Yongmei Fang

Bio: Yongmei Fang is an academic researcher from South China Agricultural University. The author has contributed to research in topics: Futures contract & Autoregressive integrated moving average. The author has an hindex of 1, co-authored 1 publications receiving 11 citations. Previous affiliations of Yongmei Fang include South China Normal University & Cardiff University.

Optimal forecast combination based on ensemble empirical mode decomposition for agricultural commodity futures prices

Abstract: Improving the prediction accuracy of agricultural product futures prices is important for the investors, agricultural producers and policy makers. This is to evade the risks and enable the government departments to formulate appropriate agricultural regulations and policies. This study employs Ensemble Empirical Mode Decomposition (EEMD) technique to decompose six different categories of agricultural futures prices. Subsequently three models, Support Vector Machine (SVM), Neural Network (NN) and ARIMA models are used to predict the decomposition components. The final hybrid model is then constructed by comparing the prediction performance of the decomposition components. The predicting performance of the combination model were then compared with the benchmark individual models, SVM, NN, and ARIMA. Our main interest in this study is on the short‐term forecasting, and thus we only consider 1‐day and 3‐days forecast horizons. The results indicated that the prediction performance of EEMD combined model is better than that of individual models, especially for the 3‐days forecasting horizon. The study also concluded that the machine learning methods outperform the statistical methods to forecast high‐frequency volatile components. However, there is no obvious difference between individual models in predicting the low‐frequency components.

Using polls to forecast popular vote share for US presidential elections 2016 and 2020: An optimal forecast combination based on ensemble empirical model

Abstract: Abstract This study introduces the Ensemble Empirical Mode Decomposition (EEMD) technique to forecasting popular vote shares in general elections. The technique is useful when using polling data. Our main interest in this study is shorter- and longer-term forecasting and, thus, we consider from the shortest forecast horizon of 1-day to three months ahead. The EEMD technique is used to decompose the election data for the two most recent US presidential elections; 2016 and 2020. Three models, Support Vector Machine (SVM), Neural Network (NN) and ARIMA models are then used to predict the decomposition components. Subsequently, the final hybrid model is constructed by comparing the prediction performance of the decomposition components. The predicting performance of the combination model is compared with the benchmark individual models: SVM, NN, and ARIMA. Finally, this is also compared to the single prediction market IOWA Electronic Markets. The results indicate that the prediction performance of combined EEMD model is better than that of the individual models.

Forecasting mid-price movement of Bitcoin futures using machine learning.

Abstract: In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil.

Canola and soybean oil price forecasts via neural networks

Abstract: Forecasts of commodity prices are vital issues to market participants and policy-makers. Those of cooking section oil are of no exception, considering its importance as one of main food resources. In the present study, we assess the forecast problem using weekly wholesale price indices of canola and soybean oil in China during January 1, 2010–January 3, 2020, by employing the non-linear auto-regressive neural network as the forecast tool. We evaluate forecast performance of different model settings over algorithms, delays, hidden neurons, and data splitting ratios in arriving at the final models for the two commodities, which are relatively simple and lead to accurate and stable results. Particularly, the model for the price index of canola oil generates relative root mean square errors of 2.66, 1.46, and 2.17% for training, validation, and testing, respectively, and the model for the price index of soybean oil generates relative root mean square errors of 2.33, 1.96, and 1.98% for training, validation, and testing, respectively. Through the analysis, we show usefulness of the neural network technique for commodity price forecasts. Our results might serve as technical forecasts on a standalone basis or be combined with other fundamental forecasts for perspectives of price trends and corresponding policy analysis.

Time Series Forecasting of Agricultural Products’ Sales Volumes Based on Seasonal Long Short-Term Memory

Abstract: In this paper, we propose seasonal long short-term memory (SLSTM), which is a method for predicting the sales of agricultural products, to stabilize supply and demand. The SLSTM model is trained using the seasonality attributes of week, month, and quarter as additional inputs to historical time-series data. The seasonality attributes are entered into the SLSTM network model individually or in combination. The performance of the proposed SLSTM model was compared with those of auto_arima, Prophet, and a standard LSTM in terms of three performance metrics (mean absolute error (MAE), root mean squared error (RMSE), and normalization mean absolute error (NMAE)). The experimental results show that the error rate of the proposed SLSTM model is significantly lower than those of other classical methods.