Carbon pricing prediction based on wavelet transform and K-ELM optimized by bat optimization algorithm in China ETS: the case of Shanghai and Hubei carbon markets
- 2 November 2018
- journal article
- research article
- Published by Taylor & Francis Ltd in Carbon Management
- Vol. 9 (6), 605-617
- https://doi.org/10.1080/17583004.2018.1522095
Abstract
Carbon pricing is regarded as a crucial enabler for an accelerated low-carbon energy economy transformation to achieve temperature control targets. This paper studies carbon price forecasting considering historical carbon price series as an influencing factor. A hybrid model of a kernel-based extreme learning machine (KELM) optimized by the bat optimization algorithm based on wavelet transform is proposed. Firstly, the wavelet transform is used to eliminate the high-frequency components of the previous day's carbon price data to improve the accuracy of prediction. Then, the partial auto-correlation function (PACF) is applied to analyse the correlation among historical carbon prices to select the inputs for the forecasting model. Additionally, adding a kernel function improves to some extent the fitting accuracy and stability of the traditional extreme learning machine. Finally, the parameters of the KELM model are optimized by the bat optimization algorithm. Two types of carbon prices in the China ETS were used to examine the forecasting ability of the proposed hybrid methodology. The empirical results show that the proposed hybrid methodology is more robust than other comparison models for carbon price forecasting.This publication has 23 references indexed in Scilit:
- Carbon prices and CCS investment: A comparative study between the European Union and ChinaEnergy Policy, 2014
- An Insight into Extreme Learning Machines: Random Neurons, Random Features and KernelsCognitive Computation, 2014
- Short-term wind speed forecasting using wavelet transform and support vector machines optimized by genetic algorithmRenewable Energy, 2014
- Forecasting carbon futures volatility using GARCH models with energy volatilitiesEnergy Economics, 2013
- Short-term electric load and temperature forecasting using wavelet echo state networks with neural reconstructionEnergy, 2013
- Carbon price forecasting with a novel hybrid ARIMA and least squares support vector machines methodologyOmega, 2013
- Extreme learning machine: algorithm, theory and applicationsArtificial Intelligence Review, 2013
- A Forecasting System of Carbon Price in the Carbon Trading Markets Using Artificial Neural NetworkInternational Journal of Environmental Science and Development, 2013
- Bat algorithm: a novel approach for global engineering optimizationEngineering Computations, 2012
- Forecasting Volatility in Financial Markets: A ReviewJournal of Economic Literature, 2003