Machine Learning in Energy Economics and Finance: A Review

71 Pages Posted: 15 Nov 2018 Last revised: 8 Jun 2019

See all articles by Hamed Ghoddusi

Hamed Ghoddusi

Stevens Institute of Technology - School of Business; Economic Research Forum

Germán G. Creamer

Stevens Institute of Technology, School of Business; Columbia University - Department of Computer Science

Nima Rafizadeh

Sharif University of Technology - Graduate School of Management and Economics

Date Written: October 21, 2018

Abstract

Machine Learning (ML) is generating new opportunities for innovative research in energy economics and finance. We critically review the burgeoning literature dedicated to Energy Economics/Finance applications of ML. Our review identifies applications in areas such as predicting energy prices (e.g. crude oil, natural gas, and power), demand forecasting, risk management, trading strategies, data processing, and analyzing macro/energy trends. We critically review the content (methods and findings) of more than 130 articles published between 2005 and 2018. Our analysis suggests that Support Vector Machine (SVM), Artificial Neural Network (ANN), and Genetic Algorithms (GAs) are among the most popular techniques used in energy economics papers. We discuss the achievements and limitations of existing literature. The survey concludes by identifying current gaps and offering some suggestions for future research.

Keywords: Machine Learning, Energy Markets, Energy Finance, Support Vector Machine, Artificial Neural Network, Forecasting, Crude Oil, Electricity Price

JEL Classification: C01, C11, C45, C16, C38

Suggested Citation

Ghoddusi, Hamed and Creamer, Germán G. and Rafizadeh, Nima, Machine Learning in Energy Economics and Finance: A Review (October 21, 2018). Energy Economics, Vol. 81, 2019. Available at SSRN: https://ssrn.com/abstract=3270251 or http://dx.doi.org/10.2139/ssrn.3270251

Hamed Ghoddusi (Contact Author)

Stevens Institute of Technology - School of Business ( email )

Hoboken, NJ 07030
United States

HOME PAGE: http://www.ghoddusi.com

Economic Research Forum ( email )

Cairo
Egypt

Germán G. Creamer

Stevens Institute of Technology, School of Business ( email )

1 Castle Point on Hudson
Hoboken, NJ 07030
United States
2012168986 (Phone)

HOME PAGE: http://www.creamer-co.com

Columbia University - Department of Computer Science ( email )

New York, NY 10027
United States

Nima Rafizadeh

Sharif University of Technology - Graduate School of Management and Economics ( email )

Tehran
Iran

HOME PAGE: http://sites.google.com/site/nimaarafizadeh/

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