I want to create an NN to predict future prices in natural gas
I'm not sure it's a simple time series problem:
Each month ( so 12 of these) I follow a future spread ( e.g sep-oct ) until the front contract expires.
I start following it for approx 60 days ( data points ).
For each of the data points I have other inputs e.g. weather, inventories for the week, price of coal etc.
I have the previous 5 yrs data for each spread for each of the months of the year.
I want the NN to learn if it can predict the direction of the current months spread for the next x days of the 60 days for the particular months spread, given that I'll know weather, inventories, coal prices etc. -- the Features Vector -- at the moment of prediction.
Qus's I'd like to know if it can predict -"given this years inventories, weather patterns, coal price - where will the spread go in the next last 20 days of the contract?"
Is this suitable for a NN-based Predictor?
If so how should I be preparing my data?
I'm using MATLAB