Price Forecasting Using Extended Sliding Window Decomposition with LSTM and SVR" Mathematics 12, no. 23: 3713.
https://doi.org/10.3390/math12233713
APA Style
Cai, X., Li, D., & Feng, L.
(2024). Enhanced Carbon Price Forecasting Using Extended Sliding Window Decomposition with LSTM and SVR. Mathematics, 12(23), 3713.
https://doi.org/10.3390/math12233713
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