Commodity futures basis prediction based on the VMD–DBO–BiGRU model

Considering the nonlinear and nonstationary characteristics of the basis, this paper proposes an ensemble model that integrates Variational Mode Decomposition (VMD), Dung Beetle Optimization (DBO), and Bidirectional Gated Recurrent Units (BiGRUs). To avoid the limitations of a single commodity and to verify the effectiveness of the proposed model, this study selects six futures varieties and analyzes models such as BP (Backpropagation), LSTM (Long Short-Term Memory), DBO–BiGRU, and VMD–BiGRU. The results demonstrate that the VMD–DBO–BiGRU model exhibits superior performance in both one-step and multi-step forecasting. It also confirms the significant effects of VMD and DBO in enhancing the accuracy and stability of predictions. Moreover, models that account for the lag factors of the basis outperform those considering other factors, exhibiting lower errors and higher fit indices.

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Publication Details

Journal
International Journal of Financial Engineering
Published
2024-12-26
DOI
https://doi.org/10.1142/s2424786324500178
Primary Topic
Energy Load and Power Forecasting
Type
article
Field-Weighted Citation Impact
0.00

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article

Commodity futures basis prediction based on the VMD–DBO–BiGRU model

Yuxue Zhang, Yufeng Shi, Yuanwei Liu, Yuanmeng Liu et al.
International Journal of Financial Engineering
Energy Load and Power Forecasting
article

Commodity futures basis prediction based on the VMD–DBO–BiGRU model

Yuxue Zhang, Yufeng Shi, Yuanwei Liu, Yuanmeng Liu, Fuguo Liu
article en

Abstract

Considering the nonlinear and nonstationary characteristics of the basis, this paper proposes an ensemble model that integrates Variational Mode Decomposition (VMD), Dung Beetle Optimization (DBO), and Bidirectional Gated Recurrent Units (BiGRUs). To avoid the limitations of a single commodity and to verify the effectiveness of the proposed model, this study selects six futures varieties and analyzes models such as BP (Backpropagation), LSTM (Long Short-Term Memory), DBO–BiGRU, and VMD–BiGRU. The results demonstrate that the VMD–DBO–BiGRU model exhibits superior performance in both one-step and multi-step forecasting. It also confirms the significant effects of VMD and DBO in enhancing the accuracy and stability of predictions. Moreover, models that account for the lag factors of the basis outperform those considering other factors, exhibiting lower errors and higher fit indices.

International Journal of Financial EngineeringVol. 12(03)
Shandong University (CN), Changji University (CN)
National Key Research and Development Program of China
Decent work and economic growth
Openalex Percentile: Top 78%
Energy Load and Power Forecasting
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Commodity futures basis prediction based on the VMD–DBO–BiGRU model — Yuxue Zhang, Yufeng Shi, et al. · International Journal of Financial Engineering (2024) | TGRS Research Map | TGRS