文字探勘應用於原油價格走勢之預測

Applying Text Mining Technique to Crude Oil Price Prediction

李瑋孝(Wei-Hsiao Lee)

指導教授 ： 楊錦生

元智大學/資訊學院/資訊管理學系/碩士(2011年)

https://doi.org/10.6838/YZU.2011.00323

摘要

原油因其價值高昂又名黑金，主要被用來作為燃料油和汽油，是目前世界上最重要的能源之一。原油也是許多化學工業產品如溶液、化肥、殺蟲劑和塑料等的原料。今天88%開採的石油被用作燃料，其它的12%作為化學工業的原料。由於原油是一種不可再生原料，許多人擔心石油用盡會對人類帶來嚴重的後果。 各種潛在的因素交互影響著石油價格，每次原油價格的劇烈波動，都會對世界經濟造成了巨大的衝擊，因此，原油價格的預測在實務界與學術界都受到高度的重視。原油價格預測多採基本分析法或技術分析法來進行，考慮的因素主要為一些常態性的結構化變數，例如，OPEC供給量、全球原油需求、美國戰備儲油等。這類變數的取得容易，且對原油價格預測確實有部分的幫助。然而，仍有許多非常態性的非結構化變數，例如，石油輸出國組織原油禁運、相關自然災害、產油國家戰爭、恐怖分子攻擊等因素，都對原油價格的走勢有著顯著的影響。這些非常態性的非結構化變數取得相對不易，因此，本研究利用文字探勘技術，發展一個能夠自動收集這些變數的方法，並實際驗證該方法對原油價格預測的影響。根據我們的驗證結果，同時考慮傳統結構化變數與本研究利用文字探勘技術找出的變數，確實可以改善原油價格預測的正確性。

關鍵字

原油價格預測 ； 文字探勘 ； 資料探勘

並列摘要

Crude oil, also known as black gold because of its high value, is the world’s most important energy sources. Due to the scarce and non-renewable properties, crude oil has a great impact on the global economy. Consequently, the effective prediction of the price of crude oil is essential and has received a lot of attentions. Prior studies of crude oil price prediction mainly adopted periodic and structured variables (e.g., OPEC production, total world demand, U.S. strategic petroleum reserve, etc.) as major indicators and the results also confirmed that these variables were indeed significant indicators. However, there is still room for further improvement. For example, many aperiodic and unstructured variables (such as OPEC oil embargo, natural disasters related to oil, wars in oil countries, terrorist attack, etc.) are important indicators but difficult to acquire and represent. As a result, this study concentrates on proposing a text mining approach to deal with the automatic acquisition and representation of these aperiodic and unstructured variables and then applied them to crude oil price prediction. According to our empirical evaluation results, the inclusion of the text-mining-related variables improves the prediction accuracy in comparison with that achieved by only including periodic and structured variables.

並列關鍵字

crude oil price forecast ； text mining ； data mining

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