Non-ferrous metals price forecasting based on variational mode decomposition and LSTM network

摘要

Non-ferrous metals are indispensable industrial materials and strategic supports of national economic development. The price forecasting of non-ferrous metals is critical for investors, policymakers, and researchers. Nevertheless, an accurate and robust non-ferrous metals price forecasting is a difficult yet challenging problem due to severe fluctuations and irregular cycles in the metal price evolution. Motivated by the "Divide-and-Conquer" principle, we present a novel hybrid deep learning model, which combines the VMD (variational mode decomposition) method and the LSTM (long short-term memory) network to construct a forecasting model in this paper. Here, the VMD method is firstly employed to disassemble the original price series into several components. The LSTM network is used to forecast for each component. Lastly, the forecasting results of each component are aggregated to formulate an ultimate forecasting output for the original price series. To investigate the forecasting performance of the proposed model, extensive experiments have been executed using the LME (London Metal Exchange) daily future prices of Zinc, Copper and Aluminum, and other six state-of-the-art methods are included for comparison. The experiment results demonstrate that the proposed model has superior performance for non-ferrous metals price forecasting. (C) 2019 Elsevier B.V. All rights reserved.