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Predicting the Baltic Dry Bulk Freight Index Using an Ensemble Neural Network Model

통합적인 인공 신경망 모델을 이용한 발틱운임지수 예측

  • 소막 (경희대학교 중문MBA학과 )
  • Received : 2023.03.03
  • Accepted : 2023.04.21
  • Published : 2023.04.30
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Abstract

The maritime industry is playing an increasingly vital part in global economic expansion. Specifically, the Baltic Dry Index is highly correlated with global commodity prices. Hence, the importance of BDI prediction research increases. But, since the global situation has become more volatile, it has become methodologically more difficult to predict the BDI accurately. This paper proposes an integrated machine-learning strategy for accurately forecasting BDI trends. This study combines the benefits of a convolutional neural network (CNN) and long short-term memory neural network (LSTM) for research on prediction. We collected daily BDI data for over 27 years for model fitting. The research findings indicate that CNN successfully extracts BDI data features. On this basis, LSTM predicts BDI accurately. Model R2 attains 94.7 percent. Our research offers a novel, machine-learning-integrated approach to the field of shipping economic indicators research. In addition, this study provides a foundation for risk management decision-making in the fields of shipping institutions and financial investment.

해양 산업은 글로벌 경제 성장에 매우 중요한 역할을 하고 있다. 특히 벌크운임지수인 BDI는 글로벌 상품 가격과 매우 밀접한 상관 관계를 지니고 있기 때문에 BDI 예측 연구의 중요성이 증가하고 있다. 본연구에서는 글로벌 시장 상황 불안정성으로 인한 정확한 BDI 예측 어려움을 해결하고자 머신러닝 전략을 도입하였다. CNN과 LSTM의 이점을 결합한 예측 모델을 설정하였고, 모델 적합도를 위해 27년간의 일일 BDI 데이터를 수집하였다. 연구 결과, CNN을 통해 추출된 BDI 특징을 기반으로 LSTM이 BDI를 R2 값 94.7%로 정확하게 예측할 수 있었다. 본 연구는 해운 경제지표 연구 분야에서 새로운 머신 러닝 통합 접근법을 적용했을 뿐만 아니라 해운 관련기관과 금융 투자 분야의 위험 관리 의사결정에 대한 시사점을 제공한다는 점에서 그 의의가 있다.

Keywords

References

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