用日度数据预测年报能源安全指数,提升政策响应速度。
Daily Forecasting for Annual Time Series Datasets Using Similarity-Based Machine Learning Methods: A Case Study in the Energy Market
- 通过六种相似性度量筛选出布伦特原油成交量作为最佳代理变量。
- 模型在测试集上R²达0.945,15天预测展现短期波动趋势。
- 适合能源政策、市场分析及数据稀缺环境下的高频监控需求。
各国政策环境快速变化,影响能源安全指数等宏观指标,但该指数仅年度发布,难以捕捉短期波动。为此,本研究提出一种日度代理指标,并用于实现能源安全的每日预测。首先,采用六种时间序列相似性度量,从关键能源变量中筛选出合适的日度代理;其次,使用XGBoost算法对选定代理进行建模,生成15天前瞻预测。结果表明,布伦特原油成交量在多数方法下均表现最优。模型在训练集上达到R²=0.981,测试集上为0.945,误差可接受。15天预测显示短期波动特征:第4天达峰,第8天回落,第10天回升,至第15天呈下降趋势,伴随预测区间。该方法结合时间序列相似性与机器学习,将低频宏观经济指标转化为高频可操作信号,支持实时监测能源安全,为政策制定者和分析师提供高效工具,尤其适用于数据匮乏场景。
原文摘要 · Abstract (English)
The policy environment of countries changes rapidly, influencing macro-level indicators such as the Energy Security Index. However, this index is only reported annually, limiting its responsiveness to short-term fluctuations. To address this gap, the present study introduces a daily proxy for the Energy Security Index and applies it to forecast energy security at a daily frequency.The study employs a two stage approach first, a suitable daily proxy for the annual Energy Security Index is identified by applying six time series similarity measures to key energy related variables. Second, the selected proxy is modeled using the XGBoost algorithm to generate 15 day ahead forecasts, enabling high frequency monitoring of energy security dynamics.As the result of proxy choosing, Volume Brent consistently emerged as the most suitable proxy across the majority of methods. The model demonstrated strong performance, with an R squared of 0.981 on the training set and 0.945 on the test set, and acceptable error metrics . The 15 day forecast of Brent volume indicates short term fluctuations, with a peak around day 4, a decline until day 8, a rise near day 10, and a downward trend toward day 15, accompanied by prediction intervals.By integrating time series similarity measures with machine learning based forecasting, this study provides a novel framework for converting low frequency macroeconomic indicators into high frequency, actionable signals. The approach enables real time monitoring of the Energy Security Index, offering policymakers and analysts a scalable and practical tool to respond more rapidly to fast changing policy and market conditions, especially in data scarce environments.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。