Affiliation:
1. University College London (UCL) London UK
2. Wegaw SA Trélex Switzerland
3. European Commission Joint Research Centre (JRC) Ispra VA Italy
4. School of Geographical Sciences University of Nottingham Ningbo China Ningbo China
5. Water@Leeds and School of Geography University of Leeds Leeds UK
6. Research Centre for Intelligent Management & Innovation Development/Research Base for Shenzhen Municipal Policy & Development Southern University of Science and Technology Shenzhen China
Abstract
AbstractBackgroundGrain 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 & MaterialsThis 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.ResultsOf 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.ConclusionThe 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.