RESUMO

Forecast the price of agricultural goods is a beneficial action for farmers, marketing agents, consumers, and policymakers. Today, managing this product security requires price forecasting models that are both efficient and reliable for a country's import and export. In the last few decades, the Autoregressive Integrated Moving Average (ARIMA) model has been widely used in economics time series forecasting. Recently, many of the time series observations presented in economics have been clearly shown to be nonlinear, Machine learning (ML) modelling, conversely, offers a potential price forecasting technique that is more flexible given the limited data available in most countries' economies. In this research, a hybrid price forecasting model has been used, through a novel clustering technique, a new cluster selection algorithm and a multilayer perceptron neural network (MLPNN), which had many advantages and using monthly time series of Thai rice FOB price form November 1987 to October 2017. The empirical results of this study showed that the value of root mean square error (RMSE) equals 14.37 and the Mean absolute percentage error (MAPE) equals 4.09% for the hybrid model. The evaluation results of proposed method and comparison its performance with four benchmark models, by monthly time series of Thailand rice FOB price from November 1987 to October 2017 showed the outperform of proposed method.

Prever o preço dos produtos agrícolas é uma ação benéfica para agricultores, agentes de marketing, consumidores e legisladores. Hoje, o gerenciamento da segurança desse produto requer modelos de previsão de preços eficientes e confiáveis para a importação e exportação de um país. Nas últimas décadas, o modelo Autoregressive Integrated Moving Average (ARIMA) tem sido amplamente utilizado na previsão de séries temporais da economia. Recentemente, muitas das observações de séries temporais apresentadas em economia têm se mostrado claramente não lineares. A modelagem de aprendizado de máquina (ML), por outro lado, oferece uma técnica de previsão de preços potencial que é mais flexível, apresentados os dados limitados disponíveis na maioria dos países. Nesta pesquisa, um modelo híbrido de previsão de preços foi usado, por meio de uma nova técnica de agrupamento, um novo algoritmo de seleção de agrupamento e uma rede neural perceptron multicamadas (MLPNN), que teve muitas vantagens, e usando séries temporais mensais de preços FOB do arroz tailandês de novembro 1987 a outubro de 2017. Os resultados empíricos deste estudo mostraram que o valor da raiz do erro quadrático médio (RMSE) é igual a 14,37 e o erro percentual absoluto médio (MAPE) é igual a 4,09% para o modelo híbrido. Os resultados da avaliação do método proposto e a comparação de seu desempenho com quatro modelos de benchmark, por séries temporais mensais de preço FOB do arroz tailandês de novembro de 1987 a outubro de 2017, mostram o desempenho superior do método proposto.

Assuntos

RESUMO

Market participants use a wide set of information before they decide to invest in risk assets, such as stocks. Investors often follow the news to collect the information that will help them decide which strategy to follow. In this study, we analyze how public news and historical prices can be used together to anticipate and prevent financial losses on the Brazilian stock market. We include an extensive set of 64 securities in our analysis, which represent various sectors of the Brazilian economy. Our analysis compares the traditional Buy & Hold and the moving average strategies to several experiments designed with 11 machine learning algorithms. We explore daily, weekly and monthly time horizons for both publication and return windows. With this approach we were able to assess the most relevant set of news for investor's decision, and to determine for how long the information remains relevant to the market. We found a strong relationship between news publications and stock price changes in Brazil, suggesting even short-term arbitrage opportunities. The study shows that it is possible to predict stock price falls using a set of news in Portuguese, and that text mining-based approaches can overcome traditional strategies when forecasting losses.