Title

:

A new approach for crude oil price analysis based on Empirical Mode Decomposition

Speaker

:

Prof. Shou-Yang Wang

Date

:

August 22nd, 2008 (Friday)

Time

:

4:30 p.m. - 5:30 p.m.

Venue

:

Room 513

William M.W. Mong Engineering Building

(Engineering Building Complex Phase 2)

CUHK

The importance of understanding the underlying characteristics of international crude oil price movements attracts much attention from academic researchers and business practitioners. Due to the intrinsic complexity of the oil market, however, most of them fail to produce consistently good results. Empirical Mode Decomposition (EMD), recently proposed by Huang et al., appears to be a novel data analysis method for nonlinear and non-stationary time series. By decomposing a time series into a small number of independent and concretely implicational intrinsic modes based on scale separation, EMD explains the generation of time series data from a novel perspective. Ensemble EMD (EEMD) is a substantial improvement of EMD which can better separate the scales naturally by adding white noise series to the original time series and then treating the ensemble averages as the true intrinsic modes. In this paper, we extend EEMD to crude oil price analysis. First, three crude oil price series with different time ranges and frequencies are decomposed into several independent intrinsic modes, from high to low frequency. Second, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend based on fine-to-coarse reconstruction. The economic meanings of the three components are identified as short term fluctuations caused by normal supply-demand disequilibrium or some other market activities, the effect of a shock of a significant event, and a long term trend. Finally, the EEMD is shown to be a vital technique for crude oil price analysis.

Shouyang Wang, received his Ph. D degree in Operations Research from Institute of Systems Science of Chinese Academy of Sciences in 1986. He is currently a Bairen distinguished professor of Management Science and a vice president at Academy of Mathematics and Systems Science of Chinese Academy of Sciences, the founding director of Center for Forecasting Science of Chinese Academy of Sciences and the director of Key Lab of Management, Decision and Information Systems of Chinese Academy of Sciences. He is the editor-in-chief, a managing editor or a co-editor of 12 journals including journal ※Information and Management§ and ※Energy Economics§.

He has published 15 monographs including 7 by Springer-Verlag and over 180 papers in leading journals in the fields of financial risk management, economic forecasting, decision analysis, and operations management.

Host

:

Prof. Duan Li

Tel

:

(852) 2609-8316

Email

:

dli@se.cuhk.edu.hk

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

:

Department of Systems Engineering and Engineering Management

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk