The objective of this research is to study the effect of hyperparameters on corn price movement prediction models, namely batch size and learning rate, and create a model to predict the corn price movement in the Chicago Board of Trade (CBOT) based on candlestick images at 5-day and 20-day timeframes. The data are split into three sets, namely, training set, validation set, and test set, with a ratio of 70:10:20. The models presented in this research are CNN, VGG-16, and Efficientnet-B0, which must be fine-tuned. The study’s findings on hyperparameter values within a 5-day timeframe revealed that the optimal batch size and learning rates for all three models were a batch size of 16 with a learning rate of 0.001 and a timeframe of 20 days with a dataset size of 16. However, the suitable learning rate for the CNN model was 0.001, while for the VGG-16 and EfficientNet-B0 models, it was 0.0001. Subsequently, the hyperparameter values were fine-tuned for each model and tested the model with the test set. The study findings revealed that at the 5-day timeframe, the customized CNN model outperformed other models in predicting corn price movement, with an accuracy of 55.39%, while at a 20-day timeframe, the model with the highest accuracy was EfficientNet-B0, with an accuracy of 55.03%.

错误:搜索内容不能为空,请输入英文关键词
错误:关键词超出字数限制,请精简
高级检索

Applying Convolutional Neural Network with Candlestick Images to Predict Corn Price Movement

  • Pornpimol Chaiwuttisak

摘要

The objective of this research is to study the effect of hyperparameters on corn price movement prediction models, namely batch size and learning rate, and create a model to predict the corn price movement in the Chicago Board of Trade (CBOT) based on candlestick images at 5-day and 20-day timeframes. The data are split into three sets, namely, training set, validation set, and test set, with a ratio of 70:10:20. The models presented in this research are CNN, VGG-16, and Efficientnet-B0, which must be fine-tuned. The study’s findings on hyperparameter values within a 5-day timeframe revealed that the optimal batch size and learning rates for all three models were a batch size of 16 with a learning rate of 0.001 and a timeframe of 20 days with a dataset size of 16. However, the suitable learning rate for the CNN model was 0.001, while for the VGG-16 and EfficientNet-B0 models, it was 0.0001. Subsequently, the hyperparameter values were fine-tuned for each model and tested the model with the test set. The study findings revealed that at the 5-day timeframe, the customized CNN model outperformed other models in predicting corn price movement, with an accuracy of 55.39%, while at a 20-day timeframe, the model with the highest accuracy was EfficientNet-B0, with an accuracy of 55.03%.