Performance analysis of four decomposition-ensemble models for one-day-ahead agricultural commodity futures price forecasting
Summary: Agricultural commodity futures prices play a significant role in the change tendency of these spot prices and the supply-demand relationship of global agricultural product markets. Due to the nonlinear and nonstationary nature of this kind of time series data, it is inevitable for price forecasting research to take this nature into consideration. Therefore, we aim to enrich the existing research literature and offer a new way of thinking about forecasting agricultural commodity futures prices, so that four hybrid models are proposed based on the back propagation neural network (BPNN) optimized by the particle swarm optimization (PSO) algorithm and four decomposition methods: empirical mode decomposition (EMD), wavelet packet transform (WPT), intrinsic time-scale decomposition (ITD) and variational mode decomposition (VMD). In order to verify the applicability and validity of these hybrid models, we select three futures prices of wheat, corn and soybean to conduct the experiment. The experimental results show that (1) all the hybrid models combined with decomposition technique have a better performance than the single PSO-BPNN model; (2) VMD contributes the most in improving the forecasting ability of the PSO-BPNN model, while WPT ranks second; (3) ITD performs better than EMD in both cases of corn and soybean; and (4) the proposed models perform well in the forecasting of agricultural commodity futures prices.
- Pork price ensemble prediction model based on CEEMD and GA-SVR
- Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine
- Futures price forecasting based on GRA-CS-BP algorithm
- scientific article; zbMATH DE number 5370853
- An EMD-Based Neural Network Ensemble Learning Model for World Crude Oil Spot Price Forecasting
- A hybrid forecasting approach applied in the electrical power system based on data preprocessing, optimization and artificial intelligence algorithms
- A theory for multiresolution signal decomposition: the wavelet representation
- Intrinsic time-scale decomposition: time–frequency–energy analysis and real-time filtering of non-stationary signals
- The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
- Variational Mode Decomposition
- A machine learning-based price state prediction model for agricultural commodities using external factors
- The analysis of commodity demand predication in supply chain network based on particle swarm optimization algorithm
- An equilibrium analysis of the impact of real estate price volatility on macroeconomics based on ant colony algorithm
- Grain price forecasting using a hybrid stochastic method
- Multi-scale analysis of influencing factors for soybean futures price risk: adaptive Fourier decomposition mathematical model applied for the case of China
- Pork price ensemble prediction model based on CEEMD and GA-SVR
- Futures price forecasting based on GRA-CS-BP algorithm
This page was built for publication: Performance analysis of four decomposition-ensemble models for one-day-ahead agricultural commodity futures price forecasting
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1657097)
