An Intelligent Framework for Forecasting and Early Warning of Egg Futures Prices Based on Data Feature Extraction and Hybrid Deep Learning

This study uses multidimensional indicators of macroeconomics, supply and demand, cost, and market microstructure to construct an intelligent framework integrated with optimized Exponentially Weighted Moving Average (EWMA) denoising for price forecasting and black early warning for egg futures in China from 2014 to 2023. Black early warning serves as a non-parametric early warning method that identifies abnormal price increases and falls based on historical fluctuation thresholds. As the first livestock future contract listed in China, accurate egg price forecasting is crucial for risk prevention and market control and regulation. First, LASSO regression was used to screen the core driving factors of egg futures prices. Nine key indicators were identified and input into the hybrid Temporal Convolutional Network–Gated Recurrent Unit (TCN-GRU) prediction model. To address the high-frequency noise in the original price series, two-dimensional optimization was performed on traditional EWMA denoising to achieve more adaptive noise filtering. By applying the black early warning method, the obtained future egg price fluctuations were more consistent with the actual situation. In addition, empirical analysis of multi-horizon forecasting and early warning for t + 1, t + 5, and t + 10 was carried out to further verify the model’s prediction accuracy. The results show that compared with the single TCN model, the single GRU model, and the TCN-GRU model without denoising, the TCN-GRU model integrated with optimized EWMA denoising achieves better prediction performance on the test set. In terms of the early warning matching rate, it reaches 83.33% for the t + 1 horizon, and the prediction accuracy for the t + 5 and t + 10 horizons decreases regularly but remains stable above 60%. In contrast, the highest early warning matching rate of the model without denoising is only 22.22% across all horizons, which has no practical early warning value. The early warning signals generated by the optimized EWMA denoising-based TCN-GRU model can effectively identify abnormal sharp rises and falls in egg futures prices, providing effective support for hedging and risk management for market participants. The study’s limitations are discussed, as well as future research directions. The findings provide a basis for decision making for agricultural producers and future investors and support the development of China’s agricultural product market.