An Empirical Analysis of Sino-Russia Foreign Trade Turnover Time Series: Based on EMD-LSTM Model

• 영문명: An Empirical Analysis of Sino-Russia Foreign Trade Turnover Time Series: Based on EMD-LSTM Model
• 발행기관: 한국유통과학회
• 저자명: Jian GUO Kai Kun WU Lyu YE Shi Chao CHENG Wen Jing LIU Jing Ying YANG
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 9 No.10, 159~168쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.12.31

영문 초록

The time series of foreign trade turnover is complex and variable and contains linear and nonlinear information. This paper proposes preprocessing the dataset by the EMD algorithm and combining the linear prediction advantage of the SARIMA model with the nonlinear prediction advantage of the EMD-LSTM model to construct the SARIMA-EMD-LSTM hybrid model by the weight assignment method. The forecast performance of the single models is compared with that of the hybrid models by using MAPE and RMSE metrics. Furthermore, it is confirmed that the weight assignment approach can benefit from the hybrid models. The results show that the SARIMA model can capture the fluctuation pattern of the time series, but it cannot effectively predict the sudden drop in foreign trade turnover caused by special reasons and has the lowest accuracy in long-term forecasting. The EMD-LSTM model successfully resolves the hysteresis phenomenon and has the highest forecast accuracy of all models, with a MAPE of 7.4304%. Therefore, it can be effectively used to forecast the Sino-Russia foreign trade turnover time series post-epidemic. Hybrid models cannot take advantage of SARIMA linear and LSTM nonlinear forecasting, so weight assignment is not the best method to construct hybrid models.

목차

1. Introduction

2. Literature Review

3. Data and Model Specification

4. Results and Discussion

5. Conclusion and Limitations

References

키워드

Sino-Russia Foreign Trade Turnover Time Series Weight Assignment Hybrid Model Forecast Accuracy