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Forecasting Orange Juice Futures: LSTM, ConvLSTM, and Traditional Models Across Trading Horizons

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  • Apostolos Ampountolas

    (School of Hospitality Administration, Boston University, Boston, MA 02215, USA)

Abstract

This study evaluated the forecasting accuracy of various models over 5-day and 10-day trading horizons to predict the prices of orange juice futures (OJ = F). The analysis included traditional models like Autoregressive Integrated Moving Average (ARIMA) and advanced neural network models such as Long Short-Term Memory (LSTM), Recurrent Neural Network (RNN), Backpropagation Neural Network (BPNN), Support Vector Regression (SVR), and Convolutional Long Short-Term Memory (ConvLSTM), incorporating factors like the Commodities Index and the S&P500 Index. We employed loss function metrics and various tests to assess model performance. The results indicated that for the 5-day horizon, the LSTM and ConvLSTM consistently outperformed the other models. LSTM achieved the lowest error rates and demonstrated superior capability in capturing temporal dependencies, especially in single-factor and S&P500 Index predictions. ConvLSTM also performed strongly, effectively modeling spatial and temporal data patterns. In the 10-day horizon, similar trends were observed. LSTM and ConvLSTM models had significantly lower errors and better alignment with actual values. The BPNN model performed well when all factors were included, and the SVR model maintained consistent accuracy, particularly for single-factor predictions. The Diebold–Mariano (DM) test indicated significant differences in forecasting accuracy, favoring advanced neural network models. In addition, incorporating multiple influencing factors further improved predictive performance, enhancing investment outcomes and reducing risk.

Suggested Citation

  • Apostolos Ampountolas, 2024. "Forecasting Orange Juice Futures: LSTM, ConvLSTM, and Traditional Models Across Trading Horizons," JRFM, MDPI, vol. 17(11), pages 1-18, October.
  • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:11:p:475-:d:1503835
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    References listed on IDEAS

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    1. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
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