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Shanghai Containerised Freight Index Forecasting Based on Deep Learning Methods: Evidence from Chinese Futures Markets

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Abstract

With the escalation of global trade, the Chinese commodity futures market has ascended to a pivotal role within the international shipping landscape. The Shanghai Containerized Freight Index (SCFI), a leading indicator of the shipping industry’s health, is particularly sensitive to the vicissitudes of the Chinese commodity futures sector. Nevertheless, a significant research gap exists regarding the application of Chinese commodity futures prices as predictive tools for the SCFI. To address this gap, the present study employs a comprehensive dataset spanning daily observations from March 24, 2017, to May 27, 2022, encompassing a total of 29,308 data points. We have crafted an innovative deep learning model that synergistically combines Long Short-Term Memory (LSTM) and Convolutional Neural Network (CNN) architectures. The outcomes show that the CNN-LSTM model does a great job of finding the nonlinear dynamics in the SCFI dataset and accurately capturing its long-term temporal dependencies. The model can handl

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  • Chen, Liang & Liu, Jiankun & Pei, Rongyu & Su, Zhenqing & Liu, Ziyang, 2024. "Shanghai Containerised Freight Index Forecasting Based on Deep Learning Methods: Evidence from Chinese Futures Markets," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 28(3), pages 359-388, September.
    • Handle: RePEc:ris:eaerev:0439
    DOI: 10.11644/KIEP.EAER.2024.28.3.439
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    Keywords

    SCFI Forecast; Futures Market; Machine Learning; Convolution Neural Network; Long and Short-term Memory;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • L15 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Information and Product Quality
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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