A New Method for Futures Price Trends Forecasting Based on BPNN and Structuring Data
Summary :
Forecasting commodity futures price is a challenging task. We present an algorithm to predict the trend of commodity futures price based on a type of structuring data and back propagation neural network. The random volatility of futures can be filtered out in the structuring data. Moreover, it is not restricted by the type of futures contract. Experiments show the algorithm can achieve 80% accuracy in predicting price trends.
- Publication
- IEICE TRANSACTIONS on Information Vol.E102-D No.9 pp.1882-1886
- Publication Date
- 2019/09/01
- Publicized
- 2019/05/28
- Online ISSN
- 1745-1361
- DOI
- 10.1587/transinf.2018EDL8190
- Type of Manuscript
- LETTER
- Category
- Artificial Intelligence, Data Mining
Authors
Weijun LU
BUPT
Chao GENG
BUPT
Dunshan YU
PUK
Keyword
Latest Issue
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Weijun LU, Chao GENG, Dunshan YU, "A New Method for Futures Price Trends Forecasting Based on BPNN and Structuring Data" in IEICE TRANSACTIONS on Information,
vol. E102-D, no. 9, pp. 1882-1886, September 2019, doi: 10.1587/transinf.2018EDL8190.
Abstract: Forecasting commodity futures price is a challenging task. We present an algorithm to predict the trend of commodity futures price based on a type of structuring data and back propagation neural network. The random volatility of futures can be filtered out in the structuring data. Moreover, it is not restricted by the type of futures contract. Experiments show the algorithm can achieve 80% accuracy in predicting price trends.
URL: https://global.ieice.org/en_transactions/information/10.1587/transinf.2018EDL8190/_p
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@ARTICLE{e102-d_9_1882,
author={Weijun LU, Chao GENG, Dunshan YU, },
journal={IEICE TRANSACTIONS on Information},
title={A New Method for Futures Price Trends Forecasting Based on BPNN and Structuring Data},
year={2019},
volume={E102-D},
number={9},
pages={1882-1886},
abstract={Forecasting commodity futures price is a challenging task. We present an algorithm to predict the trend of commodity futures price based on a type of structuring data and back propagation neural network. The random volatility of futures can be filtered out in the structuring data. Moreover, it is not restricted by the type of futures contract. Experiments show the algorithm can achieve 80% accuracy in predicting price trends.},
keywords={},
doi={10.1587/transinf.2018EDL8190},
ISSN={1745-1361},
month={September},}
Copy
TY - JOUR
TI - A New Method for Futures Price Trends Forecasting Based on BPNN and Structuring Data
T2 - IEICE TRANSACTIONS on Information
SP - 1882
EP - 1886
AU - Weijun LU
AU - Chao GENG
AU - Dunshan YU
PY - 2019
DO - 10.1587/transinf.2018EDL8190
JO - IEICE TRANSACTIONS on Information
SN - 1745-1361
VL - E102-D
IS - 9
JA - IEICE TRANSACTIONS on Information
Y1 - September 2019
AB - Forecasting commodity futures price is a challenging task. We present an algorithm to predict the trend of commodity futures price based on a type of structuring data and back propagation neural network. The random volatility of futures can be filtered out in the structuring data. Moreover, it is not restricted by the type of futures contract. Experiments show the algorithm can achieve 80% accuracy in predicting price trends.
ER -
English
