Analysis and Forecasting of the Carbon Price in China’s Regional Carbon Markets Based on Fast Ensemble Empirical Mode Decomposition, Phase Space Reconstruction, and an Improved Extreme Learning Machine

• Published in: Energies (Basel) Vol. 12; no. 2; p. 277
• Main Authors: Sun, Wei, Duan, Ming
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 16.01.2019
• Subjects: Algorithms; Artificial intelligence; Autocorrelation functions; Carbon; carbon price forecasting; Climate change; Complexity; Computer applications; Decomposition; Economic forecasting; Economic models; Electricity distribution; Emissions; Emissions trading; Energy; Energy consumption; extreme learning machine optimized by particle swarm optimization; Forecasting; Learning algorithms; Machine learning; Market value; maximal Lyapunov exponent; Methods; Neural networks; Optimization; partial autocorrelation function; phase space reconstruction; Prices; Reconstruction; Sequences; Support vector machines; Time series; China
• ISSN: 1996-1073; 1996-1073
• DOI: 10.3390/en12020277

With the development of the carbon market in China, research on the carbon price has received more and more attention in related fields. However, due to its nonlinearity and instability, the carbon price is undoubtedly difficult to predict using a single model. This paper proposes a new hybrid model for carbon price forecasting that combines fast ensemble empirical mode decomposition, sample entropy, phase space reconstruction, a partial autocorrelation function, and an extreme learning machine that has been improved by particle swarm optimization. The original carbon price series is decomposed using the fast ensemble empirical mode decomposition and sample entropy methods, which eliminate noise interference. Then, the phase space reconstruction and partial autocorrelation function methods are combined to determine the input and output variables in the forecasting models. An extreme learning machine optimized by particle swarm optimization was employed to forecast carbon prices. An empirical study based on carbon prices in three typical regional carbon markets in China found that this new hybrid model performed better than other comparable models.