Identifying and forecasting economic regimes in TAC SCM

Wolfgang Ketter, John Collins, Maria L Gini, Alok Gupta, Paul R Schrater

Research output: Chapter in Book/Report/Conference proceedingConference contribution

7 Citations (Scopus)

Abstract

We present methods for an autonomous agent to identify dominant market conditions, such as over-supply or scarcity, and to forecast market changes. We show that market conditions can be characterized by distinguishable statistical patterns that can be learned from historic data and used, together with real-time observable information, to identify the current market regime and to forecast market changes. We use a Gaussian Mixture Model to represent the probabilities of market prices and, by clustering these probabilities, we identify different economic regimes. We show that the regimes so identified have properties that correlate with market factors that are not directly observable. We then present methods to predict regime changes. We validate our methods by presenting experimental results obtained with data from the Trading Agent Competition for Supply Chain Management.

Original languageEnglish (US)
Title of host publicationAgent-Mediated Elect. Commerce. Design. Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, and IJCAI 2005 Workshop, TADA 2005, Selected and Revised Papers
Pages113-125
Number of pages13
StatePublished - Dec 8 2006
EventAAMAS 2005 Workshop on Agent-Mediated Electronic Commerce, AMEC 2005 and IJCAI 2005 Workshop on Trading Agent Design and Analysis, TADA 2005 - Edinburgh, United Kingdom
Duration: Aug 1 2005Aug 1 2005

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume3937 LNAI
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Other

OtherAAMAS 2005 Workshop on Agent-Mediated Electronic Commerce, AMEC 2005 and IJCAI 2005 Workshop on Trading Agent Design and Analysis, TADA 2005
CountryUnited Kingdom
CityEdinburgh
Period8/1/058/1/05

Fingerprint

Forecasting
Economics
Autonomous agents
Supply chain management
Forecast
Supply Chain Management
Autonomous Agents
Gaussian Mixture Model
Market
Correlate
Clustering
Real-time
Predict
Experimental Results

Cite this

Ketter, W., Collins, J., Gini, M. L., Gupta, A., & Schrater, P. R. (2006). Identifying and forecasting economic regimes in TAC SCM. In Agent-Mediated Elect. Commerce. Design. Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, and IJCAI 2005 Workshop, TADA 2005, Selected and Revised Papers (pp. 113-125). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 3937 LNAI).

Identifying and forecasting economic regimes in TAC SCM. / Ketter, Wolfgang; Collins, John; Gini, Maria L; Gupta, Alok; Schrater, Paul R.

Agent-Mediated Elect. Commerce. Design. Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, and IJCAI 2005 Workshop, TADA 2005, Selected and Revised Papers. 2006. p. 113-125 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 3937 LNAI).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Ketter, W, Collins, J, Gini, ML, Gupta, A & Schrater, PR 2006, Identifying and forecasting economic regimes in TAC SCM. in Agent-Mediated Elect. Commerce. Design. Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, and IJCAI 2005 Workshop, TADA 2005, Selected and Revised Papers. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 3937 LNAI, pp. 113-125, AAMAS 2005 Workshop on Agent-Mediated Electronic Commerce, AMEC 2005 and IJCAI 2005 Workshop on Trading Agent Design and Analysis, TADA 2005, Edinburgh, United Kingdom, 8/1/05.
Ketter W, Collins J, Gini ML, Gupta A, Schrater PR. Identifying and forecasting economic regimes in TAC SCM. In Agent-Mediated Elect. Commerce. Design. Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, and IJCAI 2005 Workshop, TADA 2005, Selected and Revised Papers. 2006. p. 113-125. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
Ketter, Wolfgang ; Collins, John ; Gini, Maria L ; Gupta, Alok ; Schrater, Paul R. / Identifying and forecasting economic regimes in TAC SCM. Agent-Mediated Elect. Commerce. Design. Trading Agents and Mechanisms - AAMAS 2005 Workshop, AMEC 2005, and IJCAI 2005 Workshop, TADA 2005, Selected and Revised Papers. 2006. pp. 113-125 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
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