Agric. Econ. - Czech, 2021, 67(5):200-207 | DOI: 10.17221/480/2020-AGRICECON

Nonlinear analysis and prediction of soybean futuresShort Communication

Tao Yin ORCID...*, Yiming Wang
School of Economics, Peking University, Beijing, China

We use chaotic artificial neural network (CANN) technology to predict the price of the most widely traded agricultural futures - soybean futures. The nonlinear existence test results show that the time series of soybean futures have multifractal dynamics, long-range dependence, self similarity, and chaos characteristics. This also provides a basis for the construction of a CANN model. Compared with the artificial neural network (ANN) structure as our benchmark system, the predictability of CANN is much higher. The ANN is based on Gaussian kernel function and is only suitable for local approximation of nonstationary signals, so it cannot approach the global nonlinear chaotical hidden pattern. Improving the prediction accuracy of soybean futures prices is of great significance for investors, soybean producers, and decision makers.

Keywords: artificial neural network (ANN); chaos; forecasting; long-range dependence; multifractal

Published: May 20, 2021  Show citation

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Yin T, Wang Y. Nonlinear analysis and prediction of soybean futures. Agric. Econ. - Czech. 2021;67(5):200-207. doi: 10.17221/480/2020-AGRICECON.
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