Journal
NEUROCOMPUTING
Volume 70, Issue 16-18, Pages 2913-2923Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.neucom.2007.01.009
Keywords
ARIMA; artificial neural networks; price forecasting; combined forecast
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This paper compares the predictive performance of ARIMA, artificial neural network and the linear combination models for forecasting wheat price in Chinese market. Empirical results show that the combined model can improve the forecasting performance significantly in contrast with its counterparts in terms of the error evaluation measurements. However, as far as turning points and profit criterions are concerned, the ANN model is best as well as at capturing a significant number of turning points. The results are conflicting when implementing dissimilar forecasting criteria (the quantitative and the turning points measurements) to evaluate the performance of three models. The ANN model is overall the best model, and can be used as an alternative method to model Chinese future food grain price. (c) 2007 Elsevier B.V. All rights reserved.
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