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Commodity price forecasting via neural networks for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat

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  • Xiaojie Xu
  • Yun Zhang

Abstract

Agricultural commodity price forecasting represents a key concern for market participants. We explore the usefulness of neural network modeling for forecasting problems in datasets of daily prices over periods of greater than 50 years for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat. By investigating different model settings across the algorithm, delay, hidden neuron, and data‐splitting ratio, we arrive at models leading to a decent performance for each commodity, with the overall relative root mean square error ranging from 1.70% to 3.19%. These results have small advantages over no‐change models due to particular price adjustments in the prices considered here. Our results can be used on a standalone basis or combined with fundamental forecasts in forming perspectives of commodity price trends and conducting policy analysis. Our empirical framework should not be diffucult to implement, which is a critical consideration for many decision‐makers and has the potential to be generalized for price forecasts of more commodities.

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  • Xiaojie Xu & Yun Zhang, 2022. "Commodity price forecasting via neural networks for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(3), pages 169-181, July.
    • Handle: RePEc:wly:isacfm:v:29:y:2022:i:3:p:169-181
    DOI: 10.1002/isaf.1519
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    2. Dinggao Liu & Zhenpeng Tang & Yi Cai, 2022. "A Hybrid Model for China’s Soybean Spot Price Prediction by Integrating CEEMDAN with Fuzzy Entropy Clustering and CNN-GRU-Attention," Sustainability, MDPI, vol. 14(23), pages 1-22, November.
    3. Xiaojie Xu & Yun Zhang, 2023. "Neural network predictions of the high-frequency CSI300 first distant futures trading volume," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 191-207, June.

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