International Gold Futures Forecast Based On VMD-LASSO-LSTM

Gold is a special financial commodity with good investment and value storage functions.As a derivative of the gold market,gold futures is a typical financial time series with its nonlinearity and complexity.The frequent and violent fluctuation of gold futures price brings great risks to the holders of gold futures.Therefore,predicting the gold price accurately can help chinese investors avoid potential financial risks.According to the characteristics of international gold futures,this paper constructs a"decomposition and integration"framework to predict the price of international gold futures sequence.By analyzing the research status of gold futures and related methods,this paper takes the opening price of international gold futures,the highest price,the lowest price,the price of silver,the price of crude oil,the closing price of international gold spot,the US dollar index,the Nasdaq composite index,the Dow Jones Average Industrial index,the Standard&Poor’s 500 index as the influencing factors of the international gold futures price,and analyzes the correlation between the variables.According to the characteristics of international gold futures sequence,the model established in this paper is determined,and the EMD decomposition,VMD decomposition,LSTM model,GRU model and WOA optimization algorithm are introduced.Based on this,the prediction model of international gold futures was established.First,the EMD algorithm decomposed the international gold futures sequence,the EMD-LSTM model and EMD-GRU model were established,and WOA optimization algorithm was used to optimize the network parameters.Then,the VMD algorithm was used to decompose the international gold futures sequence and its influencing factors.The VMD-LASSO-LSTM model and VMD-LASSO-GRU model were established,and compared with SVR,RF,RNN and LSTM,the results showed that the MSE,MAE,RMSE and MAPE of VMD-LASSO-LSTM model were the smallest,the goodness of fit R~2 was the largest,and the fitting effect was the best.Therefore,the VMD-LASSO-LSTM model proposed in this paper is suitable for international gold futures price series prediction.