Browsing by Author "Karakaya, Nurhak"

Now showing 1 - 1 of 1

Carbon Price Forecasting
(MEF Üniversitesi, Fen Bilimleri Enstitüsü, 2018) Karakaya, Nurhak; Ağralı, Semra
In last twenty years great improvements occurred both in technological advances and in the world economic capacity. The total production capacity of countries has been increasing rapidly. These increases need great usage of energy. For that reason, prices of energy related products are very important as they dramatically affect company budgets. Energy budgets get a great deal in total budget of companies and countries. A unit increase in an energy related product can severely affect the budget. The carbon price is one of those products. Besides carbon prices, carbon usage also affects global environment so its price also has an impact on global temperature. To forecast future carbon price different machine learning methods are used. In literature, support vector machines (SVM) [1, 2, 3], random forest (RF) [4, 5], artificial neural networks (ANN) [6, 7, 8] and Auto Regressive Moving Average (ARMA) [9] are commonly used methods. All these methods have pros and cons over the others. In this project, we also apply different machine learning methods, ANN, SVM, RF, Lasso Regression (LG)[11] and Ridge Regression (RR) [10] to forecast the carbon price over time, and give an explanation for future price movements. Then, we compare those five models by analyzing model validation methods. Finally, we choose the best model for further experiments. We have four data types: daily carbon price (CP), electricity price (EP), natural gas price (NG) and coal price (COP) that cover the period of 2009 and 2017. Prices are provided in different currencies. First of all, we work on the data to have all prices in the same currency. We completely eliminate null data. Then, graphically we investigate overall trend by smoothing the data. For analyzing data, we look for daily, monthly, yearly and seasonally time scales. For every weekday or weekends in train data set we keep a day in test data set so that we can keep the time effect in our model. After the data management process, we apply different forecasting methods to explain future carbon price tendencies.