Wang, Z;
French, N;
James, T;
Schillaci, C;
Chan, F;
Feng, M;
Lipani, A;
(2023)
Climate and environmental data contribute to the prediction of grain commodity prices using deep learning.
Journal of Sustainable Agriculture and Environment
, 2
(3)
pp. 251-265.
10.1002/sae2.12041.
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Abstract
Background: Grain commodities are important to people's daily lives and their fluctuations can cause instability for households. Accurate prediction of grain prices can improve food and social security. Methods & Materials: This study proposes a hybrid Long Short-Term Memory (LSTM)-Convolutional Neural Network (CNN) model to forecast weekly oat, corn, soybean and wheat prices in the United States market. The LSTM-CNN is a multivariate model that uses weather data, macroeconomic data, commodities grain prices and snow factors, including Snow Water Equivalent (SWE), snowfall and snow depth, to make multistep ahead forecasts. Results: Of all the features, the snow factor is used for the first time for commodity price forecasting. We used the LSTM-CNN model to evaluate the 5, 10, 15 and 20 weeks ahead forecasting and this hybrid model had the lowest Mean Squared Error (MSE) at 5, 10 and 15 weeks ahead of prediction. In addition, Shapley values were calculated to analyse the feature contribution of the LSTM-CNN model when forecasting the testing set. Based on the feature contribution, SWE ranked third, fifth and seventh in feature importance in the 5-week ahead forecast for corn, oats and wheat, respectively, and 7–8 places higher than total precipitation, indicating the potential use of SWE in grain price forecasting. Conclusion: The hybrid multivariate LSTM-CNN model outperformed other models and the newly involved climate data, SWE, showed the research potential of using snow as an input variable to predict grain prices over a multistep ahead time horizon.
| Type: | Article |
|---|---|
| Title: | Climate and environmental data contribute to the prediction of grain commodity prices using deep learning |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1002/sae2.12041 |
| Publisher version: | https://doi.org/10.1002/sae2.12041 |
| Language: | English |
| Additional information: | © 2023 The Authors. Journal of Sustainable Agriculture and Environment published by Global Initiative of Crop Microbiome and Sustainable Agriculture and John Wiley & Sons Australia, Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. |
| Keywords: | commodity prices, LSTM‐CNN, multistep ahead prediction, snow water equivalent |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Civil, Environ and Geomatic Eng |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10177812 |
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