Nonferrous metal price forecasting based on signal decomposition and ensemble learning

Abstract

Nonferrous metals are indispensable raw materials for modern industry. The price forecasting of nonferrous metals is vital for business operators and investors. Based on the decomposition-integration framework, we propose a signal decomposition model combining variational mode decomposition (VMD) and an improved long-short time memory (LSTM) network. Using the MAE metric as a benchmark, the improved LSTM model (Mogrifier LSTM) obtained an average accuracy improvement of 5.99%. VMD is an efficient decomposition algorithm. However, it needs to set hyperparameters in advance. Unreasonable parameters will lead to poor decomposition results. Therefore, a method based on subseries complexity and reconstruction error (CAE) is proposed to reasonably decompose signals, improving 21.13% accuracy and reducing 37.56% computational overhead than other strategies. The structural model is introduced as a complement to the signal decomposition model, which learns different features by incorporating theoretical analyses into the choice of explanatory variables. The combining of two models achieves effective complementarity, obtaining an average accuracy improvement of 7.43%. Comparative tests on three datasets demonstrate the superiority of the proposed prediction framework. On the one hand, a reasonable decomposition strategy can play an essential role in the signal decomposition model. On the other hand, improving the prediction model and integrating different models is also an effective strategy to enhance accuracy.