Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

LSTM Applied for Commodity Futures Price Forecast

Version 1 : Received: 11 November 2022 / Approved: 15 November 2022 / Online: 15 November 2022 (07:00:55 CET)

How to cite: Jesus, G.S.D.; Hoppe, A.F.; Sartori, A.; Leithardt, V.R.Q. LSTM Applied for Commodity Futures Price Forecast. Preprints 2022, 2022110278. https://doi.org/10.20944/preprints202211.0278.v1 Jesus, G.S.D.; Hoppe, A.F.; Sartori, A.; Leithardt, V.R.Q. LSTM Applied for Commodity Futures Price Forecast. Preprints 2022, 2022110278. https://doi.org/10.20944/preprints202211.0278.v1

Abstract

This article presents the implementation of a model to estimate the future price of commodities in the Brazilian market from time series of short-term technical evaluation. For this, data from two databases were used, one referring to the foreign market (opening values, maximum, minimum, closing, closing adjustment and volume) and the other, from the Brazilian market (the price of the day), considering commodities, sugar, cotton, corn, soybean and wheat. Subsequently, the technical indicators were calculated from the TA-Lib technical analysis library. Pearson’s correlation coefficient was applied, records with low correlation were removed, and then the database was consolidated. From the pre-processed data, Long Short-Term Memory (LSTM) recurrent neural networks were used to perform data prediction at the one and three day interval. These models were evaluated using the mean square error (MSE), obtaining results between 0.00010 and 0.00037 on test data one day ahead, and from 0.00017 to 0.00042 three days ahead. However, based on the results obtained, it was observed that the developed model obtained a promising forecasting performance for all the commodities evaluated. As a main contribution, there is the consolidation of databases that can be used in future scientific research. Furthermore, based on its interpretation, it can assist in decision making regarding the buying and selling of commodities to increase financial gains.

Keywords

Long Short-Term Memory; time series forecasting; commodities; technical analysis

Subject

Computer Science and Mathematics, Computer Science

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