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 Scopus citations

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
PublisherSpringer Verlag
Pages113-125
Number of pages13
ISBN (Print)3540462422, 9783540462422
DOIs
StatePublished - 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
Country/TerritoryUnited Kingdom
CityEdinburgh
Period8/1/058/1/05

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