An investigation and comparison of artificial neural network and time series models for Chinese food grain price forecasting

Authors:
H. F. Zou;G. P. Xia;F. T. Yang;H. Y. Wang
Affiliations:
School of Economics and Management, Beihang University, Beijing 100083, PR China and China International Engineering Consulting Corporation, Beijing, PR China;School of Economics and Management, Beihang University, Beijing 100083, PR China;Beijing Simulation Center, Beijing 100854, PR China;School of Economics and Management, Beihang University, Beijing 100083, PR China
Venue:
Neurocomputing
Year:
2007

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Abstract

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.