Wheat Futures Prices Prediction in China: A Hybrid Approach

Sun, Yunpeng, Guo, Ji, Shan, Shan, Khan, Yousaf Ali and Ma, Junhai (2021) Wheat Futures Prices Prediction in China: A Hybrid Approach. Discrete Dynamics in Nature and Society, 2021. pp. 1-9. ISSN 1026-0226

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Stocks markets play their financial roles of price shocks and hedging just when they are proficient. The imperative highlights of productive market are that one cannot make extraordinary profit from the stocks markets. This research investigates whether China wheat futures price can be predicted by employing artificial intelligence neural network. This would add to our knowledge whether wheat futures market is resourceful and would enable traders, sellers, and investors to improve cost-effective trading strategy. We utilize the traditional financial model to forecast the wheat futures price and acquire out of sample point estimates. We additionally assess the robustness of our outcomes by applying several alternative forecasting techniques such as artificial intelligence with one hidden layer and autoregressive integrated moving average (ARIMA) model. Furthermore, the statistical significance of our point estimation was further tested through the Mariano and Diebold test. Considering random walk forecast as the bench mark, we used a number of economic indicators, trader’s expectation towards futures prices, and lagged value of futures price of wheat in order to forecast the evaluation of wheat futures price. The computable significance of out of sample estimations recommends that our ANN with one hidden layer has the best anticipating presentation among all the models considered in this exploration and has the estimating power in foreseeing wheat futures returns. Furthermore, this investigation discovers that the futures price of wheat can be predicted, and the wheat futures market of China is not productive.

Item Type: Article
Subjects: G500 Information Systems
N100 Business studies
Department: Faculties > Business and Law > Newcastle Business School
Faculties > Engineering and Environment > Computer and Information Sciences
Depositing User: Rachel Branson
Date Deposited: 04 Oct 2021 10:54
Last Modified: 04 Oct 2021 11:00
URI: http://nrl.northumbria.ac.uk/id/eprint/47413

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