Price Forecasting of Ribbed Smoked Rubber Sheet No.3 in the Agricultural Futures Market by Leading Indicators and Artificial Neural Networks

Abstract

This research reported the price prediction of the ribbed smoked rubber sheet No.3 in the agricultural futures market of Thailand. The daily time series of the ribbed smoked rubber sheet No.3 were collected from January, 2005 to December, 2010 (6 years). The objectives of this research were to study and analyze the validity of the price prediction method using two analytical methods, 1) Indicators and 2) Artificial Neural Networks. Indicators method consists of On Balance Volume (OBV) and Relative Strength Index (RSI) was used to compare the accurate portion of the change transmission trend. For Artificial Neural Networks method was used to predict and search for the appropriate period of the price prediction of the ribbed smoked rubber sheet No.3. The result found that the OBV was the optimal indicator for the Indicators method. The appropriate period time obtained by the Artificial Neural Networks method was 5 days.