News-based research on forecast of international natural gas price trend

Abstract

In this paper, we build a deep learning network to predict the trends of natural gas prices. Given a time series, for each day, the gas price trend is classified as 'up' and 'down' according to the price compared to the last day. Meanwhile, we collect news articles as experimental materials from some natural gas related websites. Every article was then embedded into vectors by word2vec, weighted with its sentiment score, and labeled with corresponding day's price trend. A CNN and LSTM fused network was then trained to predict price trend by these news vectors. Finally, the model's predictive accuracy reached 62.3%, which outperformed most of other traditional classifiers.