Prediction of bulk commodities based on Internet concerns

WANG Jue, HU Lanyi, QI Chen

Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (5) : 1163-1171.

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Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (5) : 1163-1171. DOI: 10.12011/1000-6788(2017)05-1163-09

Prediction of bulk commodities based on Internet concerns

  • WANG Jue1,2,3, HU Lanyi1, QI Chen1
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Abstract

With the rapid development of bulk commodities and electronic technology, the network information carried by the Internet delivers quickly to the market and the participants in it. Using search engines that equip with massive open-source data, we propose in this paper a prediction model of the price of bulk commodities, by constructing Internet concern indices from the key searching information. Due to the support vector regression (SVR) model with different kernel functions, we build a prediction model respectively for the single market of crude oil, copper and corn. In addition, considering the co-movement among commodity markets, we further present a model with Internet concerns in terms of multiple markets. Empirical results demonstrate that the Internet concerns present a significant Granger causality on the variation of market price. Meanwhile, taking into account the Internet concern indices as well as information from related markets can improve the prediction accuracy in a remarkable amount.

Key words

bulk commodities / Internet concerns / prediction / support vector regression (SVR)

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WANG Jue , HU Lanyi , QI Chen. Prediction of bulk commodities based on Internet concerns. Systems Engineering - Theory & Practice, 2017, 37(5): 1163-1171 https://doi.org/10.12011/1000-6788(2017)05-1163-09

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Funding

National Natural Science Foundation of China (71271202);Project of Youth Innovation Promotion Association, CAS;Global Economic Monitoring and Early Warning and Policy Simulation Project of National Center for Mathematics and Interdisciplinary Sciences, CAS
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