Applying GMDH Algorithm for Rule Extraction from the Oil Price Behavior
In this paper an attempt is made to identify the rules that determine changes in oil prices behavior in order to better forecast the oil market. Rule extraction in this research is done by the GMDH (Group Method of Data Handling) algorithm according to the Fujimoto and Nakabayashi (2001) approach. The results confirm that while there are not any absolute rules in the oil prices behaviour, we can extract relative rules on frontier points in various position of the oil market.
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