Abstract
In this paper, a new prediction model for accurately recognizing and appropriately evaluating the trends of domestic chemical products and for improving the forecasting accuracy of the chemical products’ prices is proposed. The proposed model uses the minimum forecasting error as the evaluation objective to forecast the settlement price. Active contracts for polyethylene and polypropylene futures on the Dalian Commodity Futures Exchange for the next five days were used, the data were divided into a training set and test set through normalization, and the time window, batch processing size, number of hidden layers, and rejection rate of a long short-term memory (LSTM) network were optimized by an improved genetic algorithm (IGA). In the experiments, with respect to the shortcomings of the genetic algorithm, the crossover location determination and some gene exchange methods in the crossover strategy were improved, and the predicted results of the IGA−LSTM model were compared with those of other models. The results showed that the IGA−LSTM model could effectively capture the characteristics and trends of time-series changes. The results showed that the proposed model obtained the minimum values (MSE = 0.00107, RMSE = 0.03268, and MAPE = 0.0691) in the forecasting of futures prices for two types of chemical products, showing excellent forecasting performance.