A New Method for Futures Price Trends Forecasting Based on BPNN and Structuring Data

Weijun LU  Chao GENG  Dunshan YU  

IEICE TRANSACTIONS on Information and Systems   Vol.E102-D   No.9   pp.1882-1886
Publication Date: 2019/09/01
Online ISSN: 1745-1361
DOI: 10.1587/transinf.2018EDL8190
Type of Manuscript: LETTER
Category: Artificial Intelligence, Data Mining
commodity futures price,  structuring data,  back propagation neural network,  

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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.