Detecting and Forecasting Economic Regimes in Automated Exchanges

Wolf Ketter, John Collins, Maria Gini, A Gupta, Paul Schrater

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

Abstract

We present basic building blocks of an agent that can use observable market conditions to characterize the microeconomic conditions of the market and predict future market trends. The agent can use this information to make both tactical decisions such as pricing and strategic decisions such as product mix and production planning. We develop methods that can learn dominant market conditions, such as over-supply or scarcity, from historical data using computational methods to construct price density functions. We discuss how this knowledge can be used, together with real-time observable information, to identify the current dominant market condition and to forecast market changes over a planning horizon. We validate our methods by presenting experimental results in a case study, the Trading Agent Competition for Supply Chain Management.
Original languageUndefined/Unknown
Place of PublicationMinneapolis, MN
Publication statusPublished - 2007
Externally publishedYes

Bibliographical note

Ketter07tr

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