Abstract
Commodity futures are an important hedging tool in material trade, and by accurately predicting prices, countries and firms are able to make informed production and consumption decisions. This paper introduces a novel machine learning ensemble method that combines decomposition algorithms and physical optimization algorithms to predict commodity futures prices. First, the VMD(Variational mode decomposition) is optimized by the RIME algorithm (Rime optimization algorithm) to obtain the optimal modal decomposition results, and the trend and seasonal terms are predicted using the ELM (Extreme Learning Machines) and FA (Fourier Attention) models, respectively, and the results are finally synthesized. The results show that the MAPE(mean absolute percentage error) of one-step, three-step, and six-step methods for predicting crude oil prices are 0.48%, 0.66%, and 0.75%, respectively, and the MAPE of soybean prediction results are 0.22%, 0.27%, and 0.37%, respectively. The empirical results and ablation experiments show that it outperforms other benchmark models in terms of both horizontal and directional accuracy. Notably, it outperforms in predicting soybean futures prices, which demonstrates the ability of our model to better capture the characteristics of both the time and frequency domains of the series, to take sufficient consideration of the series characteristics, and to ensure robustness.