Text‐based corn futures price forecasting using improved neural basis expansion network

Lin Wang, Wuyue An and Feng‐Ting Li

Journal of Forecasting, 2024, vol. 43, issue 6, 2042-2063

Abstract: The accurate forecasting of agricultural futures prices is critical for ensuring national food security. Therefore, this study proposes a text‐based deep learning forecasting model. This model first uses the ChineseBERT + a text convolution neural network to classify Weibo text and obtain a raw sentiment index. Then, complete ensemble empirical mode decomposition with adaptive noise, variational mode decomposition, correlation coefficient, and sample entropy are combined to decompose and reconstruct the raw sentiment index and obtain a denoised sentiment index. Subsequently, the neural basis expansion analysis with exogenous variables is improved by designing a weight coefficient and Optuna is used to optimize the designed weight coefficient and the hyperparameters. Finally, the SHapley Additive exPlanations value is used to increase the interpretability of prediction results. Corn futures prices for the Dalian Exchange are used in forecasting to validate the accuracy and stability of the proposed model. Experimental results show that the proposed denoising sentiment index contributes more to the improvement of predictive model performance than the raw sentiment index. The proposed text‐based deep predictive model demonstrates strong predictive ability for prediction horizons of 30 and 60 days. SHapley Additive exPlanations value analysis shows that the three features with greater effects on corn futures prices are as follows: “Corn Spot Price of Zhengzhou market,” “CBOT_corn_futures_price,” and “Pork futures price.”

Date: 2024
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https://doi.org/10.1002/for.3119

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:43:y:2024:i:6:p:2042-2063

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