Multisource Information Fusion as a Decision Support System: Optimizing Deep Learning Ensembles for Financial Risk in Crude Oil Forecasting

Vol 57, 2025 - 340965
Poster
Favorite this paper
How to cite this paper?
Abstract

Extreme volatility and geopolitical shocks in crude oil markets compromise strategic planning in capital-intensive energy projects. This study aims to forecast crude oil prices under severe uncertainty and to develop a volatility-grounded financial risk index that converts predictive accuracy into actionable decision support. To this end, we propose a Multisource Information Fusion Framework that couples daily Brent, WTI, and OPEC benchmarks with the Geopolitical Risk (GPR) Index, six deep learning architectures tuned by the Tree-structured Parzen Estimator, and an adaptive ensemble strategy (EnsResidChamp) that frames model aggregation as a dynamic optimization problem over forecast residuals. Fusing the GPR signal reduced errors in most architectures, and EnsResidChamp attained SMAPE values of 2.36% (Brent), 2.45% (WTI), and 2.27% (OPEC), outperforming univariate baselines and standalone models with significance confirmed by Friedman and Nemenyi tests. Value-at-Risk backtesting at the 99\% confidence level yielded violation rates of 0.92%-1.38% with no exception clustering (Kupiec and Christoffersen, p > 0.05), and the proposed Financial Risk Index (FRI) was minimized by EnsResidChamp for Brent (2.72) and WTI (2.84), whereas for the OPEC basket, a simpler ensemble achieved the lowest FRI (2.32) due to a more favorable Expected Shortfall-to-VaR ratio. We conclude that combining geopolitical fusion with residual-based ensembling delivers not only sharper forecasts, but a Decision Support System whose tail-risk behavior is statistically validated for hedging and capacity planning.

Share your ideas or questions with the authors!

Did you know that the greatest stimulus in scientific and cultural development is curiosity? Leave your questions or suggestions to the author!

Sign in to interact

Have a question or suggestion? Share your feedback with the authors!

Institutions
  • 1 Universidade Federal de Pernambuco - UFPE
Track
  • MCD – Multicriteria Decision Support Methods
Keywords
Deep Learning
Ensemble Learning
Financial Risk Management
Decision Support Systems
Time Series Forecasting