Prediction of Corn and Sugar Prices Using Machine Learning, Econometrics, and Ensemble Models †

This paper explores the use of several state-of-the-art machine learning models for predicting the daily prices of corn and sugar in Brazil in relation to the use of traditional econometrics models. The following models were implemented and compared: ARIMA, SARIMA, support vector regression (SVR), AdaBoost, and long short-term memory networks (LSTM). It was observed that, even though the prices time series for both products differ considerably, the models that presented the best results were obtained by: SVR, an ensemble of the SVR and LSTM models, an ensemble of the AdaBoost and SVR models, and an ensemble of the AdaBoost and LSTM models. The econometrics models presented the worst results for both products for all metrics considered. All models presented better results for predicting corn prices in relation to the sugar prices, which can be related mainly to its lower variation during the training and test sets. The methodology used can be implemented for other products.