Short-term salmon price forecasting
In: Journal of Forecasting. Wiley-Blackwell: Hoboken. ISSN 0277-6693; e-ISSN 1099-131X, more
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| Author keywords |
elastic net regularization; financial time series; forecasting;k-nearest neighbors; salmon price; vector error correction model |
| Abstract |
This study establishes a benchmark for short-term salmon price forecasting. The weekly spot price of Norwegian farmed Atlantic salmon is predicted 1-5weeks ahead using data from 2007 to 2014. Sixteen alternative forecasting methods are considered, ranging from classical time series models to customized machine learning techniques to salmon futures prices. The best predictions are delivered by k-nearest neighbors method for 1week ahead; vector error correction model estimated using elastic net regularization for 2 and 3weeks ahead; and futures prices for 4 and 5weeks ahead. While the nominal gains in forecast accuracy over a naive benchmark are small, the economic value of the forecasts is considerable. Using a simple trading strategy for timing the sales based on price forecasts could increase the net profit of a salmon farmer by around 7%. |
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