3 Aug, 12:15 Forecasting prices in dynamic heterogeneous product markets using multivariate prediction methods
by Announcements of talks@IDSIA
3 Aug, 12.15
Room 222, DSAN
SPEAKER: G. Lucchese, University of Bergamo
TITLE: Forecasting prices in dynamic heterogeneous product markets
using multivariate prediction methods
Accurate forecasting of product prices is essential for competitive
bidding in consumer markets. Price developments of different products
often move in parallel possibly due to shared components. Real time
pricing puts a tremendous strain on efficient decision making.
Research questions
-How forecast prices in dynamic markets for heterogeneous products
that share common components?
-Can co-dependencies among product prices be used to efficiently
forecast product prices?
-Can adequate multivariate forecasts be obtained, which satisfy
conditions of precision and available time for decision making?
It is proposed a dynamic model, which makes use of Kalman filter and EM
to estimate the parameters; its results are compared to alternative
univariate and multivariate autoregressive methodologies.